QQQJ Options History — September 2021

In September 2021, QQQJ traded between $33.15 and $35.34. ATM implied volatility averaged 19.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.7% (HV 20d: 14.0%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.43.

Notable Days

  • 2021-09-15: Highest Volume — 2,915 contracts
  • 2021-09-28: Largest IV spike — 33.4% change
  • 2021-09-30: Highest IV Rank — 52.3%
  • 2021-09-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.36$33.15$35.34$35.00$33.16
Max Pain$34.62$32.00$35.00$32.00$34.00
ATM IV19.6%14.5%27.3%14.5%27.3%
Expected Move5.7%4.2%7.8%4.2%7.8%
HV 20d14.0%12.7%16.3%12.9%16.0%
HV 60d14.3%13.7%15.7%13.8%15.7%
IV Rank23.3%3.9%52.3%3.9%52.3%
IV Percentile28.1%1.6%73.1%1.6%73.1%
Term Structure2.0%-1.2%4.9%2.4%-0.7%
VWIV20.3%16.1%26.1%16.1%26.1%
Skew 25d6.8%3.8%10.7%3.8%5.7%
Skew 10d12.9%5.9%16.8%7.8%14.4%
Call IV 25d17.3%13.9%23.2%13.9%23.2%
Put IV 25d24.1%17.7%32.4%17.7%28.9%
Bid-Ask Spread %24.356.2064.186.2011.21
Gamma HHI0.560.370.670.580.67
Net GEX982.9K-636.9K3.1M2.6M-636.9K
Net DEX-8.2M-27.4M9.4M-23.8M9.4M
Net VEX-105.2K-151.2K-77.3K-91.1K-151.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.430.1322.690.291.51
Total Volume765.5241132,915496311
Total OI26,54217,54835,75130,49723,047

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$35.00$32.0014.5%4.2%12.9%3.9%16.1%3.8%2.4%2.6M-23.8M-91.1K0.296.20N/AN/A38311320,7989,699
2021-09-02$35.10$35.0015.8%5.2%12.9%8.8%16.7%5.5%2.6%2.4M-24.1M-92.0K0.2230.35N/AN/A2545720,6529,705
2021-09-03$35.34$35.0014.5%5.1%12.7%3.9%19.1%6.4%2.4%2.6M-27.4M-89.1K0.1331.64N/AN/A2953720,7189,768
2021-09-07$35.18$35.0017.3%5.1%12.9%14.6%17.2%5.4%3.1%2.7M-25.7M-86.0K0.3839.35N/AN/A42215920,6969,815
2021-09-08$34.75$35.0017.1%4.9%13.5%13.5%18.1%5.4%3.5%3.0M-20.3M-84.1K0.3522.57N/AN/A31110920,5779,842
2021-09-09$34.85$35.0017.6%5.0%13.3%15.6%20.8%6.2%3.5%3.1M-20.9M-83.1K0.2820.17N/AN/A2005520,5579,986
2021-09-10$34.60$35.0018.2%5.2%13.6%18.0%19.4%5.4%3.4%3.0M-18.6M-82.7K0.4315.72N/AN/A1586820,55710,024
2021-09-13$34.28$35.0020.9%6.0%14.0%28.0%20.3%7.0%2.2%2.1M-13.4M-79.6K22.6915.49N/AN/A1162,63220,67410,063
2021-09-14$34.20$35.0020.4%5.8%13.7%26.1%19.9%5.7%2.2%1.4M-12.0M-77.3K0.9714.33N/AN/A787620,51110,153
2021-09-15$34.41$35.0019.4%5.6%13.3%22.4%16.9%7.8%2.3%526.4K-10.9M-92.5K16.7731.55N/AN/A1642,75120,50012,688
2021-09-16$34.57$35.0016.8%4.8%13.3%12.7%22.2%6.8%1.8%1.5M-11.6M-92.1K0.5311.49N/AN/A37420020,45012,701
2021-09-17$34.38$35.0019.8%5.7%13.2%23.9%19.0%7.4%1.8%-278.9K-8.6M-111.1K7.2115.28N/AN/A2952,12720,43015,321
2021-09-20$33.64$35.0025.1%7.2%15.3%43.8%24.7%10.7%0.6%-357.7K4.8M-115.5K0.8744.75N/AN/A1951705,33312,215
2021-09-21$33.81$35.0023.0%6.6%14.0%35.8%20.8%9.4%0.9%-437.9K5.5M-129.2K1.1953.33N/AN/A83995,40314,170
2021-09-22$34.23$35.0021.4%6.1%14.2%30.0%22.4%7.9%0.6%-414.4K4.2M-125.4K0.4415.48N/AN/A201885,49114,262
2021-09-23$34.62$34.0016.1%4.6%14.4%10.1%17.8%6.9%3.6%-346.2K2.6M-118.9K0.1414.40N/AN/A121175,56114,272
2021-09-24$34.55$34.0014.9%4.3%14.3%5.5%21.4%6.1%4.9%-342.1K2.4M-125.4K0.6511.97N/AN/A111725,77214,296
2021-09-27$34.27$34.0019.8%5.7%13.5%24.0%20.0%8.2%2.2%-359.1K3.1M-123.8K0.1664.18N/AN/A132215,85314,303
2021-09-28$33.37$34.0026.5%7.6%16.2%49.0%25.2%6.8%-0.4%-472.4K6.4M-127.3K15.7111.67N/AN/A1742,7345,87514,348
2021-09-29$33.15$35.0026.1%7.5%16.3%47.5%22.7%8.4%-1.2%-496.1K7.2M-131.0K1.1330.24N/AN/A53605,94514,351
2021-09-30$33.16$34.0027.3%7.8%16.0%52.3%26.1%5.7%-0.7%-636.9K9.4M-151.2K1.5111.21N/AN/A1241876,04717,000