QLD Options History — July 2015 In July 2015, QLD traded between $4.49 and $5.17. ATM implied volatility averaged 30.0%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.5% (HV 20d: 29.5%). Max pain ranged from $4.63 to $4.88. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2015-07-17 : Highest Volume — 90,000 contracts2015-07-08 : Largest IV spike — 19.1% change2015-07-09 : Highest IV Rank — 61.5%2015-07-09 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $4.85 $4.49 $5.17 $4.64 $4.97 Max Pain $4.78 $4.63 $4.88 $4.69 $4.88 ATM IV 30.0% 23.6% 42.8% 33.3% 23.6% Expected Move 8.3% 6.8% 10.4% 9.6% 6.8% HV 20d 29.5% 25.3% 33.7% 26.5% 29.3% HV 60d 27.0% 25.9% 28.1% 26.3% 25.9% IV Rank 28.4% 10.7% 61.5% 42.7% 10.7% IV Percentile 53.2% 12.7% 96.8% 80.2% 12.7% Term Structure 1.0% -2.6% 3.2% -0.8% 3.2% VWIV 30.1% 25.1% 38.2% 36.4% 25.1% Skew 25d 9.1% 5.3% 16.1% 11.3% 6.3% Skew 10d 17.4% 11.0% 25.6% 19.7% 13.1% Call IV 25d 24.7% 20.6% 29.5% 28.1% 20.6% Put IV 25d 33.8% 26.9% 44.6% 39.4% 26.9% Bid-Ask Spread % 55.66 36.20 78.08 36.36 78.08 Gamma HHI 0.08 0.05 0.17 0.07 0.05 Net GEX 1.0M 18.8K 3.0M 667.3K 919.5K Net DEX -40.3M -89.2M -12.3M -27.3M -39.6M Net VEX -169.2K -202.3K -137.8K -202.3K -163.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.57 1.57 1.57 0.66 Total Volume 64,735.273 50,240 90,000 72,240 60,480 Total OI 376,210.182 269,040 466,640 406,208 310,512
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 2015-07-01 $4.64 $4.69 33.3% 9.6% 26.5% 42.7% 36.4% 11.3% -0.8% 667.3K -27.3M -202.3K 1.57 36.36 N/A N/A 28,160 44,080 220,064 186,144 2015-07-02 $4.66 $4.69 34.0% 9.8% 26.0% 44.4% 36.5% 10.7% -2.6% 542.2K -27.8M -202.3K 1.53 36.20 N/A N/A 26,128 39,968 221,744 200,208 2015-07-06 $4.62 $4.88 36.4% 9.3% 26.2% 50.1% 31.9% 11.7% 0.8% 416.5K -21.7M -193.6K 1.06 54.02 N/A N/A 30,080 31,824 224,816 202,416 2015-07-07 $4.63 $4.88 35.2% 9.2% 25.3% 42.2% 33.3% 9.5% 0.4% 625.0K -25.7M -191.4K 1.16 53.67 N/A N/A 32,416 37,568 231,232 203,280 2015-07-08 $4.49 $4.69 42.0% 10.2% 27.6% 59.4% 37.0% 14.5% 3.2% 18.8K -12.3M -189.7K 0.89 52.48 N/A N/A 44,960 39,856 231,632 207,696 2015-07-09 $4.50 $4.69 42.8% 10.4% 25.4% 61.5% 38.2% 16.1% 1.0% 137.3K -14.2M -188.4K 1.25 49.68 N/A N/A 28,640 35,824 238,656 213,280 2015-07-10 $4.63 $4.69 35.0% 9.2% 27.9% 40.8% 35.4% 9.6% 1.0% 780.9K -27.0M -186.2K 1.25 47.87 N/A N/A 27,584 34,592 239,136 216,016 2015-07-13 $4.78 $4.63 29.3% 8.4% 29.8% 25.7% 30.0% 8.0% -0.7% 2.1M -48.3M -166.8K 1.23 48.90 N/A N/A 30,160 37,120 240,272 216,464 2015-07-14 $4.84 $4.69 23.9% 7.9% 29.8% 11.3% 28.8% 7.4% 0.3% 2.8M -59.4M -160.4K 1.07 50.36 N/A N/A 29,632 31,824 242,720 221,184 2015-07-15 $4.84 $4.69 28.2% 8.1% 29.7% 22.7% 30.0% 10.4% 1.1% 2.8M -59.8M -160.8K 1.14 49.65 N/A N/A 30,048 34,144 242,832 220,992 2015-07-16 $4.98 $4.63 25.0% 7.2% 31.1% 14.3% 26.4% 6.0% 2.8% 3.0M -77.4M -146.7K 0.60 67.83 N/A N/A 53,792 32,272 242,544 222,688 2015-07-17 $5.13 $4.63 24.9% 7.2% 31.5% 14.2% 25.2% 6.8% 1.1% 769.1K -89.2M -137.8K 0.71 61.72 N/A N/A 52,656 37,344 242,272 224,368 2015-07-20 $5.17 $4.81 24.7% 7.1% 31.4% 13.5% 27.4% 7.8% 1.8% 838.1K -49.9M -145.0K 0.57 58.93 N/A N/A 33,808 19,200 156,144 112,896 2015-07-21 $5.17 $4.88 25.6% 7.3% 31.3% 16.0% 27.3% 8.1% 1.3% 846.8K -49.3M -144.6K 0.60 56.95 N/A N/A 31,328 18,912 157,808 114,384 2015-07-22 $5.04 $4.88 24.8% 7.1% 32.7% 13.8% 25.1% 7.1% 2.4% 833.2K -42.1M -156.7K 0.72 54.94 N/A N/A 33,840 24,400 159,168 118,016 2015-07-23 $5.00 $4.88 26.4% 7.6% 32.7% 18.1% 28.4% 9.3% 2.2% 750.4K -40.6M -161.6K 0.70 51.33 N/A N/A 32,368 22,512 162,688 127,360 2015-07-24 $4.91 $4.88 28.5% 8.2% 33.3% 23.5% 28.8% 10.2% -0.7% 656.3K -36.3M -167.0K 0.70 54.14 N/A N/A 33,328 23,440 164,320 128,848 2015-07-27 $4.82 $4.88 32.2% 9.2% 33.7% 33.5% 31.1% 10.9% -0.6% 524.5K -29.3M -169.2K 0.80 52.67 N/A N/A 32,656 26,176 165,008 131,184 2015-07-28 $4.90 $4.88 30.8% 8.8% 29.2% 29.8% 27.3% 5.3% -0.0% 639.4K -32.7M -166.4K 0.77 63.86 N/A N/A 34,272 26,256 167,088 134,736 2015-07-29 $4.96 $4.88 27.7% 7.9% 29.2% 21.5% 26.4% 7.1% 2.6% 799.9K -37.4M -162.3K 0.72 76.17 N/A N/A 35,008 25,216 171,056 136,048 2015-07-30 $5.00 $4.88 25.0% 7.2% 29.2% 14.4% 26.0% 6.6% 2.8% 871.7K -39.7M -160.8K 0.70 68.76 N/A N/A 35,408 24,896 171,056 135,648 2015-07-31 $4.97 $4.88 23.6% 6.8% 29.3% 10.7% 25.1% 6.3% 3.2% 919.5K -39.6M -163.0K 0.66 78.08 N/A N/A 36,448 24,032 172,432 138,080
« Jun 2015 | All History | Aug 2015 » Home QLD History July 2015