QQQJ Options History — February 2021 In February 2021, QQQJ traded between $31.97 and $34.76. ATM implied volatility averaged 27.8%. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.7% (HV 20d: 23.2%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.24.
Notable Days 2021-02-08 : Highest Volume — 8,271 contracts2021-02-10 : Largest IV spike — 28.7% change2021-02-25 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $33.66 $31.97 $34.76 $31.97 $33.24 Max Pain $30.11 $29.00 $31.00 $31.00 $30.00 ATM IV 27.8% 21.2% 38.1% 31.7% 35.0% Expected Move 8.3% 7.1% 10.9% 9.1% 10.0% HV 20d 23.2% 21.7% 24.6% 24.0% 24.5% HV 60d 18.4% 17.5% 20.1% 18.8% 20.1% Term Structure 2.6% -2.8% 6.6% 4.1% -1.7% VWIV 28.9% 25.2% 39.9% 30.8% 35.4% Skew 25d 3.3% 1.5% 6.9% 6.5% 6.9% Skew 10d 4.9% -1.2% 14.7% -1.2% 11.4% Call IV 25d 28.1% 24.3% 36.1% 30.4% 31.9% Put IV 25d 31.4% 27.5% 41.2% 36.9% 38.8% Bid-Ask Spread % 38.18 12.44 61.83 28.18 42.78 Gamma HHI 0.37 0.31 0.42 0.31 0.37 Net GEX 4.5M 3.4M 5.3M 3.4M 4.2M Net DEX -91.3M -111.2M -67.0M -67.0M -82.0M Net VEX -404.6K -430.3K -345.5K -345.5K -416.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.24 0.04 0.62 0.21 0.28 Total Volume 4,423.526 2,140 8,271 5,790 3,167 Total OI 70,513.684 61,213 77,994 61,213 76,243
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-02-01 $31.97 $31.00 31.7% 9.1% 24.0% 0.0% 30.8% 6.5% 4.1% 3.4M -67.0M -345.5K 0.21 28.18 N/A N/A 4,798 992 57,233 3,980 2021-02-02 $32.69 $31.00 27.8% 8.0% 24.0% 0.0% 29.2% 2.4% 2.4% 3.6M -73.9M -373.7K 0.62 24.43 N/A N/A 2,292 1,419 57,106 6,244 2021-02-03 $32.75 $31.00 25.6% 7.3% 23.7% 0.0% 26.3% 1.7% 2.4% 3.7M -73.3M -375.8K 0.42 61.83 N/A N/A 1,535 640 57,349 7,487 2021-02-04 $33.12 $29.00 23.8% 7.9% 23.8% 0.0% 27.4% 2.8% 3.7% 4.0M -79.0M -387.3K 0.15 40.87 N/A N/A 2,387 348 57,638 7,817 2021-02-05 $33.64 $30.00 21.5% 7.7% 22.7% 0.0% 26.5% 2.6% 4.8% 4.3M -87.0M -388.9K 0.07 42.81 N/A N/A 2,756 187 57,945 7,934 2021-02-08 $33.99 $30.00 22.8% 7.8% 22.7% 0.0% 26.0% 3.4% 2.8% 4.6M -92.6M -384.1K 0.46 43.03 N/A N/A 5,660 2,611 58,381 8,007 2021-02-09 $34.24 $30.00 21.2% 7.6% 22.7% 0.0% 26.5% 2.5% 4.3% 4.9M -99.9M -394.3K 0.09 12.44 N/A N/A 7,371 684 60,499 6,851 2021-02-10 $34.19 $30.00 27.3% 7.8% 22.6% 0.0% 27.2% 1.5% 3.7% 4.9M -102.1M -408.5K 0.05 43.14 N/A N/A 3,294 169 63,738 6,411 2021-02-11 $34.40 $30.00 27.1% 7.8% 22.6% 0.0% 26.6% 2.9% 4.3% 5.1M -105.0M -413.0K 0.04 34.01 N/A N/A 2,191 79 64,318 6,443 2021-02-12 $34.76 $30.00 24.8% 7.1% 22.6% 0.0% 25.2% 3.2% 6.6% 5.3M -111.2M -417.1K 0.61 43.56 N/A N/A 2,885 1,763 64,444 6,462 2021-02-16 $34.54 $30.00 27.5% 7.9% 21.8% 0.0% 27.8% 2.7% 4.1% 5.1M -108.0M -414.9K 0.05 43.00 N/A N/A 5,802 316 65,021 8,027 2021-02-17 $34.26 $30.00 27.7% 7.9% 21.8% 0.0% 28.3% 1.7% 4.6% 5.1M -104.9M -422.4K 0.07 15.61 N/A N/A 5,305 372 67,637 8,160 2021-02-18 $34.16 $30.00 27.3% 7.8% 21.7% 0.0% 26.9% 3.1% 1.7% 5.2M -103.1M -426.8K 0.13 41.67 N/A N/A 3,355 441 68,765 8,311 2021-02-19 $34.49 $30.00 27.6% 7.9% 21.8% 0.0% 27.6% 3.1% 1.9% 5.3M -108.7M -429.6K 0.15 41.44 N/A N/A 3,435 525 69,338 8,656 2021-02-22 $33.55 $30.00 30.1% 8.6% 24.2% 0.0% 30.8% 2.9% 1.1% 4.3M -87.7M -420.5K 0.26 48.58 N/A N/A 3,205 829 65,041 5,324 2021-02-23 $33.34 $30.00 31.4% 9.0% 24.2% 0.0% 30.4% 3.9% 0.7% 4.1M -83.6M -422.5K 0.18 37.21 N/A N/A 5,775 1,027 65,744 7,309 2021-02-24 $33.69 $30.00 30.4% 8.7% 23.9% 0.0% 30.2% 4.5% 0.3% 4.5M -90.9M -430.3K 0.10 44.17 N/A N/A 1,938 202 66,858 7,472 2021-02-25 $32.58 $30.00 38.1% 10.9% 24.6% 0.0% 39.9% 5.1% -2.8% 3.7M -75.3M -415.1K 0.54 36.57 N/A N/A 2,796 1,496 67,848 7,719 2021-02-26 $33.24 $30.00 35.0% 10.0% 24.5% 0.0% 35.4% 6.9% -1.7% 4.2M -82.0M -416.6K 0.28 42.78 N/A N/A 2,468 699 67,706 8,537
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