QQQJ Options History — March 2021

In March 2021, QQQJ traded between $30.95 and $34.10. ATM implied volatility averaged 30.9%. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 1.1% (HV 20d: 32.1%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.39.

Notable Days

  • 2021-03-04: Highest Volume — 9,148 contracts
  • 2021-03-08: Largest IV spike — 15.6% change
  • 2021-03-04: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.41$30.95$34.10$34.10$31.95
Max Pain$32.17$30.00$33.00$30.00$32.00
ATM IV30.9%24.8%40.0%29.8%24.8%
Expected Move8.7%7.1%10.4%8.5%7.1%
HV 20d32.1%24.3%36.5%24.3%31.7%
HV 60d25.0%20.6%27.2%20.6%27.2%
Term Structure0.1%-1.8%1.8%0.2%1.0%
VWIV30.2%24.6%36.6%27.5%24.6%
Skew 25d3.4%0.7%6.0%4.9%1.8%
Skew 10d4.3%-3.3%10.6%9.2%1.4%
Call IV 25d29.2%23.8%33.1%27.9%23.8%
Put IV 25d32.5%25.6%38.9%32.7%25.6%
Bid-Ask Spread %22.7013.1136.8525.6734.70
Gamma HHI0.320.240.410.410.34
Net GEX3.5M2.2M5.5M5.1M2.6M
Net DEX-60.5M-98.6M-32.1M-98.6M-43.0M
Net VEX-339.5K-422.5K-273.1K-422.5K-283.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.120.880.430.17
Total Volume3,089.0875979,1486,581597
Total OI77,049.39164,54584,98176,08168,387

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$34.10$30.0029.8%8.5%24.3%0.0%27.5%4.9%0.2%5.1M-98.6M-422.5K0.4325.67N/AN/A4,5871,99467,5258,556
2021-03-02$33.72$30.0030.2%8.7%24.3%0.0%30.7%4.3%1.4%4.9M-89.5M-415.2K0.2013.63N/AN/A1,39827869,0769,964
2021-03-03$32.66$30.0034.3%9.8%26.1%0.0%36.6%5.1%-1.1%3.9M-71.1M-393.5K0.5217.38N/AN/A3,4411,77769,64210,127
2021-03-04$31.30$33.0037.9%10.4%30.1%0.0%34.1%6.0%-1.6%2.6M-49.2M-346.5K0.4326.99N/AN/A6,4022,74670,21410,139
2021-03-05$31.61$33.0034.6%9.2%30.0%0.0%32.9%5.2%-0.2%2.8M-50.7M-345.0K0.7316.27N/AN/A4,9903,64969,61111,394
2021-03-08$31.14$32.0040.0%10.0%29.6%0.0%35.0%5.4%-1.8%2.5M-44.6M-332.8K0.3620.03N/AN/A1,80765570,73112,802
2021-03-09$32.14$32.0036.4%9.3%31.8%0.0%32.5%4.6%-0.3%3.4M-59.0M-348.3K0.2818.04N/AN/A1,93653870,51813,002
2021-03-10$32.18$32.0032.4%9.3%31.6%0.0%32.2%4.0%-1.1%3.5M-61.5M-359.8K0.1425.00N/AN/A2,27931471,32013,054
2021-03-11$33.23$32.0030.0%8.6%34.0%0.0%30.0%2.6%1.6%4.9M-79.0M-375.7K0.2931.82N/AN/A1,45642971,34613,176
2021-03-12$33.15$32.0031.8%9.1%33.9%0.0%31.8%4.4%-1.3%4.7M-75.9M-372.8K0.3621.03N/AN/A1,44251671,34613,432
2021-03-15$33.56$32.0029.3%8.4%34.0%0.0%29.1%4.6%1.6%5.5M-81.3M-368.6K0.1232.26N/AN/A3,34740071,62713,354
2021-03-16$33.45$32.0029.3%8.4%33.9%0.0%28.8%3.6%1.5%4.7M-79.2M-359.6K0.2230.57N/AN/A1,54633371,05313,447
2021-03-17$33.49$33.0029.4%8.4%33.9%0.0%28.2%3.2%0.4%4.9M-79.6M-356.5K0.5618.87N/AN/A1,31773770,77813,602
2021-03-18$32.60$33.0032.6%9.3%35.1%0.0%33.0%3.8%-0.2%3.1M-63.7M-334.7K0.8827.74N/AN/A1,3221,16670,46913,980
2021-03-19$33.12$33.0030.7%8.8%35.4%0.0%29.9%2.5%-0.3%3.5M-68.9M-337.8K0.5224.13N/AN/A1,59982470,12214,737
2021-03-22$33.27$33.0026.5%7.6%34.2%0.0%26.7%1.7%1.8%3.3M-64.6M-336.5K0.2615.18N/AN/A1,03727156,3318,214
2021-03-23$32.47$33.0028.2%8.1%35.2%0.0%28.3%1.6%-0.4%2.9M-51.6M-308.5K0.2414.84N/AN/A79219056,5958,284
2021-03-24$31.44$33.0029.8%8.5%36.5%0.0%30.4%1.1%-0.0%2.4M-39.9M-284.6K0.5527.51N/AN/A1,8491,00956,6198,279
2021-03-25$31.34$33.0029.5%8.5%34.7%0.0%29.1%2.1%0.9%2.3M-36.9M-284.5K0.8016.70N/AN/A2,2251,78457,0248,909
2021-03-26$31.23$33.0028.0%8.0%33.7%0.0%28.4%1.2%-0.1%2.3M-36.2M-285.9K0.3736.85N/AN/A2,11077357,5029,331
2021-03-29$30.95$32.0028.2%8.1%32.0%0.0%28.9%0.7%0.2%2.2M-32.1M-273.1K0.3013.84N/AN/A1,54746558,3539,891
2021-03-30$31.30$32.0028.0%8.0%32.4%0.0%25.6%3.2%-0.6%2.3M-36.0M-281.8K0.2313.11N/AN/A95621958,16110,112
2021-03-31$31.95$32.0024.8%7.1%31.7%0.0%24.6%1.8%1.0%2.6M-43.0M-283.4K0.1734.70N/AN/A5098858,13710,250