QLD Options History — June 2016

In June 2016, QLD traded between $4.03 and $4.70. ATM implied volatility averaged 32.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.1% (HV 20d: 26.4%). Max pain ranged from $4.06 to $4.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-06-29: Highest Volume — 53,616 contracts
  • 2016-06-24: Largest IV spike — 37.9% change
  • 2016-06-27: Highest IV Rank — 48.2%
  • 2016-06-27: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.49$4.03$4.70$4.67$4.43
Max Pain$4.14$4.06$4.25$4.25$4.19
ATM IV32.5%22.5%48.4%25.7%29.1%
Expected Move9.4%7.4%13.9%7.4%8.3%
HV 20d26.4%17.8%42.8%24.7%42.8%
HV 60d25.8%23.6%32.1%25.0%31.7%
IV Rank18.5%0.0%48.2%5.3%12.2%
IV Percentile38.9%0.0%83.3%6.7%17.1%
Term Structure1.9%-6.9%7.9%2.0%0.7%
VWIV33.1%27.8%43.6%29.1%29.6%
Skew 25d11.1%6.7%15.0%6.7%11.6%
Skew 10d21.2%16.3%28.3%16.3%16.6%
Call IV 25d27.7%22.7%40.1%22.8%22.7%
Put IV 25d38.9%29.5%54.1%29.5%34.3%
Bid-Ask Spread %77.5167.2091.9977.2889.71
Gamma HHI0.140.060.400.140.11
Net GEX787.6K125.8K1.3M1.2M769.7K
Net DEX-11.0M-22.8M4.2M-21.3M-9.6M
Net VEX-55.2K-62.6K-46.7K-56.2K-62.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.501.290.560.59
Total Volume34,938.90925,79253,61627,29648,304
Total OI144,231.273125,392166,880136,256159,696

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$4.67$4.2525.7%7.4%24.7%5.3%29.1%6.7%2.0%1.2M-21.3M-56.2K0.5677.28N/AN/A17,5209,77696,19240,064
2016-06-02$4.70$4.0627.6%8.3%23.9%8.8%27.8%7.9%4.2%1.3M-22.7M-51.0K0.5467.95N/AN/A16,7529,04097,23240,560
2016-06-03$4.67$4.0625.6%7.8%24.1%5.0%28.7%7.9%5.9%1.2M-21.0M-54.6K0.6168.65N/AN/A16,97610,28897,39240,832
2016-06-06$4.69$4.0625.4%7.8%24.0%4.6%28.6%9.5%6.3%1.3M-22.8M-51.1K0.6267.20N/AN/A17,13610,70497,55242,032
2016-06-07$4.67$4.0622.5%7.4%24.2%0.0%27.8%9.4%7.9%1.3M-22.3M-50.1K0.6069.71N/AN/A16,5929,96897,95243,712
2016-06-08$4.68$4.0626.6%7.6%22.6%7.7%28.0%8.6%5.6%1.3M-21.4M-51.0K0.5070.32N/AN/A22,19211,00898,56044,016
2016-06-09$4.67$4.0627.6%7.9%21.4%9.5%28.7%9.2%3.8%1.3M-20.4M-46.7K0.7774.03N/AN/A15,56811,96894,54444,464
2016-06-10$4.56$4.0631.1%8.9%23.3%16.1%30.8%10.4%4.4%921.2K-15.6M-49.7K0.9172.34N/AN/A17,13615,66494,64047,568
2016-06-13$4.48$4.0633.7%9.7%24.2%20.8%37.2%13.0%5.4%739.0K-12.0M-53.0K1.2971.19N/AN/A18,27223,63294,32053,488
2016-06-14$4.48$4.1336.2%10.4%22.6%25.5%34.5%14.8%1.8%607.8K-7.8M-61.0K1.0372.49N/AN/A21,23221,88894,38464,144
2016-06-15$4.45$4.1336.3%10.4%22.7%25.6%36.9%14.2%0.7%611.5K-8.8M-61.2K1.2980.29N/AN/A17,05621,93699,55264,304
2016-06-16$4.49$4.1335.8%10.3%21.9%24.7%36.7%14.3%5.0%769.9K-7.9M-59.9K1.1275.34N/AN/A15,72817,61699,18464,272
2016-06-17$4.38$4.1934.6%9.9%23.6%22.4%37.2%10.6%4.5%1.1M-5.0M-58.4K1.1080.92N/AN/A16,65618,35299,39267,488
2016-06-20$4.43$4.1932.3%9.3%23.0%18.2%32.0%12.0%0.4%368.6K-4.7M-57.1K0.9176.11N/AN/A16,43214,99271,56853,824
2016-06-21$4.47$4.1933.8%9.7%23.1%21.1%33.7%11.8%0.5%448.9K-5.5M-59.3K1.1673.55N/AN/A13,07215,12075,80854,224
2016-06-22$4.44$4.1936.6%10.5%17.8%26.2%37.7%14.6%-3.1%425.9K-5.7M-59.2K1.1178.25N/AN/A13,63215,10475,72854,384
2016-06-23$4.56$4.1932.0%9.2%19.6%17.6%31.5%10.2%-2.3%561.7K-8.9M-57.1K1.0088.44N/AN/A15,18415,21677,56854,416
2016-06-24$4.23$4.1944.1%12.6%32.8%40.1%42.4%15.0%-1.7%243.4K-175.4K-55.4K0.7589.02N/AN/A22,56016,89679,34454,768
2016-06-27$4.03$4.1948.4%13.9%35.9%48.2%43.6%14.0%-6.9%125.8K4.2M-51.2K0.6486.98N/AN/A26,68817,10487,82457,040
2016-06-28$4.20$4.1937.5%10.8%39.7%27.9%34.9%9.5%-2.5%240.6K1.0M-52.1K0.6691.99N/AN/A26,62417,45690,30458,416
2016-06-29$4.34$4.1932.4%9.3%42.0%18.5%31.8%9.6%-0.1%451.8K-4.2M-56.5K0.5383.40N/AN/A34,97618,64091,20059,136
2016-06-30$4.43$4.1929.1%8.3%42.8%12.2%29.6%11.6%0.7%769.7K-9.6M-62.6K0.5989.71N/AN/A30,32017,984100,11259,584