QQQJ Options History — November 2023

In November 2023, QQQJ traded between $22.99 and $25.05. ATM implied volatility averaged 16.1%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 3.7% (HV 20d: 19.8%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.98.

Notable Days

  • 2023-11-14: Highest Volume — 891 contracts
  • 2023-11-03: Largest IV drop — 15.6% change
  • 2023-11-01: Highest IV Rank — 16.6%
  • 2023-11-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.30$22.99$25.05$22.99$25.05
Max Pain$24.95$24.00$25.00$24.00$25.00
ATM IV16.1%14.3%20.8%20.8%15.3%
Expected Move4.7%4.1%6.0%6.0%4.4%
HV 20d19.8%17.5%23.0%17.5%18.0%
HV 60d16.1%14.0%17.1%14.0%16.5%
IV Rank4.2%0.0%16.6%16.6%2.6%
IV Percentile9.2%0.0%44.8%44.8%4.8%
Term Structure1.0%-0.2%2.5%-0.1%-0.1%
VWIV16.2%12.1%19.6%18.8%16.7%
Skew 25d2.4%-2.2%8.5%8.5%6.6%
Skew 10d3.9%-4.0%10.9%8.5%10.2%
Call IV 25d15.0%11.6%18.3%13.7%11.6%
Put IV 25d17.4%10.4%22.1%22.1%18.2%
Bid-Ask Spread %14.3910.0617.6614.9913.48
Gamma HHI0.310.210.530.210.26
Net GEX9.8K-32.9K85.6K-7.7K-29.9K
Net DEX246.4K-1.1M2.2M2.2M-865.4K
Net VEX-12.0K-13.9K-9.3K-9.3K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.0012.203.600.06
Total Volume162389123544
Total OI3,9083,5034,2783,5034,278

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$22.99$24.0020.8%6.0%17.5%16.6%18.8%8.5%-0.1%-7.7K2.2M-9.3K3.6014.99N/AN/A5181,6361,867
2023-11-02$23.32$25.0019.4%5.8%18.5%13.0%0.0%4.4%0.5%6.2K1.9M-9.9K0.2615.00N/AN/A3181,6411,883
2023-11-03$23.89$25.0016.4%5.1%20.2%4.7%17.8%3.2%1.6%16.2K1.1M-11.0K0.3317.33N/AN/A129421,6451,879
2023-11-06$23.63$25.0016.8%5.2%20.5%5.7%14.9%3.0%0.9%33.6K1.5M-10.7K0.3614.72N/AN/A1141,7641,897
2023-11-07$23.88$25.0015.5%5.0%20.4%2.3%19.2%2.5%1.6%46.3K1.2M-10.9K0.6417.66N/AN/A25161,7641,896
2023-11-08$23.80$25.0016.3%4.7%20.3%4.3%17.9%3.1%2.1%54.1K1.3M-10.8K5.6312.11N/AN/A16901,7711,902
2023-11-09$23.50$25.0018.8%5.4%19.9%11.2%19.6%0.9%1.6%45.6K1.7M-10.0K12.2015.51N/AN/A202441,7851,897
2023-11-10$23.82$25.0016.8%4.8%20.6%5.7%15.6%2.2%1.6%78.4K1.3M-10.7K0.3013.74N/AN/A2781,8001,907
2023-11-13$23.81$25.0017.5%5.0%19.8%7.7%15.1%2.2%0.8%85.6K1.3M-10.3K2.6712.99N/AN/A6161,8211,914
2023-11-14$24.57$25.0015.1%4.3%23.0%1.2%15.4%0.6%2.5%-16.3K-78.7K-11.0K0.1013.60N/AN/A811801,8231,924
2023-11-15$24.76$25.0015.5%4.4%22.0%2.1%15.1%2.1%2.2%-32.9K-1.1M-12.9K5.8110.06N/AN/A623602,2481,967
2023-11-16$24.52$25.0015.3%4.4%21.3%1.7%16.3%4.4%0.5%33.0K-637.6K-12.6K0.3413.28N/AN/A38132,2761,965
2023-11-17$24.63$25.0015.7%4.5%20.9%2.7%16.4%-0.7%0.6%-26.8K-829.6K-12.6K0.0514.99N/AN/A316172,2731,964
2023-11-20$24.87$25.0015.6%4.5%20.8%2.6%15.3%2.4%0.3%-11.3K-690.0K-13.9K0.9313.49N/AN/A14132,1331,879
2023-11-21$24.73$25.0015.3%4.4%20.9%1.6%15.5%0.3%1.0%2.9K-447.2K-13.8K0.7213.14N/AN/A47342,1451,882
2023-11-22$24.91$25.0014.3%4.1%19.2%0.0%17.2%0.6%1.3%-11.2K-737.3K-13.8K0.0015.72N/AN/A302,1741,916
2023-11-24$24.96$25.0014.4%4.1%18.9%0.1%12.1%1.3%1.1%-17.6K-854.2K-13.5K0.0013.83N/AN/A2002,1751,916
2023-11-27$24.91$25.0014.5%4.2%17.7%0.5%16.2%-0.4%-0.2%-13.0K-792.7K-13.2K1.5716.89N/AN/A14222,1951,916
2023-11-28$24.79$25.0014.7%4.2%18.0%1.0%14.3%-2.2%0.7%628-578.4K-13.2K6.0012.39N/AN/A171022,2081,914
2023-11-29$24.93$25.0014.9%4.3%18.0%1.5%15.0%5.1%0.1%-30.2K-669.3K-13.5K0.1017.18N/AN/A144152,2122,016
2023-11-30$25.05$25.0015.3%4.4%18.0%2.6%16.7%6.6%-0.1%-29.9K-865.4K-13.5K0.0613.48N/AN/A511332,2542,024