QLD Options History — June 2015 In June 2015, QLD traded between $4.54 and $4.90. ATM implied volatility averaged 28.9%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.9% (HV 20d: 23.0%). Max pain ranged from $4.56 to $4.81. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.79.
Notable Days 2015-06-03 : Highest Volume — 94,432 contracts2015-06-29 : Largest IV spike — 50.3% change2015-06-29 : Highest IV Rank — 60.7%2015-06-29 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $4.76 $4.54 $4.90 $4.84 $4.59 Max Pain $4.64 $4.56 $4.81 $4.78 $4.69 ATM IV 28.9% 22.9% 40.9% 26.7% 36.0% Expected Move 8.2% 6.6% 11.7% 7.7% 10.3% HV 20d 23.0% 19.7% 26.2% 25.8% 26.2% HV 60d 26.2% 24.5% 28.0% 28.0% 26.3% IV Rank 32.2% 17.7% 60.7% 26.8% 49.2% IV Percentile 54.7% 16.3% 96.0% 46.8% 88.5% Term Structure 0.4% -25.7% 6.1% 1.3% -2.5% VWIV 30.0% 23.6% 40.7% 30.9% 37.9% Skew 25d 9.3% 6.6% 13.8% 9.7% 12.0% Skew 10d 16.6% 13.1% 23.1% 13.4% 22.5% Call IV 25d 24.0% 20.0% 32.0% 23.9% 30.2% Put IV 25d 33.3% 26.6% 45.8% 33.6% 42.3% Bid-Ask Spread % 41.02 29.04 64.35 43.05 29.04 Gamma HHI 0.08 0.05 0.22 0.06 0.07 Net GEX 1.2M 587.4K 2.6M 1.2M 605.6K Net DEX -46.6M -65.1M -22.7M -29.7M -23.6M Net VEX -216.2K -246.8K -185.9K -246.8K -202.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.53 1.24 0.94 1.14 Total Volume 56,750.545 5,856 94,432 93,824 65,936 Total OI 434,512.727 365,664 554,528 546,384 395,296
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-06-01 $4.84 $4.78 26.7% 7.7% 25.8% 26.8% 30.9% 9.7% 1.3% 1.2M -29.7M -246.8K 0.94 43.05 N/A N/A 48,256 45,568 313,344 233,040 2015-06-02 $4.82 $4.66 28.5% 8.2% 25.9% 31.1% 27.7% 7.7% -1.0% 1.1M -54.3M -230.7K 1.20 44.01 N/A N/A 2,656 3,200 237,536 175,056 2015-06-03 $4.84 $4.81 27.2% 7.8% 22.9% 27.9% 30.1% 7.6% -25.7% 687.9K -58.4M -220.2K 0.88 40.41 N/A N/A 50,144 44,288 316,896 237,632 2015-06-04 $4.76 $4.56 32.5% 8.4% 22.8% 40.6% 31.9% 10.5% 3.6% 1.1M -50.2M -239.1K 0.77 42.43 N/A N/A 23,248 17,936 245,936 181,408 2015-06-05 $4.75 $4.56 31.4% 8.4% 22.4% 38.0% 30.3% 10.0% 1.8% 1.1M -47.2M -236.5K 0.70 42.95 N/A N/A 26,720 18,752 246,656 183,312 2015-06-08 $4.66 $4.56 36.4% 8.9% 22.0% 49.9% 31.5% 11.0% 2.4% 1.0M -40.5M -235.0K 0.55 35.48 N/A N/A 29,968 16,544 249,936 184,192 2015-06-09 $4.64 $4.56 32.0% 9.0% 21.8% 39.5% 30.5% 9.8% 1.3% 896.2K -36.0M -232.9K 0.60 30.78 N/A N/A 33,328 20,080 252,544 187,136 2015-06-10 $4.77 $4.56 29.2% 8.4% 23.8% 32.8% 28.3% 8.1% 1.8% 1.3M -50.1M -226.8K 0.75 34.73 N/A N/A 33,312 24,928 256,544 191,072 2015-06-11 $4.77 $4.63 28.1% 8.0% 23.8% 30.0% 29.5% 8.6% 3.1% 1.5M -53.7M -232.2K 0.63 34.55 N/A N/A 31,808 20,192 260,752 196,320 2015-06-12 $4.70 $4.63 28.0% 8.0% 21.9% 29.8% 30.0% 9.6% 4.2% 1.3M -44.8M -229.1K 0.66 36.91 N/A N/A 30,016 19,728 261,536 197,184 2015-06-15 $4.66 $4.63 29.1% 8.3% 22.1% 32.6% 29.8% 9.0% 2.2% 916.6K -36.9M -219.8K 0.64 37.10 N/A N/A 32,480 20,800 261,440 198,320 2015-06-16 $4.70 $4.63 28.7% 8.2% 22.1% 31.6% 29.6% 10.6% 2.6% 1.2M -41.5M -218.2K 0.61 37.25 N/A N/A 34,368 21,008 261,792 198,976 2015-06-17 $4.73 $4.63 29.9% 8.6% 22.3% 34.5% 27.9% 10.0% 0.7% 1.5M -47.0M -203.9K 0.61 64.35 N/A N/A 35,888 21,968 265,376 199,072 2015-06-18 $4.85 $4.63 24.6% 7.0% 24.2% 21.7% 27.5% 7.8% 6.1% 2.3M -65.1M -205.1K 0.72 47.07 N/A N/A 38,800 27,936 265,920 201,536 2015-06-19 $4.83 $4.59 25.0% 7.2% 24.0% 22.6% 28.8% 7.7% 4.8% 2.6M -64.4M -202.3K 0.53 42.99 N/A N/A 51,936 27,472 267,984 200,816 2015-06-22 $4.89 $4.63 23.0% 6.6% 24.4% 17.9% 24.9% 7.2% 4.0% 1.3M -58.6M -193.2K 0.70 46.23 N/A N/A 30,624 21,568 218,256 147,408 2015-06-23 $4.90 $4.63 22.9% 6.6% 22.6% 17.7% 23.6% 6.6% 1.9% 1.4M -60.0M -185.9K 0.76 45.86 N/A N/A 26,912 20,576 222,768 150,768 2015-06-24 $4.85 $4.69 24.7% 7.1% 19.7% 21.9% 28.0% 8.2% 1.3% 1.3M -52.0M -196.9K 0.85 44.80 N/A N/A 28,608 24,208 215,648 152,416 2015-06-25 $4.83 $4.69 25.2% 7.2% 19.7% 23.2% 29.0% 8.9% 2.4% 1.3M -47.8M -200.6K 0.85 45.59 N/A N/A 27,648 23,600 214,096 155,952 2015-06-26 $4.76 $4.69 27.2% 7.8% 20.0% 28.0% 32.5% 9.5% 0.8% 1.2M -41.3M -200.1K 1.24 41.07 N/A N/A 28,224 35,120 214,960 157,520 2015-06-29 $4.54 $4.69 40.9% 11.7% 25.7% 60.7% 40.7% 13.8% -8.0% 587.4K -22.7M -197.6K 1.04 35.84 N/A N/A 30,416 31,744 216,320 168,608 2015-06-30 $4.59 $4.69 36.0% 10.3% 26.2% 49.2% 37.9% 12.0% -2.5% 605.6K -23.6M -202.7K 1.14 29.04 N/A N/A 30,800 35,136 219,792 175,504
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