QQQJ Options History — December 2021

In December 2021, QQQJ traded between $32.28 and $34.18. ATM implied volatility averaged 24.0%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.2% (HV 20d: 24.2%). Max pain ranged from $32.79 to $34.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2021-12-14: Highest Volume — 8,947 contracts
  • 2021-12-03: Largest IV spike — 26.8% change
  • 2021-12-03: Highest IV Rank — 90.0%
  • 2021-12-03: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.23$32.28$34.18$33.24$33.66
Max Pain$33.02$32.79$34.00$33.00$32.79
ATM IV24.0%17.7%37.3%30.1%17.7%
Expected Move6.8%5.1%10.7%8.6%5.1%
HV 20d24.2%18.6%26.9%18.6%24.4%
HV 60d19.1%16.7%20.3%16.8%19.1%
IV Rank39.8%16.0%90.0%62.6%16.0%
IV Percentile55.2%16.7%98.4%90.1%16.7%
Term Structure1.2%-5.4%3.5%-4.0%3.5%
VWIV24.0%19.6%33.3%29.1%20.7%
Skew 25d7.5%3.8%11.6%11.4%4.4%
Skew 10d15.1%8.6%25.3%14.6%13.2%
Call IV 25d20.8%16.6%30.0%24.3%16.6%
Put IV 25d28.4%20.6%41.6%35.7%21.0%
Bid-Ask Spread %36.1110.9972.5749.2317.00
Gamma HHI0.440.330.520.380.48
Net GEX-1.6M-3.7M0-2.0M-598.3K
Net DEX8.4M-227.8K22.0M15.4M278.3K
Net VEX-138.2K-176.5K0-172.5K-113.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.497.650.920.49
Total Volume1,164.3641518,9471,240372
Total OI32,500.136039,16937,44228,300

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$33.24$33.0030.1%8.6%18.6%62.6%29.1%11.4%-4.0%-2.0M15.4M-172.5K0.9249.23N/AN/A6455958,80528,637
2021-12-02$33.46$33.0029.4%8.4%18.6%60.2%28.4%10.3%-2.7%-1.8M14.4M-171.4K0.6219.14N/AN/A6784238,86828,611
2021-12-03$32.47$33.0037.3%10.7%20.9%90.0%33.3%11.6%-5.4%-2.1M22.0M-176.5K0.8737.63N/AN/A6175399,08828,567
2021-12-06$32.66$34.0027.9%7.8%21.1%54.3%27.5%9.5%0.6%-2.4M20.5M-171.1K1.4246.81N/AN/A3645169,12428,589
2021-12-07$33.71$34.0023.5%6.6%24.0%37.8%24.2%7.7%2.2%-1.8M8.2M-151.7K1.1040.48N/AN/A4715209,16828,660
2021-12-08$34.18$33.0022.5%6.6%24.7%34.2%23.9%8.0%1.7%-1.4M4.7M-146.5K0.9317.19N/AN/A5495119,22528,759
2021-12-09$33.51$33.0023.3%6.6%24.6%37.1%25.3%7.1%1.7%-2.1M9.5M-153.8K0.8748.52N/AN/A4994339,35128,726
2021-12-10$33.35$33.0023.4%6.8%24.1%37.6%23.5%8.0%1.6%-2.3M10.8M-152.2K0.6950.99N/AN/A6274359,35728,762
2021-12-13$33.19$33.0027.4%6.7%23.5%52.6%23.9%7.6%1.9%-2.5M11.4M-146.6K0.6752.35N/AN/A1,0707169,46328,780
2021-12-14$32.55$33.0026.8%6.7%24.1%50.1%22.3%8.1%2.2%-3.7M17.7M-156.4K7.6546.09N/AN/A1,0347,91310,04929,120
2021-12-15$33.03$33.0023.1%6.6%24.6%36.2%22.9%7.2%1.9%-2.3M9.9M-144.6K1.9623.17N/AN/A47292610,20126,563
2021-12-16$32.60$33.0024.0%6.9%24.6%39.8%25.6%7.3%-0.1%-3.1M14.9M-148.9K1.4641.09N/AN/A43663710,17626,546
2021-12-17$32.89$33.0024.2%6.9%24.9%40.5%25.3%7.8%1.3%-1.9M9.2M-147.4K1.7314.48N/AN/A51088110,17726,576
2021-12-20$32.28$0.0028.5%8.2%25.4%56.6%25.1%8.0%0.3%0000.6272.57N/AN/A935800
2021-12-21$32.97$32.7923.4%6.7%26.8%37.5%22.4%7.0%2.4%-719.2K5.5M-138.7K0.5030.49N/AN/A173867,44020,482
2021-12-22$33.18$32.7922.1%6.3%26.7%32.6%20.7%7.0%2.5%-683.7K3.9M-132.4K1.1524.42N/AN/A1561797,53420,480
2021-12-23$33.56$32.7919.0%5.4%26.9%20.7%22.3%6.2%2.9%-606.5K2.1M-133.1K0.5420.85N/AN/A2451327,55720,595
2021-12-27$33.72$32.7919.4%5.6%26.7%22.5%21.3%6.5%2.2%-605.1K1.8M-123.7K0.6523.50N/AN/A1791177,43220,670
2021-12-28$33.62$32.7919.0%5.5%26.5%20.9%20.8%6.2%2.2%-658.7K1.2M-122.1K0.9010.99N/AN/A1171057,45820,721
2021-12-29$33.50$32.7918.2%5.2%25.8%17.7%20.2%5.3%3.0%-657.6K1.9M-122.1K0.7468.60N/AN/A129957,46320,719
2021-12-30$33.76$32.7918.1%5.2%24.5%17.4%19.6%3.8%3.5%-557.5K-227.8K-114.1K0.5938.88N/AN/A2291347,45620,748
2021-12-31$33.66$32.7917.7%5.1%24.4%16.0%20.7%4.4%3.5%-598.3K278.3K-113.6K0.4917.00N/AN/A2491237,50020,800