QLD Options History — May 2016

In May 2016, QLD traded between $4.25 and $4.69. ATM implied volatility averaged 30.5%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.7% (HV 20d: 24.8%). Max pain ranged from $4.25 to $4.44. 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

  • 2016-05-16: Highest Volume — 38,224 contracts
  • 2016-05-25: Largest IV drop — 17.7% change
  • 2016-05-04: Highest IV Rank — 25.2%
  • 2016-05-04: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.40$4.25$4.69$4.39$4.69
Max Pain$4.32$4.25$4.44$4.44$4.25
ATM IV30.5%25.6%36.4%32.6%26.5%
Expected Move8.9%7.3%10.4%9.3%7.6%
HV 20d24.8%21.8%28.7%27.1%25.8%
HV 60d27.5%25.1%33.5%33.5%25.2%
IV Rank14.2%5.0%25.2%18.1%6.8%
IV Percentile32.3%6.3%60.3%46.8%9.5%
Term Structure1.8%-1.4%5.5%2.5%2.0%
VWIV32.2%23.2%36.6%33.1%23.2%
Skew 25d9.4%6.3%13.6%13.6%7.0%
Skew 10d18.3%12.3%23.9%22.0%12.3%
Call IV 25d26.4%21.4%32.1%28.6%22.8%
Put IV 25d35.8%28.7%42.2%42.2%29.8%
Bid-Ask Spread %72.8559.0282.0270.8079.82
Gamma HHI0.090.070.130.070.13
Net GEX521.3K166.9K1.2M416.4K1.2M
Net DEX-7.8M-22.0M-2.5M-5.9M-22.0M
Net VEX-51.5K-56.5K-47.1K-56.5K-54.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.380.920.580.56
Total Volume31,431.61927,32838,22434,20828,384
Total OI125,875.048103,680138,624119,392133,968

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$4.39$4.4432.6%9.3%27.1%18.1%33.1%13.6%2.5%416.4K-5.9M-56.5K0.5870.80N/AN/A21,61612,59277,20042,192
2016-05-03$4.31$4.4434.4%9.9%27.1%21.5%35.7%10.1%-0.2%370.5K-4.4M-56.0K0.6474.04N/AN/A18,70411,98477,98442,464
2016-05-04$4.26$4.4436.4%10.4%23.8%25.2%35.8%8.4%0.5%305.7K-2.5M-54.1K0.6175.68N/AN/A18,72011,50477,82443,024
2016-05-05$4.25$4.3834.8%10.2%21.8%22.1%33.6%11.8%-1.4%313.8K-2.6M-53.2K0.6559.02N/AN/A17,48811,44078,83243,392
2016-05-06$4.29$4.3831.6%9.9%22.4%16.3%36.6%9.8%-1.2%329.2K-2.7M-52.6K0.8365.37N/AN/A16,72013,93679,42443,440
2016-05-09$4.32$4.3831.7%9.5%22.7%16.4%35.8%9.8%0.3%389.3K-3.7M-51.3K0.9266.03N/AN/A16,27214,92879,87244,448
2016-05-10$4.44$4.3828.3%9.1%24.5%10.0%34.0%6.3%-0.8%571.8K-7.8M-49.8K0.6168.50N/AN/A20,35212,32080,28845,584
2016-05-11$4.36$4.3830.9%8.9%22.8%14.9%33.7%11.4%1.8%609.6K-6.6M-52.1K0.7571.68N/AN/A17,23212,94484,04845,792
2016-05-12$4.32$4.3132.6%9.3%22.8%18.1%35.3%10.1%1.3%488.4K-4.4M-51.3K0.7874.05N/AN/A16,40012,80084,36846,512
2016-05-13$4.29$4.3129.4%8.4%22.8%12.1%34.7%8.6%5.5%434.3K-3.3M-49.5K0.7974.94N/AN/A16,09612,78484,52846,752
2016-05-16$4.39$4.3129.9%8.6%24.7%13.1%34.5%12.9%1.7%649.8K-6.0M-47.8K0.4874.67N/AN/A25,85612,36884,64046,752
2016-05-17$4.37$4.2530.8%8.8%24.5%14.8%34.1%11.1%1.8%404.3K-6.4M-50.0K0.5072.43N/AN/A24,36812,27286,00047,040
2016-05-18$4.30$4.2531.6%9.1%24.7%16.2%33.4%9.8%2.7%281.9K-3.7M-50.3K0.5675.04N/AN/A23,84013,39288,80048,848
2016-05-19$4.28$4.2532.9%9.4%24.6%18.7%35.4%10.0%2.0%166.9K-2.8M-49.2K0.8669.47N/AN/A14,65612,67288,84849,040
2016-05-20$4.36$4.2529.2%8.4%24.4%11.8%32.5%8.8%2.8%428.3K-5.6M-47.9K0.9072.31N/AN/A16,06414,51289,13649,488
2016-05-23$4.35$4.2528.4%8.1%24.4%10.3%30.5%9.8%4.0%460.8K-8.1M-47.1K0.5366.85N/AN/A18,5449,87268,78434,896
2016-05-24$4.53$4.2531.5%9.0%28.7%16.1%27.3%6.8%3.5%619.4K-13.1M-47.1K0.4482.02N/AN/A21,4089,44074,91236,048
2016-05-25$4.59$4.2526.0%7.4%28.4%5.7%26.0%7.8%3.4%753.8K-16.3M-53.7K0.4979.25N/AN/A21,58410,67281,29636,256
2016-05-26$4.61$4.2525.6%7.3%26.6%5.0%25.2%6.6%2.1%845.6K-17.3M-54.4K0.5677.18N/AN/A19,40810,91286,24038,000
2016-05-27$4.66$4.2525.8%7.4%26.3%5.4%25.4%7.5%3.2%918.3K-18.9M-53.7K0.3880.67N/AN/A23,8889,12087,66438,752
2016-05-31$4.69$4.2526.5%7.6%25.8%6.8%23.2%7.0%2.0%1.2M-22.0M-54.9K0.5679.82N/AN/A18,24010,14495,24838,720