How would a helium filled balloon react if let go 20 feet above the moons surface

Would it explode, implode, drop at the same rate as a hammer, go up, or just hang where it was let go?

If filled with the same mass of helium as one would use on Earth, it would explode.

If filled with just enough helium to maintain shape in the vacuum of space, it would drop like a hammer.

If it does not explode I think the correct answer to your question is it would fall to the moons surface.
Both Helium and the balloon have mass. The only reason a Helium balloon floats on Earth is that the atmosphere is more dense, therefore heavier, than the combined helium and balloon. The Balloon displaces more air on earth and therefore floats like a stick in water. On the moon it is unable to displace enough atmosphere to float and falls.

Depending on the internal pressure and the. rubber strength, it would either explode or expand. If it holds together, it will fall to the moon's surface, without any air friction. It may burst on impact.

Explode. For a normal balloon, that is. No atmosphere to contain it.

It will simply explode since there is no atmosphere on the Moon.