QQQJ Options History — September 2023

In September 2023, QQQJ traded between $24.26 and $26.34. ATM implied volatility averaged 18.3%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.1% (HV 20d: 12.2%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 5.47.

Notable Days

  • 2023-09-05: Highest Volume — 275 contracts
  • 2023-09-26: Largest IV spike — 19.9% change
  • 2023-09-26: Highest IV Rank — 22.9%
  • 2023-09-26: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.14$24.26$26.34$26.34$24.64
Max Pain$25.50$25.00$26.00$26.00$25.00
ATM IV18.3%16.2%23.1%16.7%19.3%
Expected Move5.3%4.6%6.6%4.8%5.5%
HV 20d12.2%9.4%13.5%12.3%10.4%
HV 60d12.6%12.4%13.0%12.7%12.4%
IV Rank9.9%4.1%22.9%5.4%12.5%
IV Percentile23.5%5.6%50.4%8.3%34.5%
Term Structure0.9%-0.3%2.1%2.1%0.6%
VWIV18.0%14.7%21.4%15.8%14.7%
Skew 25d4.1%0.2%8.5%0.2%6.3%
Skew 10d5.1%-1.9%12.4%-1.8%3.3%
Call IV 25d16.1%12.4%20.5%15.2%14.0%
Put IV 25d20.1%15.4%24.0%15.4%20.3%
Bid-Ask Spread %14.579.7220.0815.8815.41
Gamma HHI0.390.270.600.270.31
Net GEX-167.5K-439.9K-94.2K-115.2K-109.2K
Net DEX1.9M786.7K2.3M786.7K2.0M
Net VEX-10.4K-11.1K-9.5K-10.1K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.470.0144.832.582.40
Total Volume89.7172754317
Total OI3,524.952,5834,3593,9173,004

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$26.34$26.0016.7%4.8%12.3%5.4%15.8%0.2%2.1%-115.2K786.7K-10.1K2.5815.88N/AN/A12311,2562,661
2023-09-05$26.11$25.0017.8%5.1%12.7%8.4%18.6%3.1%1.5%-125.0K1.1M-9.7K44.8315.89N/AN/A62691,2522,681
2023-09-06$25.89$26.0017.4%5.2%12.9%7.4%19.3%3.9%1.7%-164.8K1.6M-11.1K3.5514.30N/AN/A11391,2512,943
2023-09-07$25.59$26.0016.2%5.1%13.4%4.1%19.9%4.8%1.0%-190.4K2.0M-10.9K3.1020.08N/AN/A21651,2502,932
2023-09-08$25.48$26.0017.6%5.4%13.5%7.9%18.3%2.7%0.7%-205.8K2.0M-10.9K0.8216.06N/AN/A33271,2702,975
2023-09-11$25.52$26.0016.8%4.6%13.5%5.9%16.0%4.2%2.0%-201.7K1.9M-10.7K0.1514.38N/AN/A5281,3012,981
2023-09-12$25.43$26.0017.9%5.3%13.4%8.9%16.8%2.9%1.1%-238.6K2.0M-11.0K24.0015.03N/AN/A3721,3512,986
2023-09-13$25.29$26.0017.7%5.1%12.8%8.3%17.5%5.5%1.6%-310.7K2.1M-10.7K0.6413.22N/AN/A25161,3523,007
2023-09-14$25.43$26.0017.8%5.1%12.6%8.7%17.7%6.2%0.2%-192.4K1.7M-10.1K2.4211.45N/AN/A12291,3502,964
2023-09-15$25.17$26.0017.9%5.1%12.5%8.8%17.5%2.4%0.4%-439.9K1.9M-10.5K2.4416.95N/AN/A641561,3522,981
2023-09-18$25.05$26.0017.0%4.9%12.5%6.3%15.9%2.7%1.0%-148.2K1.9M-10.7K0.139.72N/AN/A3856121,971
2023-09-19$25.04$25.0017.4%5.0%12.4%7.5%17.7%4.2%0.8%-145.5K1.9M-10.6K0.1613.08N/AN/A107176871,974
2023-09-20$24.91$25.0017.8%5.1%12.5%8.4%16.9%3.3%0.9%-132.1K1.9M-10.9K0.0117.90N/AN/A16017771,986
2023-09-21$24.59$25.0019.0%5.5%12.3%11.9%20.2%2.8%1.0%-109.3K2.1M-10.7K16.9315.75N/AN/A142379231,987
2023-09-22$24.56$25.0018.3%5.2%11.7%9.8%15.1%4.0%0.9%-101.8K2.0M-10.2K0.3713.62N/AN/A30119261,903
2023-09-25$24.54$25.0019.2%5.5%11.2%12.4%20.4%3.1%0.4%-105.4K2.1M-9.9K0.9112.84N/AN/A11109371,905
2023-09-26$24.26$25.0023.1%6.6%11.5%22.9%21.4%3.5%-0.3%-94.2K2.3M-9.5K1.0512.24N/AN/A55589471,913
2023-09-27$24.31$25.0022.0%6.3%9.4%19.8%21.4%6.6%0.2%-107.0K2.2M-10.1K2.5312.93N/AN/A15389741,985
2023-09-28$24.62$25.0019.3%5.5%10.4%12.5%19.5%8.5%0.1%-113.5K2.0M-10.2K0.3614.68N/AN/A1459792,013
2023-09-29$24.64$25.0019.3%5.5%10.4%12.5%14.7%6.3%0.6%-109.2K2.0M-10.0K2.4015.41N/AN/A5129862,018