QQQ implied volatility now vs history and term structure

QQQ (di Nasdaq-100 ETF) na im be di main chain wey dem dey use measure big-cap tech. Dis page dey track QQQ implied volatility — di live price wey market set for how e go move for future — for three ways: every session for di last three months, di month-by-month history against index benchmarks, and how e dey slope across different expiration dates. Every number come from real option closing prices and dem dey refresh am with di weekly batch.

QQQ implied volatility, di last 90 days

SELECT toString(date) AS session_date,
       round(100 * quantileExact(0.5)(implied_volatility), 1) AS atm_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol = 'QQQ'
  AND date >= (SELECT max(date) - 90 FROM global_markets.options_greeks)
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
  AND expiration_date BETWEEN date + 7 AND date + 60
GROUP BY date
HAVING count() >= 10
ORDER BY date

Each point na one session median implied volatility across QQQ near-the-money contracts (strikes wey dey within 5% of di stock, wey dey expire from one week to two months out). Di latest reading na 22.5%. IV of dat size na annualized number: di yearly percentage move wey di option prices treat as normal, and if you divide am by roughly 16, you go get di implied one-day move.

QQQ IV history against di market, month by month

SELECT toString(toStartOfMonth(date)) AS month,
       round(100 * quantileExactIf(0.5)(implied_volatility, underlying_symbol = 'QQQ'), 1) AS qqq_iv_pct,
       round(100 * quantileExactIf(0.5)(implied_volatility, underlying_symbol = 'SPY'), 1) AS spy_iv_pct
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('QQQ', 'SPY')
  AND date >= toDate('2022-07-01')
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
  AND expiration_date BETWEEN date + 7 AND date + 60
GROUP BY month
HAVING countIf(underlying_symbol = 'QQQ') >= 50
ORDER BY month

Di chart na QQQ fear gauge over time, wey dem draw against di market own. Di SPY line carry di same measurement for di market benchmark chain — di latest month read 23.5% for QQQ against 13.3% for SPY. Diversified index almost always carry less implied volatility pass any single name inside am — di gap between di lines na di single-name premium, and how dat gap dey wide and narrow na di story of QQQ risk cycles. Di peaks mark di times wey option buyers pay pass; di troughs na di periods wey market treat di name as quiet.

Di term structure: QQQ IV by expiration

SELECT multiIf(days_to_expiry <= 14, 'Under 2 weeks', days_to_expiry <= 45, '2-6 weeks',
               days_to_expiry <= 120, '6 weeks - 4 months', 'Beyond 4 months') AS expiry_bucket,
       round(100 * quantileExact(0.5)(implied_volatility), 1) AS atm_iv_pct,
       count() AS contracts
FROM global_markets.options_greeks
WHERE underlying_symbol = 'QQQ'
  AND date = (SELECT max(date) FROM global_markets.options_greeks)
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
GROUP BY expiry_bucket
HAVING count() >= 5
ORDER BY min(days_to_expiry)

If you read across di buckets, e show wetin market dey expect and WHEN. If di front end dey above di back end, e mean say near-term event risk dey priced — report, decision, or catalyst wey dey inside di window. Flat or upward-sloping curve na di resting state: more time, more uncertainty, IV dey gently high.

FAQ

Wetin be QQQ implied volatility right now?

22.5% at di money as of di latest session wey dey file, measured across near-the-money contracts wey dey expire 7-60 days out. Di 90-day chart above carry di full recent path; di number dey refresh with di weekly batch.

QQQ IV high or low right now?

Judge am for three ways: against im own recent path (di 90-day chart), against im own history (di monthly chart, where di latest month read 23.5%), and against di benchmarks wey dem draw on di same axes. For where di market extremes dey sit, di high-IV board dey track di names wey dey price di biggest moves.

How dem dey measure dis one?

From QQQ near-the-money contracts (strikes wey dey within 5% of di stock price) for each session close, dem keep only contracts where di volatility solve converge; each value na di median, and thin sessions and months dem drop by di contract floors wey dey visible for each panel SQL.

Wetin dey move QQQ implied volatility?

Scheduled events dey load IV in advance and crush am after; realized turbulence dey raise am; calm dey grind am down. Di monthly history above na di record of exactly dose cycles.

Every panel na stored, versioned query over di full options tape — expand any panel to audit am, or measure any strike of QQQ chain on di Strasmore terminal. For di concept, start at wetin implied volatility be; for how strikes dey differ on di same stock, see volatility skew.