QLD Options History — November 2015

In November 2015, QLD traded between $4.73 and $5.21. ATM implied volatility averaged 31.1%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.2% (HV 20d: 29.9%). Max pain ranged from $4.44 to $4.88. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2015-11-10: Highest Volume — 75,600 contracts
  • 2015-11-30: Largest IV spike — 15.1% change
  • 2015-11-16: Highest IV Rank — 29.5%
  • 2015-11-16: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.05$4.73$5.21$5.14$5.08
Max Pain$4.77$4.44$4.88$4.44$4.88
ATM IV31.1%27.4%38.1%28.3%31.6%
Expected Move9.0%7.9%10.9%8.1%9.0%
HV 20d29.9%26.9%35.9%28.5%27.0%
HV 60d43.6%35.5%48.1%48.1%35.5%
IV Rank17.0%9.8%29.5%12.5%17.4%
IV Percentile52.0%27.4%80.6%38.1%56.0%
Term Structure1.1%-2.8%5.2%2.2%-0.2%
VWIV34.3%28.7%40.4%31.2%32.0%
Skew 25d9.7%6.8%13.9%7.3%10.3%
Skew 10d17.9%12.0%22.9%12.0%14.8%
Call IV 25d27.1%24.2%32.7%25.0%26.9%
Put IV 25d36.8%31.2%43.5%32.3%37.1%
Bid-Ask Spread %50.3335.2367.9665.2867.96
Gamma HHI0.060.040.140.040.05
Net GEX643.5K373.7K1.2M630.3K506.6K
Net DEX-42.8M-53.2M-26.7M-49.7M-37.5M
Net VEX-104.9K-113.0K-88.5K-99.5K-99.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.262.270.770.26
Total Volume51,523.24,20875,60062,4324,208
Total OI287,541.6241,472323,344268,384259,696

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$5.14$4.4428.3%8.1%28.5%12.5%31.2%7.3%2.2%630.3K-49.7M-99.5K0.7765.28N/AN/A35,34427,088148,992119,392
2015-11-03$5.21$4.4427.9%8.0%27.8%11.8%28.7%6.8%2.0%680.0K-53.2M-103.6K0.8163.46N/AN/A35,77629,072151,264120,096
2015-11-04$5.17$4.5028.1%8.1%28.5%12.2%29.3%8.6%1.7%716.9K-51.3M-110.3K0.9061.62N/AN/A38,25634,496154,816125,312
2015-11-05$5.16$4.8128.7%8.9%28.7%13.2%34.9%9.9%0.2%774.9K-50.7M-113.0K0.8635.23N/AN/A38,62433,088158,528129,424
2015-11-06$5.16$4.8129.8%9.0%28.8%15.2%35.3%9.2%0.1%849.2K-50.7M-102.2K0.6542.12N/AN/A3,0561,984158,096132,064
2015-11-09$5.05$4.8129.4%9.2%30.6%14.6%36.8%10.3%-1.9%765.6K-44.5M-109.4K0.5947.03N/AN/A8,7525,184157,696133,216
2015-11-10$5.01$4.8130.0%9.1%30.3%15.7%35.7%10.1%1.6%742.8K-41.7M-112.6K0.8143.31N/AN/A41,69633,904160,208136,608
2015-11-11$5.04$4.8130.9%8.9%30.0%17.2%35.6%9.9%2.1%917.7K-44.5M-110.3K0.8144.89N/AN/A41,69633,808162,592136,800
2015-11-12$4.91$4.8133.7%9.7%30.2%21.4%37.8%13.9%1.1%633.5K-37.4M-110.6K0.8942.63N/AN/A37,50433,440163,088138,528
2015-11-13$4.73$4.8136.8%10.5%33.5%27.0%40.4%10.8%0.9%373.7K-26.7M-112.1K0.8748.38N/AN/A38,99233,968164,128139,504
2015-11-16$4.86$4.8138.1%10.9%34.6%29.5%35.0%10.0%-2.8%398.5K-31.2M-96.3K0.7046.08N/AN/A6,7364,688165,376141,856
2015-11-17$4.87$4.8135.6%10.2%34.0%24.9%39.1%11.2%-0.5%614.5K-34.7M-110.0K0.7749.37N/AN/A39,84030,608168,160143,856
2015-11-18$5.05$4.8134.5%9.9%35.9%23.0%32.2%9.0%-1.3%669.0K-47.7M-88.5K0.6754.00N/AN/A42,46428,656172,560144,672
2015-11-19$5.06$4.8133.0%9.5%33.8%20.1%35.4%8.5%0.6%1.2M-48.5M-106.0K0.7846.94N/AN/A38,86430,496175,808145,264
2015-11-20$5.11$4.8130.4%8.7%27.4%15.3%34.8%9.0%2.0%410.1K-52.1M-104.2K0.7744.75N/AN/A42,06432,208176,720146,624
2015-11-23$5.09$4.8128.0%8.0%27.5%10.8%32.1%10.3%5.2%447.0K-36.9M-99.7K0.6049.84N/AN/A9,9525,968131,920109,552
2015-11-24$5.09$4.8830.5%8.7%27.5%15.5%33.9%9.1%1.7%497.1K-37.7M-101.8K2.2745.09N/AN/A3,5207,984139,152115,296
2015-11-25$5.09$4.8829.3%8.4%26.9%13.3%34.3%9.7%3.1%469.7K-38.7M-106.9K0.7941.79N/AN/A33,26426,336142,080119,312
2015-11-27$5.11$4.8827.4%7.9%27.0%9.8%31.5%9.1%4.5%547.5K-40.1M-100.8K0.7166.72N/AN/A33,26423,616143,056119,520
2015-11-30$5.08$4.8831.6%9.0%27.0%17.4%32.0%10.3%-0.2%506.6K-37.5M-99.3K0.2667.96N/AN/A3,344864139,920119,776