QLD Options History — April 2016

In April 2016, QLD traded between $4.31 and $4.77. ATM implied volatility averaged 30.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.4% (HV 20d: 25.1%). Max pain ranged from $4.25 to $4.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-04-13: Highest Volume — 46,064 contracts
  • 2016-04-05: Largest IV spike — 26.0% change
  • 2016-04-29: Highest IV Rank — 22.6%
  • 2016-04-29: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.62$4.31$4.77$4.70$4.31
Max Pain$4.41$4.25$4.50$4.25$4.44
ATM IV30.5%25.0%35.0%26.5%35.0%
Expected Move8.9%7.6%10.0%7.6%10.0%
HV 20d25.1%21.8%27.5%21.8%25.9%
HV 60d38.5%33.3%44.4%44.4%33.3%
IV Rank14.1%4.0%22.6%6.7%22.6%
IV Percentile34.0%6.0%56.3%13.5%56.3%
Term Structure1.9%-3.1%6.1%6.1%-1.9%
VWIV32.5%27.3%35.8%27.3%35.0%
Skew 25d9.7%6.5%16.3%16.3%9.1%
Skew 10d17.2%11.4%21.8%14.6%11.5%
Call IV 25d26.3%16.6%31.2%16.6%31.2%
Put IV 25d36.0%31.5%40.3%32.9%40.3%
Bid-Ask Spread %65.5649.7794.1194.1176.34
Gamma HHI0.080.060.190.090.06
Net GEX746.9K353.6K1.4M1.0M353.6K
Net DEX-16.6M-26.7M-4.0M-23.0M-4.0M
Net VEX-61.3K-64.7K-56.4K-63.3K-56.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.550.740.650.56
Total Volume38,495.23830,22446,06438,75234,976
Total OI146,179.04896,160188,256173,488116,016

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$4.70$4.2526.5%7.6%21.8%6.7%27.3%16.3%6.1%1.0M-23.0M-63.3K0.6594.11N/AN/A23,44015,312117,32856,160
2016-04-04$4.66$4.5025.0%9.0%22.2%4.0%34.2%11.1%2.6%1.1M-22.3M-64.7K0.7252.17N/AN/A22,78416,336118,08057,392
2016-04-05$4.58$4.5031.6%9.2%22.6%16.2%34.4%11.1%3.8%976.9K-18.7M-64.6K0.6055.11N/AN/A26,08015,584117,93658,848
2016-04-06$4.73$4.5029.9%8.1%23.3%13.1%30.9%9.2%4.8%1.0M-22.8M-61.8K0.6066.09N/AN/A26,27215,776117,23259,808
2016-04-07$4.59$4.5033.9%9.8%26.5%20.5%34.9%9.0%4.0%945.0K-19.7M-64.1K0.6364.15N/AN/A26,35216,576120,30460,528
2016-04-08$4.58$4.5029.6%9.8%26.5%12.5%35.8%10.7%3.8%886.0K-19.0M-63.4K0.6761.71N/AN/A24,43216,272118,57661,488
2016-04-11$4.57$4.5033.5%9.8%24.0%19.8%35.4%10.0%4.5%890.9K-18.8M-62.7K0.6959.71N/AN/A23,24816,080121,12062,128
2016-04-12$4.63$4.5031.4%9.3%24.2%15.9%35.3%11.5%1.1%962.8K-20.7M-59.4K0.6157.91N/AN/A27,74416,928120,65662,400
2016-04-13$4.75$4.2530.8%8.8%25.4%14.8%31.1%10.0%2.2%1.1M-24.4M-60.4K0.6057.19N/AN/A28,80017,264121,24861,856
2016-04-14$4.75$4.2529.9%8.6%25.0%13.0%33.1%10.0%3.2%1.4M-26.7M-61.4K0.7449.77N/AN/A24,04817,728124,75263,344
2016-04-15$4.73$4.2528.8%8.3%25.1%11.0%30.7%8.5%3.1%414.3K-25.3M-60.6K0.6663.95N/AN/A25,84016,944123,60064,656
2016-04-18$4.77$4.3130.9%8.9%25.2%15.0%30.4%6.5%0.5%468.1K-13.7M-58.5K0.6760.87N/AN/A18,08012,14464,38431,776
2016-04-19$4.71$4.3829.1%8.4%25.8%11.6%32.0%8.9%1.1%499.0K-13.6M-59.8K0.5869.83N/AN/A21,13612,33666,54432,512
2016-04-20$4.73$4.3828.3%8.1%25.8%10.1%30.4%7.8%0.8%561.5K-15.1M-61.7K0.5575.14N/AN/A23,82413,10471,16833,680
2016-04-21$4.72$4.4428.5%8.2%25.0%10.5%31.5%7.1%1.8%600.8K-15.7M-63.8K0.5565.55N/AN/A23,68012,97674,14434,160
2016-04-22$4.58$4.4429.7%8.5%27.5%12.7%31.2%8.1%2.2%602.3K-11.7M-62.5K0.6063.67N/AN/A26,38415,95274,70434,192
2016-04-25$4.57$4.4430.9%8.9%27.5%14.9%33.1%9.1%0.8%505.1K-10.5M-60.8K0.6558.74N/AN/A22,67214,72072,14437,376
2016-04-26$4.53$4.4428.8%8.2%25.5%11.0%30.3%10.3%-0.7%484.8K-10.2M-60.4K0.6870.36N/AN/A19,68013,40872,36838,496
2016-04-27$4.46$4.4433.5%9.6%25.6%19.9%31.4%8.9%-0.3%447.3K-7.3M-58.7K0.7275.63N/AN/A18,28813,16873,77639,104
2016-04-28$4.35$4.4434.1%9.8%27.0%21.0%34.5%9.6%-3.1%423.9K-6.3M-58.1K0.6978.64N/AN/A18,92813,10474,73639,040
2016-04-29$4.31$4.4435.0%10.0%25.9%22.6%35.0%9.1%-1.9%353.6K-4.0M-56.4K0.5676.34N/AN/A22,36812,60875,82440,192