QLD Options History — September 2015 In September 2015, QLD traded between $3.89 and $4.50. ATM implied volatility averaged 49.3%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 8.8% (HV 20d: 58.1%). Max pain ranged from $4.31 to $4.38. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.83.
Notable Days 2015-09-16 : Highest Volume — 74,752 contracts2015-09-28 : Largest IV spike — 34.4% change2015-09-01 : Highest IV Rank — 81.8%2015-09-01 : Largest Expected Move — 19.0%Monthly Statistics Metric Avg Min Max Open Close Price $4.24 $3.89 $4.50 $4.03 $4.07 Max Pain $4.36 $4.31 $4.38 $4.38 $4.38 ATM IV 49.3% 36.9% 66.2% 66.2% 52.5% Expected Move 14.0% 10.6% 19.0% 19.0% 15.1% HV 20d 58.1% 44.5% 65.5% 59.2% 45.6% HV 60d 43.7% 41.1% 46.4% 41.1% 46.4% IV Rank 50.8% 28.1% 81.8% 81.8% 56.6% IV Percentile 93.1% 82.1% 99.6% 99.6% 93.7% Term Structure -1.9% -12.3% 4.2% -4.2% -3.8% VWIV 46.4% 39.2% 62.2% 62.2% 45.9% Skew 25d 15.4% 9.9% 20.5% 16.8% 12.2% Skew 10d 29.9% 22.0% 38.4% 37.2% 24.4% Call IV 25d 40.9% 32.8% 57.8% 57.8% 44.8% Put IV 25d 56.3% 43.7% 74.6% 74.6% 57.0% Bid-Ask Spread % 59.91 43.40 79.87 70.65 69.03 Gamma HHI 0.06 0.04 0.33 0.04 0.04 Net GEX 471.6K -125.5K 1.6M 271.3K -117.7K Net DEX -12.4M -30.3M 6.1M -4.6M 735.0K Net VEX -140.7K -168.4K -107.9K -161.5K -110.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.46 1.13 0.70 0.76 Total Volume 60,656.762 4,896 74,752 69,952 59,360 Total OI 362,227.048 298,096 403,872 367,456 336,288
Daily Data (21 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 2015-09-01 $4.03 $4.38 66.2% 19.0% 59.2% 81.8% 62.2% 16.8% -4.2% 271.3K -4.6M -161.5K 0.70 70.65 N/A N/A 41,056 28,896 221,200 146,256 2015-09-02 $4.22 $4.38 54.6% 15.6% 61.8% 60.3% 54.2% 14.3% -3.9% 392.1K -10.9M -167.7K 0.71 69.26 N/A N/A 37,888 26,960 224,016 147,184 2015-09-03 $4.21 $4.34 54.6% 15.2% 61.3% 60.3% 49.5% 20.0% -4.6% 434.2K -12.5M -168.4K 0.67 43.40 N/A N/A 37,792 25,376 226,592 148,304 2015-09-04 $4.12 $4.34 56.8% 15.4% 61.5% 64.4% 49.0% 19.0% -2.6% 303.3K -6.2M -159.3K 0.73 49.55 N/A N/A 36,320 26,336 227,232 148,832 2015-09-08 $4.33 $4.34 52.9% 13.4% 63.8% 57.4% 48.8% 16.3% 0.9% 533.1K -17.4M -156.5K 0.58 47.64 N/A N/A 5,920 3,440 228,992 148,480 2015-09-09 $4.22 $4.34 51.9% 14.9% 63.9% 55.5% 47.8% 20.5% -2.4% 443.2K -14.1M -153.1K 0.79 50.03 N/A N/A 36,384 28,896 228,912 150,112 2015-09-10 $4.31 $4.34 48.8% 14.0% 64.6% 49.7% 46.8% 16.6% -2.2% 578.8K -16.6M -159.9K 0.83 47.96 N/A N/A 36,960 30,704 233,536 154,752 2015-09-11 $4.36 $4.34 45.1% 12.9% 64.8% 43.1% 44.9% 16.9% -0.0% 656.5K -18.2M -157.0K 0.95 52.18 N/A N/A 32,080 30,464 233,872 154,976 2015-09-14 $4.33 $4.34 46.5% 13.3% 64.7% 45.6% 45.9% 19.0% 0.4% 634.4K -17.8M -148.7K 0.90 49.78 N/A N/A 32,992 29,648 233,776 155,152 2015-09-15 $4.44 $4.34 42.8% 12.3% 65.2% 39.0% 43.6% 14.2% 0.3% 1.0M -25.2M -146.7K 0.46 52.54 N/A N/A 3,344 1,552 235,568 154,304 2015-09-16 $4.50 $4.38 40.8% 11.7% 65.5% 35.3% 42.1% 13.8% -0.5% 1.1M -27.4M -142.4K 1.06 50.62 N/A N/A 36,368 38,384 235,472 156,112 2015-09-17 $4.50 $4.38 36.9% 10.6% 65.4% 28.1% 39.8% 10.8% 4.2% 999.7K -30.3M -136.6K 0.75 79.87 N/A N/A 39,824 29,808 238,256 165,296 2015-09-18 $4.38 $4.38 42.5% 12.2% 63.3% 38.4% 44.3% 17.1% -0.0% 1.6M -14.5M -131.4K 0.83 55.75 N/A N/A 39,872 33,184 237,984 165,888 2015-09-21 $4.39 $4.38 41.0% 11.8% 54.9% 35.6% 39.3% 14.2% 0.8% 376.2K -16.4M -125.5K 0.75 61.54 N/A N/A 34,976 26,304 172,624 125,472 2015-09-22 $4.20 $4.38 45.7% 13.1% 52.6% 44.2% 43.4% 17.2% 2.3% 266.8K -10.0M -126.3K 0.65 58.69 N/A N/A 37,696 24,432 182,480 128,800 2015-09-23 $4.28 $4.31 42.8% 12.3% 52.7% 39.0% 40.4% 12.2% 0.9% 386.3K -14.5M -129.9K 1.13 61.93 N/A N/A 31,728 35,792 188,048 131,824 2015-09-24 $4.25 $4.38 46.7% 13.4% 47.1% 46.0% 45.3% 11.8% -3.4% 89.4K -7.6M -128.0K 1.07 65.01 N/A N/A 33,840 36,192 188,832 143,472 2015-09-25 $4.17 $4.38 44.5% 12.8% 44.5% 42.0% 39.2% 9.9% 1.5% 64.3K -6.5M -126.2K 1.01 73.97 N/A N/A 35,920 36,320 190,976 144,128 2015-09-28 $3.95 $4.38 59.8% 17.1% 48.3% 69.8% 49.7% 13.7% -12.3% -64.6K 2.6M -112.3K 0.98 76.82 N/A N/A 35,664 34,800 193,664 144,272 2015-09-29 $3.89 $4.38 61.9% 17.7% 48.2% 73.7% 52.5% 17.1% -12.2% -125.5K 6.1M -107.9K 1.12 71.82 N/A N/A 28,464 31,856 191,088 143,744 2015-09-30 $4.07 $4.38 52.5% 15.1% 45.6% 56.6% 45.9% 12.2% -3.8% -117.7K 735.0K -110.2K 0.76 69.03 N/A N/A 33,680 25,680 191,104 145,184
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