QQQJ Options History — September 2022

In September 2022, QQQJ traded between $22.24 and $25.91. ATM implied volatility averaged 34.6%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 1.9% (HV 20d: 32.8%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2022-09-16: Highest Volume — 974 contracts
  • 2022-09-12: Largest IV spike — 34.2% change
  • 2022-09-13: Highest IV Rank — 77.9%
  • 2022-09-29: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.00$22.24$25.91$24.42$22.29
Max Pain$25.95$25.00$27.00$27.00$25.00
ATM IV34.6%27.3%39.5%33.8%37.8%
Expected Move9.7%8.2%11.3%9.7%10.8%
HV 20d32.8%28.9%35.1%31.1%34.1%
HV 60d30.9%29.7%33.8%33.8%30.9%
IV Rank62.6%39.4%77.9%60.3%72.0%
IV Percentile79.0%46.8%96.0%77.8%91.3%
Term Structure-0.5%-1.8%1.5%-1.7%-1.4%
VWIV32.0%28.9%38.1%32.2%34.3%
Skew 25d6.0%3.8%7.9%3.8%6.2%
Skew 10d10.4%-4.6%19.3%16.4%3.0%
Call IV 25d30.5%26.5%35.1%31.6%33.5%
Put IV 25d36.5%31.8%41.7%35.4%39.6%
Bid-Ask Spread %40.8213.3454.1813.3452.50
Gamma HHI0.220.150.450.200.16
Net GEX-248.9K-663.3K-104.1K-386.0K-123.0K
Net DEX7.5M2.5M12.9M12.1M4.0M
Net VEX-19.7K-24.2K-16.2K-24.2K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.215.533.492.37
Total Volume457.90566974525694
Total OI8,838.5244,91312,46511,9805,578

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$24.42$27.0033.8%9.7%31.1%60.3%32.2%3.8%-1.7%-386.0K12.1M-24.2K3.4913.34N/AN/A1174082,7339,247
2022-09-02$24.26$27.0033.3%9.6%30.9%59.0%29.2%5.1%-1.5%-358.0K12.6M-23.6K1.6752.25N/AN/A991652,7889,435
2022-09-06$24.22$27.0036.4%9.5%30.6%68.6%29.4%6.9%-0.7%-349.0K12.9M-22.2K2.2519.42N/AN/A2665992,7649,526
2022-09-07$24.95$27.0033.5%8.9%32.2%58.9%30.5%7.4%-0.3%-388.5K11.8M-23.0K2.0347.40N/AN/A2324702,7819,527
2022-09-08$25.18$27.0031.7%8.9%28.9%53.2%31.7%5.5%-0.4%-403.8K11.4M-22.9K2.3547.95N/AN/A40942,8089,546
2022-09-09$25.81$27.0027.3%8.2%30.5%39.4%29.1%5.3%1.2%-609.1K10.0M-23.9K0.3847.43N/AN/A184692,8069,613
2022-09-12$25.91$26.0036.7%8.4%29.6%69.0%28.9%5.4%0.8%-663.3K9.7M-22.8K0.6951.55N/AN/A59412,7579,668
2022-09-13$24.82$26.0039.5%9.3%32.7%77.9%31.9%6.7%-0.8%-296.6K12.4M-20.7K2.2717.44N/AN/A2856472,7869,679
2022-09-14$25.38$26.0030.0%8.6%34.1%47.8%29.4%5.4%1.5%-105.4K11.6M-18.6K2.3019.18N/AN/A20462,8009,637
2022-09-15$25.11$26.0030.8%8.8%33.4%50.3%30.3%4.9%0.6%-357.8K11.7M-20.0K2.1719.67N/AN/A481042,7939,554
2022-09-16$24.23$26.0033.5%9.6%35.1%58.9%32.5%6.3%-0.4%-170.1K5.8M-19.1K1.7954.18N/AN/A3496252,8326,576
2022-09-19$24.37$26.0033.1%9.5%34.6%57.8%30.1%7.9%-0.5%-104.1K2.5M-19.1K0.5148.15N/AN/A99501,4893,424
2022-09-20$24.03$26.0033.6%9.6%34.0%59.3%31.3%5.3%-0.5%-109.6K2.8M-18.7K0.2138.50N/AN/A92191,5213,462
2022-09-21$23.52$26.0033.9%9.7%34.5%60.2%34.6%6.8%-0.4%-107.8K3.1M-18.2K2.2041.85N/AN/A1092401,5833,467
2022-09-22$23.04$25.0033.3%9.5%34.5%58.3%32.2%5.0%0.1%-120.4K3.7M-17.6K4.4948.62N/AN/A1054711,6753,664
2022-09-23$22.45$25.0037.3%10.7%34.0%71.0%33.3%5.9%-1.8%-119.1K4.1M-16.3K5.5325.35N/AN/A452491,6983,660
2022-09-26$22.24$25.0037.7%10.8%32.4%72.2%35.7%5.5%-1.2%-112.7K3.9M-16.3K1.5152.79N/AN/A2093161,7233,646
2022-09-27$22.31$25.0039.2%11.2%32.5%76.5%38.1%6.6%-1.3%-111.4K3.9M-16.3K1.2053.94N/AN/A2182621,7273,687
2022-09-28$23.04$25.0035.8%10.3%34.0%65.5%37.2%7.2%-0.1%-113.7K3.6M-16.6K1.8652.65N/AN/A2194071,7623,679
2022-09-29$22.36$25.0039.5%11.3%34.5%77.6%30.6%7.0%-1.5%-117.3K3.8M-16.5K3.0253.02N/AN/A2106351,7753,733
2022-09-30$22.29$25.0037.8%10.8%34.1%72.0%34.3%6.2%-1.4%-123.0K4.0M-16.2K2.3752.50N/AN/A2064881,7793,799