QLD Options History — July 2016

In July 2016, QLD traded between $4.44 and $5.11. ATM implied volatility averaged 25.7%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 13.0% (HV 20d: 38.7%). Max pain ranged from $4.19 to $4.69. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2016-07-08: Highest Volume — 61,680 contracts
  • 2016-07-07: Largest IV drop — 30.9% change
  • 2016-07-06: Highest IV Rank — 25.1%
  • 2016-07-05: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.81$4.44$5.11$4.50$5.11
Max Pain$4.46$4.19$4.69$4.19$4.69
ATM IV25.7%21.4%36.0%25.2%22.1%
Expected Move7.6%6.3%9.2%7.2%6.3%
HV 20d38.7%18.5%45.5%43.3%18.5%
HV 60d31.5%30.5%31.9%31.3%30.5%
IV Rank7.5%0.0%25.1%5.0%1.1%
IV Percentile8.1%0.0%57.9%4.0%0.4%
Term Structure2.7%0.3%5.6%5.4%3.0%
VWIV28.8%24.5%33.9%25.9%25.8%
Skew 25d8.4%6.3%15.6%9.3%6.3%
Skew 10d17.9%12.6%28.8%18.7%14.2%
Call IV 25d22.9%19.8%27.1%22.6%19.8%
Put IV 25d31.3%26.2%39.4%32.0%26.2%
Bid-Ask Spread %64.9556.5695.5095.5070.79
Gamma HHI0.160.100.350.130.10
Net GEX1.1M520.8K2.1M928.3K738.0K
Net DEX-23.4M-36.3M-9.7M-11.8M-33.7M
Net VEX-74.1K-91.7K-56.6K-62.9K-91.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.491.230.701.14
Total Volume41,817.628,38461,68044,84838,688
Total OI171,704120,288215,856162,976193,216

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$4.50$4.1925.2%7.2%43.3%5.0%25.9%9.3%5.4%928.3K-11.8M-62.9K0.7095.50N/AN/A26,36818,480101,31261,664
2016-07-05$4.44$4.1928.6%9.2%43.4%11.4%33.3%10.7%2.4%809.4K-9.7M-59.9K0.8561.17N/AN/A22,84819,376102,48062,720
2016-07-06$4.51$4.3136.0%8.9%43.9%25.1%30.7%15.6%0.3%924.5K-12.1M-60.9K0.8659.76N/AN/A23,85620,592103,74464,992
2016-07-07$4.53$4.3124.9%8.7%44.0%4.5%33.9%11.2%3.5%1.1M-14.4M-60.6K0.8560.94N/AN/A23,68020,144104,32065,648
2016-07-08$4.68$4.3121.4%8.4%45.5%0.0%28.7%9.9%1.7%1.5M-22.0M-56.6K0.4967.32N/AN/A41,40820,272104,64066,800
2016-07-11$4.74$4.3124.8%7.9%44.7%6.1%30.0%8.7%3.3%2.0M-29.0M-62.9K0.9556.56N/AN/A23,00821,856120,91268,656
2016-07-12$4.78$4.3826.0%7.7%44.1%8.4%33.6%8.3%2.5%1.9M-31.0M-62.0K0.9460.02N/AN/A22,96021,648121,55269,776
2016-07-13$4.76$4.3826.9%7.7%44.2%9.9%33.7%8.5%5.3%2.1M-31.3M-62.3K1.2357.99N/AN/A20,30425,008123,82472,560
2016-07-14$4.82$4.3825.7%7.4%44.1%7.7%27.8%7.0%2.9%1.7M-34.9M-64.1K0.8662.06N/AN/A29,90425,616124,73677,840
2016-07-15$4.80$4.3824.7%7.1%44.2%6.0%28.0%7.3%5.6%2.0M-36.3M-68.6K0.9161.48N/AN/A29,76027,120136,03279,824
2016-07-18$4.87$4.5025.1%7.2%43.1%6.6%24.5%6.7%0.3%520.8K-15.8M-70.6K0.7267.81N/AN/A29,47221,28068,35251,936
2016-07-19$4.82$4.5026.2%7.5%43.4%8.7%28.5%7.8%2.2%635.1K-16.2M-84.1K1.0962.30N/AN/A15,58417,04080,33658,256
2016-07-20$4.95$4.5024.6%7.1%44.1%5.8%25.3%7.4%3.2%640.5K-21.8M-80.0K0.8567.17N/AN/A18,28815,61682,75260,192
2016-07-21$4.92$4.6325.3%7.3%44.1%7.1%26.8%7.8%2.4%677.8K-21.5M-87.6K1.0664.22N/AN/A14,52815,32888,64063,888
2016-07-22$4.95$4.6324.5%7.0%43.5%5.5%27.5%6.7%2.4%624.7K-22.4M-88.9K1.0365.92N/AN/A13,98414,40090,57667,952
2016-07-25$4.95$4.6326.5%7.6%32.0%9.2%27.8%7.5%1.6%628.1K-22.2M-88.0K1.0866.48N/AN/A14,14415,34491,82469,472
2016-07-26$4.97$4.6326.1%7.5%24.0%8.6%29.2%7.5%1.7%591.1K-23.1M-89.6K0.9864.80N/AN/A17,18416,81694,25672,800
2016-07-27$5.04$4.6925.1%7.2%21.1%6.6%28.4%6.4%2.1%602.1K-27.5M-89.8K0.9161.49N/AN/A19,72817,872100,01678,016
2016-07-28$5.08$4.6925.4%7.3%19.1%7.2%27.4%6.6%1.3%647.8K-30.9M-91.7K0.8365.31N/AN/A20,14416,704106,57680,992
2016-07-29$5.11$4.6922.1%6.3%18.5%1.1%25.8%6.3%3.0%738.0K-33.7M-91.0K1.1470.79N/AN/A18,04820,640110,96082,256