QQQJ Options History — August 2021

In August 2021, QQQJ traded between $32.86 and $34.90. ATM implied volatility averaged 17.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.7% (HV 20d: 14.6%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2021-08-17: Highest Volume — 6,232 contracts
  • 2021-08-27: Largest IV drop — 25.2% change
  • 2021-08-19: Highest IV Rank — 23.8%
  • 2021-08-19: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.95$32.86$34.90$33.99$34.77
Max Pain$31.32$31.00$33.00$33.00$31.00
ATM IV17.3%13.5%20.9%18.6%14.2%
Expected Move5.1%3.9%6.0%5.3%4.1%
HV 20d14.6%11.8%18.0%17.9%12.9%
HV 60d14.4%13.1%17.2%17.2%13.8%
IV Rank9.4%0.0%23.8%9.7%2.7%
IV Percentile9.4%0.0%31.7%10.6%1.0%
Term Structure2.9%1.5%4.2%2.1%2.8%
VWIV17.8%13.6%23.6%18.5%15.7%
Skew 25d5.3%3.8%7.4%4.6%7.0%
Skew 10d12.4%7.3%16.8%14.2%14.2%
Call IV 25d15.7%9.5%19.1%17.2%10.9%
Put IV 25d21.0%16.9%25.6%21.8%18.0%
Bid-Ask Spread %24.148.9266.3865.0321.03
Gamma HHI0.470.380.560.380.55
Net GEX1.8M775.3K2.6M1.5M2.6M
Net DEX-18.1M-24.4M-4.8M-20.2M-23.2M
Net VEX-80.1K-109.2K-53.4K-75.6K-92.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.0311.620.200.03
Total Volume1,034.5911416,232545736
Total OI30,001.27327,20636,31027,20630,892

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$33.99$33.0018.6%5.3%17.9%9.7%18.5%4.6%2.1%1.5M-20.2M-75.6K0.2065.03N/AN/A4549121,1096,097
2021-08-03$34.04$33.0017.9%5.1%17.9%6.6%18.2%5.7%2.2%1.6M-20.7M-74.5K2.338.92N/AN/A20647921,6876,119
2021-08-04$34.24$33.0017.7%5.1%18.0%5.7%19.4%4.5%2.3%1.8M-22.5M-76.7K0.1866.38N/AN/A1,02318221,8236,185
2021-08-05$34.35$31.0016.8%5.7%17.5%1.9%23.6%4.7%3.0%2.0M-23.7M-73.9K0.5019.46N/AN/A37218621,8696,175
2021-08-06$34.12$31.0014.9%5.5%16.9%0.0%18.2%5.2%3.0%1.8M-21.2M-70.5K0.2619.10N/AN/A2817221,6946,329
2021-08-09$34.15$31.0015.7%5.3%16.9%3.1%17.9%4.1%4.2%1.9M-21.8M-67.8K0.5418.17N/AN/A1397521,8706,430
2021-08-10$33.91$31.0015.5%5.5%16.9%2.5%17.3%5.7%2.9%1.8M-19.5M-67.3K0.1514.49N/AN/A3555522,0856,461
2021-08-11$33.73$31.0018.4%5.3%16.1%14.0%17.6%4.5%3.7%1.7M-18.3M-65.2K0.1413.74N/AN/A4506322,1566,472
2021-08-12$33.84$31.0018.1%5.2%15.3%12.9%17.0%4.1%3.7%1.9M-18.1M-59.8K0.2411.52N/AN/A2866822,3056,511
2021-08-13$33.66$31.0017.4%5.0%15.3%9.9%18.8%4.2%3.8%1.9M-17.4M-60.9K0.4418.08N/AN/A984322,4406,543
2021-08-16$33.41$31.0019.2%5.5%15.3%17.2%19.1%4.1%3.5%1.6M-15.2M-55.1K0.4620.39N/AN/A27012422,4566,544
2021-08-17$33.15$31.0020.4%5.8%12.3%21.9%18.5%5.7%3.0%1.3M-13.3M-56.4K11.6216.38N/AN/A4945,73822,4776,556
2021-08-18$33.10$31.0020.4%5.8%11.8%22.0%19.6%4.9%2.8%1.2M-12.2M-53.4K2.3221.44N/AN/A8519722,4146,592
2021-08-19$32.86$31.0020.9%6.0%12.0%23.8%20.6%6.5%1.5%775.3K-4.8M-97.9K0.8319.98N/AN/A18015022,79812,103
2021-08-20$33.19$31.0019.7%5.7%11.9%19.3%22.6%4.8%1.8%1.2M-10.0M-109.2K0.6030.56N/AN/A28016924,02912,281
2021-08-23$33.80$31.0016.4%4.7%13.7%6.1%16.1%6.6%2.1%1.8M-13.9M-105.8K0.8733.78N/AN/A54947622,4909,641
2021-08-24$34.16$31.0016.3%4.7%13.1%5.8%13.6%6.3%2.4%2.3M-17.3M-104.5K0.0310.62N/AN/A4,47014422,3679,744
2021-08-25$34.45$32.0016.8%4.8%11.8%7.5%15.1%6.9%2.5%2.6M-21.3M-104.8K0.1412.60N/AN/A1,93627622,5189,599
2021-08-26$34.25$31.0018.0%5.2%12.0%12.4%16.0%5.6%1.6%2.1M-16.7M-98.9K0.3213.91N/AN/A2808921,0969,569
2021-08-27$34.76$31.0013.5%3.9%12.7%0.0%14.0%3.8%3.9%2.3M-22.8M-97.0K0.3928.10N/AN/A49119321,0799,670
2021-08-30$34.90$31.0013.7%3.9%12.8%0.7%15.3%7.4%4.1%2.4M-24.4M-93.8K0.2347.43N/AN/A3708621,0719,682
2021-08-31$34.77$31.0014.2%4.1%12.9%2.7%15.7%7.0%2.8%2.6M-23.2M-92.7K0.0321.03N/AN/A7132321,2439,649