QLD Options History — December 2015 In December 2015, QLD traded between $4.76 and $5.18. ATM implied volatility averaged 34.9%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 0.9% (HV 20d: 35.8%). Max pain ranged from $3.75 to $4.88. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2015-12-14 : Highest Volume — 74,416 contracts2015-12-03 : Largest IV spike — 26.7% change2015-12-11 : Highest IV Rank — 39.3%2015-12-11 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $4.98 $4.76 $5.18 $5.18 $4.92 Max Pain $4.09 $3.75 $4.88 $4.88 $4.34 ATM IV 34.9% 29.5% 43.5% 30.7% 34.3% Expected Move 10.0% 8.5% 12.5% 8.8% 9.8% HV 20d 35.8% 27.2% 40.2% 27.3% 40.2% HV 60d 35.3% 32.5% 37.3% 35.3% 32.7% IV Rank 23.5% 13.6% 39.3% 15.9% 22.2% IV Percentile 66.6% 39.7% 90.1% 50.4% 67.5% Term Structure 2.1% -0.9% 4.7% 1.5% 1.2% VWIV 35.3% 30.2% 42.7% 30.2% 35.3% Skew 25d 10.9% 7.7% 15.1% 9.0% 11.4% Skew 10d 20.7% 12.5% 29.7% 15.2% 12.5% Call IV 25d 29.1% 25.3% 37.1% 25.7% 28.6% Put IV 25d 40.0% 34.2% 52.2% 34.7% 40.0% Bid-Ask Spread % 65.36 52.85 79.41 69.58 79.41 Gamma HHI 0.05 0.04 0.06 0.05 0.06 Net GEX 627.0K 87.1K 1.0M 640.4K 862.8K Net DEX -33.4M -43.0M -22.9M -41.2M -31.2M Net VEX -95.5K -108.5K -83.5K -96.3K -86.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.49 1.14 1.04 0.59 Total Volume 56,632 2,544 74,416 2,544 55,840 Total OI 269,671.273 239,136 305,680 261,472 244,496
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 2015-12-01 $5.18 $4.88 30.7% 8.8% 27.3% 15.9% 30.2% 9.0% 1.5% 640.4K -41.2M -96.3K 1.04 69.58 N/A N/A 1,248 1,296 141,328 120,144 2015-12-02 $5.12 $4.88 29.5% 8.5% 27.2% 13.6% 32.3% 9.3% 1.8% 644.6K -39.6M -99.4K 0.64 68.60 N/A N/A 37,008 23,776 142,784 120,976 2015-12-03 $4.94 $3.75 37.3% 10.0% 29.6% 28.1% 33.5% 13.3% 3.6% 388.3K -30.3M -101.7K 0.68 52.85 N/A N/A 36,944 25,264 145,872 122,336 2015-12-04 $5.17 $3.75 30.3% 9.5% 34.2% 15.0% 30.5% 8.1% 3.2% 788.7K -43.0M -91.1K 0.62 65.79 N/A N/A 39,184 24,448 149,248 125,040 2015-12-07 $5.13 $3.75 33.8% 9.1% 34.4% 21.6% 31.5% 12.2% 4.7% 810.6K -42.1M -105.2K 1.14 59.72 N/A N/A 3,328 3,792 156,208 125,872 2015-12-08 $5.14 $3.75 36.0% 9.7% 33.5% 25.4% 32.2% 8.5% 2.2% 812.7K -42.4M -99.6K 0.66 63.24 N/A N/A 37,712 24,720 156,832 127,120 2015-12-09 $4.96 $3.75 36.9% 10.6% 35.9% 27.1% 36.7% 13.2% 4.2% 499.5K -32.6M -108.3K 0.68 59.72 N/A N/A 36,352 24,640 157,216 127,248 2015-12-10 $5.00 $3.75 36.3% 10.4% 35.9% 25.9% 35.9% 13.3% 2.7% 591.9K -35.3M -105.0K 0.71 56.15 N/A N/A 35,168 24,944 157,696 129,088 2015-12-11 $4.78 $3.75 43.5% 12.5% 38.2% 39.3% 42.7% 15.1% -0.2% 197.8K -24.5M -108.5K 0.76 57.45 N/A N/A 36,400 27,584 157,968 129,520 2015-12-14 $4.85 $3.91 42.7% 12.3% 36.0% 37.9% 42.1% 10.6% -0.9% 87.1K -24.8M -98.1K 0.72 56.36 N/A N/A 43,264 31,152 158,608 131,648 2015-12-15 $4.92 $3.91 38.8% 11.1% 35.2% 30.6% 41.8% 14.6% 2.7% 418.7K -31.4M -103.9K 0.66 56.05 N/A N/A 43,760 28,880 162,400 136,464 2015-12-16 $5.07 $3.91 34.2% 9.8% 36.5% 22.0% 35.4% 7.7% 1.0% 977.0K -39.2M -93.9K 0.67 70.14 N/A N/A 40,848 27,280 166,480 136,768 2015-12-17 $4.94 $3.91 35.5% 10.2% 35.2% 24.5% 38.3% 13.1% 3.9% 519.7K -34.6M -96.9K 0.71 60.82 N/A N/A 39,024 27,728 168,416 137,168 2015-12-18 $4.76 $4.06 38.1% 10.9% 37.3% 29.4% 40.1% 12.9% 2.0% 288.8K -22.9M -93.7K 0.76 60.83 N/A N/A 40,176 30,528 167,984 137,696 2015-12-21 $4.83 $4.13 38.7% 11.1% 37.5% 30.5% 36.3% 9.9% 0.1% 427.0K -27.4M -89.3K 0.53 62.54 N/A N/A 35,312 18,656 138,544 102,176 2015-12-22 $4.88 $4.22 34.6% 9.9% 37.8% 22.9% 34.6% 9.7% 1.0% 530.7K -28.2M -89.7K 0.50 72.86 N/A N/A 37,072 18,512 137,712 104,352 2015-12-23 $4.96 $4.28 31.5% 9.0% 38.4% 17.2% 31.7% 8.2% 3.6% 708.8K -30.7M -88.3K 0.49 68.68 N/A N/A 37,104 18,048 135,104 104,032 2015-12-24 $4.96 $4.34 31.0% 8.9% 38.4% 16.2% 32.3% 9.7% 3.3% 796.9K -30.9M -91.4K 0.50 72.21 N/A N/A 37,120 18,400 137,200 104,224 2015-12-28 $4.95 $4.31 33.1% 9.5% 38.4% 20.0% 34.8% 8.8% 1.2% 767.1K -30.2M -84.8K 0.58 71.12 N/A N/A 36,400 21,264 137,504 103,920 2015-12-29 $5.11 $4.34 31.3% 9.0% 40.0% 16.7% 33.5% 9.6% 1.3% 999.5K -37.3M -83.5K 0.60 77.85 N/A N/A 35,760 21,472 138,992 104,448 2015-12-30 $5.03 $4.34 29.9% 8.6% 39.7% 14.1% 34.4% 11.4% 3.1% 1.0M -35.4M -85.5K 0.63 75.89 N/A N/A 35,936 22,560 140,672 103,264 2015-12-31 $4.92 $4.34 34.3% 9.8% 40.2% 22.2% 35.3% 11.4% 1.2% 862.8K -31.2M -86.0K 0.59 79.41 N/A N/A 35,200 20,640 140,800 103,696
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