QLD Options History — August 2015

In August 2015, QLD traded between $3.90 and $5.00. ATM implied volatility averaged 40.3%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 5.7% (HV 20d: 34.6%). Max pain ranged from $4.38 to $4.88. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2015-08-27: Highest Volume — 84,608 contracts
  • 2015-08-21: Largest IV spike — 37.3% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.63$3.90$5.00$4.95$4.30
Max Pain$4.68$4.38$4.88$4.88$4.44
ATM IV40.3%25.1%76.4%27.9%56.7%
Expected Move11.6%7.2%21.9%8.0%16.3%
HV 20d34.6%23.3%55.4%29.1%55.4%
HV 60d29.8%25.4%39.1%25.8%39.1%
IV Rank44.5%14.7%100.0%22.1%64.8%
IV Percentile72.8%24.2%100.0%46.8%98.0%
Term Structure-2.0%-11.5%3.7%1.7%-3.3%
VWIV39.8%26.1%76.8%26.3%57.5%
Skew 25d12.9%7.1%40.8%7.1%19.5%
Skew 10d24.4%11.9%46.4%12.1%39.6%
Call IV 25d34.1%22.1%65.3%22.5%46.5%
Put IV 25d47.1%29.6%106.1%29.6%66.0%
Bid-Ask Spread %59.6044.0082.0980.7460.97
Gamma HHI0.060.040.090.050.04
Net GEX544.3K-190.0K1.1M870.8K495.6K
Net DEX-23.9M-41.1M7.1M-37.8M-17.6M
Net VEX-158.7K-181.3K-142.4K-154.0K-177.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.401.631.630.72
Total Volume56,903.6198,97684,6088,97671,872
Total OI333,477.333301,424367,120304,048361,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$4.95$4.8827.9%8.0%29.1%22.1%26.3%7.1%1.7%870.8K-37.8M-154.0K1.6380.74N/AN/A3,4085,568168,496135,552
2015-08-04$4.92$4.8826.2%7.5%29.4%17.4%28.1%8.1%2.0%805.9K-35.6M-160.1K0.7679.59N/AN/A34,68826,336174,368141,424
2015-08-05$5.00$4.8825.1%7.2%26.7%14.7%26.1%7.5%3.7%1.0M-41.1M-165.4K0.7272.98N/AN/A34,36824,688175,472141,488
2015-08-06$4.86$4.7530.0%8.8%29.4%27.6%31.7%12.6%1.4%643.7K-30.6M-165.0K0.5649.92N/AN/A38,99222,000175,744142,624
2015-08-07$4.82$4.7530.9%9.3%28.0%30.1%32.0%9.1%0.8%597.4K-28.3M-166.9K0.6144.00N/AN/A36,76822,320178,128142,752
2015-08-10$4.93$4.7526.8%8.5%27.0%19.1%30.2%8.1%1.9%907.2K-35.9M-161.3K0.6344.32N/AN/A36,52823,024178,400144,032
2015-08-11$4.82$4.7532.0%9.3%28.1%32.9%27.1%11.3%0.6%565.1K-28.8M-157.6K0.4046.06N/AN/A7,2802,896177,248142,816
2015-08-12$4.84$4.7531.7%9.1%28.2%32.0%33.1%8.6%2.8%575.1K-28.8M-160.2K0.8745.33N/AN/A32,11228,048182,768146,496
2015-08-13$4.84$4.7533.2%9.5%26.1%36.0%33.1%9.9%-0.3%678.4K-31.0M-165.5K1.0346.15N/AN/A29,34430,304187,952151,488
2015-08-14$4.85$4.7530.7%8.8%23.6%29.4%31.6%9.8%0.2%645.1K-30.7M-161.1K1.1345.76N/AN/A28,33632,144190,512155,280
2015-08-17$4.92$4.7530.6%8.8%24.2%29.1%31.4%7.7%0.5%1.1M-39.1M-142.4K1.0550.34N/AN/A28,57630,080191,232155,632
2015-08-18$4.87$4.6930.1%8.6%24.3%28.0%33.1%9.6%1.9%745.7K-34.1M-154.9K0.8254.86N/AN/A25,71221,184191,824157,280
2015-08-19$4.81$4.7531.6%9.1%23.3%31.9%30.5%9.3%0.3%550.5K-30.2M-149.0K0.5362.02N/AN/A7,2163,808189,616155,568
2015-08-20$4.56$4.7540.8%11.7%29.6%56.4%38.5%14.5%-4.8%-111.1K-13.9M-145.3K0.8854.39N/AN/A31,77628,112196,352159,360
2015-08-21$4.18$4.6956.1%16.1%41.4%96.9%46.7%13.8%-11.0%-190.0K7.1M-143.7K0.5161.38N/AN/A51,77626,608202,832164,288
2015-08-24$3.93$4.6376.4%21.9%45.4%100.0%76.8%40.8%-11.5%115.4K376.4K-152.2K0.6376.71N/AN/A37,87223,968174,528126,896
2015-08-25$3.90$4.4463.4%18.2%44.1%77.1%59.6%10.0%-9.8%131.2K-1.6M-144.2K0.5882.09N/AN/A41,60023,968189,184132,128
2015-08-26$4.18$4.4457.3%16.4%52.0%66.4%54.5%17.5%-6.3%221.1K-6.5M-153.9K0.8069.32N/AN/A44,28835,360194,032133,008
2015-08-27$4.36$4.3852.8%15.1%55.1%58.4%52.6%15.8%-6.4%451.7K-17.9M-171.9K0.6663.52N/AN/A51,07233,536204,160137,184
2015-08-28$4.38$4.3856.0%16.1%55.2%63.6%55.9%20.4%-5.6%558.0K-20.6M-181.3K0.6461.16N/AN/A47,10430,336212,112141,504
2015-08-31$4.30$4.4456.7%16.3%55.4%64.8%57.5%19.5%-3.3%495.6K-17.6M-177.6K0.7260.97N/AN/A41,68030,192216,928144,336