QQQJ Options History — November 2021

In November 2021, QQQJ traded between $34.03 and $36.24. ATM implied volatility averaged 20.5%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.9% (HV 20d: 13.6%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2021-11-30: Highest Volume — 1,632 contracts
  • 2021-11-26: Largest IV spike — 28.5% change
  • 2021-11-26: Highest IV Rank — 51.0%
  • 2021-11-26: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.30$34.03$36.24$35.28$34.03
Max Pain$33.24$33.00$34.00$34.00$33.00
ATM IV20.5%15.6%27.0%18.5%26.4%
Expected Move5.9%4.5%7.7%5.3%7.6%
HV 20d13.6%10.1%16.9%11.9%16.9%
HV 60d15.3%14.8%16.2%14.9%16.2%
IV Rank26.4%8.0%51.0%19.1%48.9%
IV Percentile37.3%3.4%75.0%21.8%72.6%
Term Structure1.5%-1.3%2.9%1.2%-1.3%
VWIV21.1%16.0%26.5%16.2%25.3%
Skew 25d6.6%5.1%9.6%5.9%9.1%
Skew 10d15.0%10.0%19.7%16.6%18.7%
Call IV 25d18.5%14.1%23.5%15.4%23.5%
Put IV 25d25.1%21.0%32.5%21.3%32.5%
Bid-Ask Spread %27.0812.6352.0312.6322.57
Gamma HHI0.320.280.350.330.35
Net GEX-1.3M-1.9M-794.9K-1.9M-1.6M
Net DEX1.6M-5.3M9.7M3.7M9.7M
Net VEX-153.7K-177.7K-134.5K-177.7K-159.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.492.721.090.54
Total Volume1,226.4298701,6321,3671,632
Total OI47,062.38136,13751,99050,91137,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$35.28$34.0018.5%5.3%11.9%19.1%16.2%5.9%1.2%-1.9M3.7M-177.7K1.0912.63N/AN/A6557128,27542,636
2021-11-02$35.29$34.0017.8%5.1%11.6%16.2%16.0%5.3%1.6%-1.9M4.0M-169.6K1.5320.23N/AN/A4737258,24942,661
2021-11-03$35.51$34.0015.6%4.5%11.5%8.0%16.1%7.5%1.9%-1.7M1.5M-165.8K1.3445.21N/AN/A5297108,26942,655
2021-11-04$35.31$33.0019.2%5.7%10.9%21.5%18.5%6.4%1.6%-1.6M2.2M-165.0K1.0516.68N/AN/A6727048,33442,654
2021-11-05$35.38$33.0020.0%5.9%10.1%24.7%22.3%5.1%1.9%-1.4M488.9K-160.9K1.1229.10N/AN/A4845438,36042,653
2021-11-08$35.81$33.0018.8%5.7%10.3%20.1%23.0%5.4%2.3%-934.4K-3.0M-151.7K0.7827.10N/AN/A5354178,45242,669
2021-11-09$35.91$33.0019.9%5.9%10.3%24.1%21.8%5.5%1.8%-1.1M-1.7M-155.3K0.7919.25N/AN/A4863848,45242,677
2021-11-10$35.18$33.0021.8%6.2%13.2%31.3%22.1%6.0%1.7%-1.7M3.8M-168.8K0.7521.16N/AN/A5364028,44642,684
2021-11-11$35.57$33.0020.3%5.8%12.9%25.7%21.4%5.6%2.1%-1.2M-805.5K-151.8K0.9325.26N/AN/A6766288,43042,682
2021-11-12$35.98$34.0020.0%5.7%13.3%24.4%20.2%7.9%2.5%-794.9K-3.6M-145.3K0.7828.70N/AN/A6114798,48742,777
2021-11-15$35.89$33.0020.3%5.8%13.4%25.6%20.4%5.4%2.4%-814.4K-3.1M-145.4K1.7416.29N/AN/A5178988,49342,724
2021-11-16$36.24$33.0019.5%5.6%13.5%22.8%19.5%6.2%2.9%-842.3K-5.3M-134.5K1.8539.76N/AN/A5491,0188,51243,256
2021-11-17$35.76$33.0019.9%5.7%14.6%24.3%20.2%6.4%2.1%-1.1M-2.3M-140.4K2.7241.14N/AN/A3701,0068,40643,333
2021-11-18$35.36$33.0020.2%5.8%15.1%25.5%25.0%5.4%0.8%-1.3M1.4M-141.3K2.3117.58N/AN/A4149578,29743,408
2021-11-19$35.40$33.0020.4%5.8%15.0%26.2%19.8%5.3%1.1%-1.1M-517.5K-140.2K0.9813.75N/AN/A6416318,31943,671
2021-11-22$35.02$33.0020.5%5.9%15.4%26.5%20.6%6.4%1.4%-1.1M2.1M-146.1K0.8543.38N/AN/A6365437,63428,503
2021-11-23$34.54$33.0020.6%5.9%16.0%26.9%21.9%7.2%1.7%-1.5M6.0M-149.0K0.6515.44N/AN/A6524277,71528,550
2021-11-24$34.82$34.0021.0%6.0%15.9%28.4%22.0%7.9%1.6%-1.3M5.1M-150.2K0.7717.17N/AN/A6494977,82128,570
2021-11-26$34.38$33.0027.0%7.7%16.1%51.0%26.5%9.3%-0.9%-1.4M8.4M-161.0K0.6944.35N/AN/A5693958,07428,552
2021-11-29$34.65$33.0022.2%6.4%16.3%32.9%23.4%9.6%0.4%-1.3M5.4M-147.7K0.4952.03N/AN/A9334608,09928,565
2021-11-30$34.03$33.0026.4%7.6%16.9%48.9%25.3%9.1%-1.3%-1.6M9.7M-159.4K0.5422.57N/AN/A1,0605728,63828,668