QLD Options History — January 2016

In January 2016, QLD traded between $3.92 and $4.68. ATM implied volatility averaged 52.2%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 4.9% (HV 20d: 47.4%). Max pain ranged from $3.88 to $4.81. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2016-01-15: Highest Volume — 112,240 contracts
  • 2016-01-07: Largest IV spike — 36.1% change
  • 2016-01-08: Highest IV Rank — 90.2%
  • 2016-01-15: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.20$3.92$4.68$4.68$4.21
Max Pain$4.16$3.88$4.81$4.81$4.00
ATM IV52.2%40.7%71.0%44.5%46.8%
Expected Move13.9%11.1%15.8%12.2%13.4%
HV 20d47.4%38.1%57.3%42.2%57.3%
HV 60d38.9%34.4%43.0%34.4%43.0%
IV Rank55.4%34.0%90.2%41.0%45.4%
IV Percentile92.1%83.7%99.6%90.5%87.3%
Term Structure-1.6%-3.8%3.5%-0.5%-0.9%
VWIV46.5%39.7%54.6%42.3%44.9%
Skew 25d14.1%6.6%18.2%12.8%6.6%
Skew 10d26.4%18.4%32.5%24.5%18.4%
Call IV 25d41.0%32.3%46.4%34.4%40.0%
Put IV 25d55.1%45.9%64.4%47.3%46.6%
Bid-Ask Spread %64.0447.9477.5947.9475.96
Gamma HHI0.090.050.290.050.10
Net GEX173.1K-343.5K545.1K357.4K545.1K
Net DEX-4.3M-19.2M9.9M-18.0M-7.1M
Net VEX-70.1K-81.4K-53.1K-74.5K-80.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.280.910.710.29
Total Volume58,909.4748,320112,24049,7448,320
Total OI218,486.737136,112300,976245,792171,488

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$4.68$4.8144.5%12.2%42.2%41.0%42.3%12.8%-0.5%357.4K-18.0M-74.5K0.7147.94N/AN/A29,08820,656141,568104,224
2016-01-05$4.68$4.6340.7%11.1%38.1%34.0%39.7%13.6%3.5%345.2K-19.2M-74.9K0.8050.13N/AN/A27,58421,952142,512106,752
2016-01-06$4.57$4.6345.1%11.7%38.7%42.2%46.1%12.7%1.1%117.7K-13.6M-70.4K0.7349.61N/AN/A33,04024,000143,584107,616
2016-01-07$4.34$4.1361.4%14.0%41.7%72.3%49.9%15.3%-3.8%-109.3K-5.2M-69.8K0.7854.18N/AN/A36,56028,576149,808113,904
2016-01-08$4.22$4.1371.0%14.5%41.0%90.2%51.2%17.5%-3.4%-204.2K-1.5M-69.4K0.7857.54N/AN/A34,94427,280151,936120,672
2016-01-11$4.26$4.1362.5%13.5%41.1%74.4%45.6%12.2%-2.3%-305.7K-802.1K-61.7K0.8460.22N/AN/A34,54429,040152,656122,400
2016-01-12$4.36$4.1355.9%12.2%40.2%62.3%43.1%11.8%-0.5%-343.5K-4.9M-64.8K0.8060.37N/AN/A37,55230,048155,264127,744
2016-01-13$4.06$4.1350.3%14.4%46.2%51.8%50.9%16.9%-3.3%-320.0K6.3M-55.3K0.6563.52N/AN/A41,95227,376157,232127,936
2016-01-14$4.22$4.1347.3%13.6%48.5%46.4%45.2%14.5%-0.8%-272.1K-388.5K-59.7K0.7361.26N/AN/A47,71234,832163,440130,656
2016-01-15$3.97$4.1355.2%15.8%50.1%60.9%46.4%15.7%-3.0%133.9K9.9M-53.1K0.4262.56N/AN/A79,12033,120170,160130,816
2016-01-19$3.99$4.1351.8%14.8%50.3%54.6%45.5%16.4%-2.2%506.1K-2.9M-69.9K0.2870.06N/AN/A61,58417,152112,11240,144
2016-01-20$3.96$4.1355.0%15.8%49.4%60.5%54.6%18.2%-1.7%289.0K-432.6K-62.7K0.5369.97N/AN/A36,60819,44094,16041,952
2016-01-21$3.99$3.8853.6%15.4%49.0%57.9%53.1%15.5%-3.6%388.6K-3.2M-75.7K0.8168.83N/AN/A29,20023,600108,19246,640
2016-01-22$4.18$4.0046.3%13.3%52.5%44.5%43.3%13.0%-1.1%487.2K-6.3M-81.4K0.7465.65N/AN/A27,48820,288108,25649,712
2016-01-25$4.06$4.0051.7%14.8%52.2%54.4%45.4%16.9%-0.3%447.5K-5.0M-78.5K0.7173.68N/AN/A27,29619,360108,99250,416
2016-01-26$4.12$4.0048.9%14.0%52.8%49.2%45.5%12.8%-2.2%475.5K-5.3M-78.0K0.7973.81N/AN/A28,16022,288109,58450,432
2016-01-27$3.92$4.0051.9%14.9%54.5%54.8%44.7%15.4%-2.6%344.9K-794.8K-73.0K0.9173.89N/AN/A26,56024,080112,12854,944
2016-01-28$4.04$4.0052.8%15.1%54.2%56.4%45.7%10.2%-2.4%405.2K-2.9M-79.6K0.8877.59N/AN/A26,06422,816113,26457,952
2016-01-29$4.21$4.0046.8%13.4%57.3%45.4%44.9%6.6%-0.9%545.1K-7.1M-80.3K0.2975.96N/AN/A6,4481,872113,66457,824