QLD Options History — October 2015 In October 2015, QLD traded between $4.02 and $5.08. ATM implied volatility averaged 35.2%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 5.6% (HV 20d: 40.8%). Max pain ranged from $4.25 to $4.44. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.79.
Notable Days 2015-10-16 : Highest Volume — 68,768 contracts2015-10-09 : Largest IV drop — 20.4% change2015-10-01 : Highest IV Rank — 55.4%2015-10-01 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $4.60 $4.02 $5.08 $4.02 $5.05 Max Pain $4.35 $4.25 $4.44 $4.34 $4.44 ATM IV 35.2% 29.8% 51.9% 51.9% 29.8% Expected Move 10.2% 8.5% 14.9% 14.9% 8.5% HV 20d 40.8% 29.7% 47.3% 42.6% 29.7% HV 60d 47.1% 46.1% 48.5% 46.1% 48.0% IV Rank 25.1% 15.2% 55.4% 55.4% 15.2% IV Percentile 66.9% 47.6% 92.5% 92.5% 47.6% Term Structure 1.2% -1.1% 4.7% -1.1% 1.5% VWIV 36.5% 30.7% 44.6% 44.1% 30.7% Skew 25d 10.8% 7.8% 15.3% 15.3% 8.5% Skew 10d 20.7% 14.4% 28.8% 16.5% 15.5% Call IV 25d 30.5% 25.3% 43.3% 43.3% 26.2% Put IV 25d 41.3% 34.4% 58.6% 58.6% 34.7% Bid-Ask Spread % 53.67 40.03 77.18 77.18 62.20 Gamma HHI 0.06 0.04 0.24 0.05 0.04 Net GEX 503.8K -87.5K 2.3M -87.5K 620.9K Net DEX -28.2M -46.9M 1.7M 1.7M -46.7M Net VEX -104.8K -116.8K -91.0K -110.3K -108.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.24 1.00 0.80 0.86 Total Volume 55,411.636 13,168 68,768 56,816 58,560 Total OI 305,893.818 205,024 385,280 342,880 264,752
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 2015-10-01 $4.02 $4.34 51.9% 14.9% 42.6% 55.4% 44.1% 15.3% -1.1% -87.5K 1.7M -110.3K 0.80 77.18 N/A N/A 31,648 25,168 197,264 145,616 2015-10-02 $4.23 $4.34 45.0% 12.9% 46.6% 42.9% 44.6% 11.0% 0.5% 18.7K -8.5M -111.0K 1.00 74.20 N/A N/A 30,336 30,400 199,680 146,080 2015-10-05 $4.37 $4.25 39.0% 11.8% 47.3% 31.9% 42.5% 12.9% 0.7% 288.1K -17.8M -116.8K 0.24 40.03 N/A N/A 10,640 2,528 200,864 146,896 2015-10-06 $4.33 $4.31 40.9% 11.8% 44.3% 35.5% 40.2% 13.0% 0.7% 194.3K -15.2M -114.7K 0.97 43.83 N/A N/A 30,576 29,792 206,608 148,672 2015-10-07 $4.37 $4.31 37.0% 11.8% 43.3% 28.3% 39.0% 14.4% 0.4% 242.3K -17.5M -113.4K 0.99 42.49 N/A N/A 29,824 29,584 207,776 150,512 2015-10-08 $4.41 $4.31 39.6% 10.6% 42.7% 33.1% 38.4% 10.7% 0.8% 336.8K -20.2M -111.6K 0.99 45.70 N/A N/A 31,040 30,768 208,976 151,216 2015-10-09 $4.45 $4.31 31.5% 11.0% 42.7% 18.4% 40.6% 12.3% 0.9% 631.4K -25.6M -111.9K 0.89 42.19 N/A N/A 30,112 26,832 211,952 152,352 2015-10-12 $4.47 $4.31 34.3% 10.5% 42.7% 23.4% 39.1% 11.0% 1.7% 633.7K -28.3M -100.2K 0.90 42.55 N/A N/A 30,224 27,184 212,304 155,040 2015-10-13 $4.42 $4.31 38.9% 10.4% 42.0% 31.7% 39.4% 14.1% 1.6% 439.1K -24.1M -104.4K 0.78 49.47 N/A N/A 36,368 28,336 211,600 158,400 2015-10-14 $4.39 $4.31 38.7% 11.1% 41.8% 31.4% 39.5% 13.1% 1.4% 144.0K -20.4M -104.3K 0.75 46.60 N/A N/A 37,520 28,144 216,048 160,752 2015-10-15 $4.55 $4.25 34.7% 9.9% 43.7% 24.1% 34.0% 8.4% 2.2% 1.1M -34.5M -97.9K 0.81 47.19 N/A N/A 34,080 27,776 217,792 163,568 2015-10-16 $4.59 $4.31 32.2% 9.2% 42.6% 19.6% 34.0% 9.1% 2.4% 2.3M -40.2M -91.0K 0.82 49.63 N/A N/A 37,840 30,928 220,112 165,168 2015-10-19 $4.63 $4.38 31.0% 8.9% 42.6% 17.4% 32.2% 8.8% 3.1% 270.2K -24.8M -94.6K 0.78 54.38 N/A N/A 23,264 18,192 112,256 92,768 2015-10-20 $4.57 $4.38 32.3% 9.3% 39.4% 19.8% 35.0% 10.1% 2.4% 273.7K -24.8M -93.6K 0.85 52.48 N/A N/A 21,888 18,560 116,384 95,920 2015-10-21 $4.53 $4.38 33.1% 9.5% 39.2% 21.2% 36.7% 13.2% -0.1% 325.4K -24.5M -101.5K 0.75 58.32 N/A N/A 22,672 16,928 121,568 98,240 2015-10-22 $4.71 $4.38 30.0% 8.6% 40.9% 15.6% 31.4% 9.5% 4.7% 416.4K -29.7M -98.7K 0.68 55.70 N/A N/A 24,192 16,544 123,296 99,136 2015-10-23 $4.99 $4.38 29.8% 8.6% 43.9% 15.3% 31.8% 9.1% 0.2% 429.7K -40.2M -92.5K 0.58 58.38 N/A N/A 40,976 23,776 126,176 100,208 2015-10-26 $4.99 $4.38 32.8% 9.4% 36.8% 20.8% 33.3% 9.1% -1.0% 581.8K -43.1M -106.5K 0.66 62.38 N/A N/A 37,200 24,368 143,280 107,344 2015-10-27 $5.01 $4.38 31.0% 8.9% 35.7% 17.5% 32.2% 8.6% 1.9% 622.0K -43.2M -108.9K 0.70 55.54 N/A N/A 35,696 25,040 144,448 108,320 2015-10-28 $5.08 $4.44 30.5% 8.7% 33.7% 16.5% 32.2% 7.8% -0.1% 621.8K -46.9M -100.9K 0.89 61.86 N/A N/A 33,168 29,648 146,480 110,240 2015-10-29 $5.08 $4.44 30.4% 8.7% 32.8% 16.3% 32.1% 8.3% 1.8% 625.1K -45.5M -113.3K 0.77 58.41 N/A N/A 34,352 26,384 147,792 115,808 2015-10-30 $5.05 $4.44 29.8% 8.5% 29.7% 15.2% 30.7% 8.5% 1.5% 620.9K -46.7M -108.5K 0.86 62.20 N/A N/A 31,504 27,056 148,848 115,904
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