QLD Options History — August 2016

In August 2016, QLD traded between $5.08 and $5.32. ATM implied volatility averaged 23.6%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.0% (HV 20d: 14.7%). Max pain ranged from $4.69 to $5.19. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.97.

Notable Days

2016-08-16: Highest Volume — 52,480 contracts
2016-08-10: Largest IV spike — 20.4% change
2016-08-25: Highest IV Rank — 12.5%
2016-08-25: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.23	$5.08	$5.32	$5.15	$5.20
Max Pain	$5.09	$4.69	$5.19	$4.69	$5.13
ATM IV	23.6%	19.6%	26.2%	23.5%	24.8%
Expected Move	6.9%	6.3%	7.5%	6.7%	7.1%
HV 20d	14.7%	12.2%	18.2%	18.2%	12.2%
HV 60d	29.2%	28.1%	30.7%	30.5%	28.2%
IV Rank	6.7%	0.0%	12.5%	3.7%	9.8%
IV Percentile	4.7%	0.0%	16.7%	1.2%	8.7%
Term Structure	3.6%	2.3%	5.2%	2.3%	3.1%
VWIV	25.9%	21.4%	30.5%	26.0%	26.3%
Skew 25d	8.1%	6.2%	9.2%	6.2%	8.1%
Skew 10d	16.3%	13.7%	19.0%	14.7%	15.0%
Call IV 25d	20.8%	18.8%	22.2%	20.7%	21.1%
Put IV 25d	28.9%	26.7%	31.2%	26.9%	29.1%
Bid-Ask Spread %	63.17	51.06	77.61	72.23	77.61
Gamma HHI	0.09	0.07	0.15	0.09	0.09
Net GEX	628.8K	260.8K	993.2K	643.3K	993.2K
Net DEX	-35.9M	-53.0M	-18.7M	-36.9M	-25.8M
Net VEX	-97.5K	-111.5K	-84.4K	-84.4K	-111.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.30	1.52	1.07	0.93
Total Volume	39,493.565	3,856	52,480	42,048	40,608
Total OI	223,543.652	167,040	271,312	201,136	218,992

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-08-01	$5.15	$4.69	23.5%	6.7%	18.2%	3.7%	26.0%	6.2%	2.3%	643.3K	-36.9M	-84.4K	1.07	72.23	N/A	N/A	20,336	21,712	113,680	87,456
2016-08-02	$5.08	$4.69	25.3%	7.2%	18.1%	7.0%	29.9%	7.3%	2.4%	703.7K	-30.8M	-99.8K	1.26	71.15	N/A	N/A	21,760	27,392	117,808	93,024
2016-08-03	$5.10	$4.69	23.5%	6.7%	17.7%	3.8%	29.7%	6.5%	2.8%	648.2K	-32.6M	-100.3K	1.52	73.62	N/A	N/A	17,488	26,640	121,648	100,928
2016-08-04	$5.13	$5.19	22.4%	7.4%	17.7%	1.8%	23.5%	8.9%	3.4%	665.8K	-34.6M	-99.8K	1.27	52.66	N/A	N/A	15,952	20,288	123,088	101,696
2016-08-05	$5.23	$5.19	19.6%	6.8%	15.9%	0.0%	24.4%	8.2%	4.0%	502.6K	-42.9M	-87.9K	1.52	51.06	N/A	N/A	17,696	26,832	123,840	102,752
2016-08-08	$5.21	$5.13	21.6%	7.0%	16.0%	3.5%	25.3%	7.7%	3.9%	630.0K	-41.5M	-88.8K	1.11	53.04	N/A	N/A	23,040	25,632	126,176	99,888
2016-08-09	$5.24	$5.13	21.1%	6.8%	15.9%	2.5%	24.9%	8.0%	3.2%	604.7K	-45.7M	-86.3K	1.19	57.42	N/A	N/A	21,040	24,960	132,064	103,024
2016-08-10	$5.22	$5.13	25.4%	7.3%	16.0%	10.1%	25.4%	8.2%	3.3%	659.5K	-42.9M	-97.2K	1.05	55.33	N/A	N/A	25,456	26,736	134,480	105,968
2016-08-11	$5.27	$5.13	24.5%	7.0%	15.9%	8.6%	25.0%	8.2%	3.2%	626.0K	-49.4M	-99.0K	1.05	58.42	N/A	N/A	22,640	23,664	144,016	108,736
2016-08-12	$5.27	$5.13	23.8%	6.8%	15.6%	7.3%	24.6%	8.6%	4.0%	534.5K	-50.4M	-94.3K	0.94	58.16	N/A	N/A	22,112	20,800	144,384	110,480
2016-08-15	$5.32	$5.13	23.6%	6.8%	15.3%	7.0%	24.8%	7.8%	3.4%	446.6K	-53.0M	-90.7K	0.83	65.03	N/A	N/A	26,112	21,680	144,720	111,920
2016-08-16	$5.26	$5.13	25.3%	7.2%	15.4%	9.9%	26.5%	8.8%	4.5%	560.2K	-50.8M	-94.6K	0.94	64.09	N/A	N/A	27,072	25,408	148,240	112,544
2016-08-17	$5.27	$5.19	25.1%	7.2%	13.0%	9.6%	26.9%	8.7%	3.8%	635.7K	-49.8M	-98.9K	0.30	61.47	N/A	N/A	7,360	2,208	151,680	116,592
2016-08-18	$5.28	$5.19	23.9%	6.9%	12.5%	7.6%	25.9%	8.3%	4.2%	902.1K	-52.2M	-93.5K	0.67	60.06	N/A	N/A	2,304	1,552	153,840	117,472
2016-08-19	$5.27	$5.19	22.1%	6.3%	12.5%	4.4%	21.4%	7.9%	5.2%	260.8K	-34.9M	-91.4K	1.04	64.78	N/A	N/A	23,872	24,768	121,376	119,072
2016-08-22	$5.27	$5.19	22.6%	6.5%	12.5%	5.2%	22.8%	7.8%	4.0%	318.2K	-18.7M	-93.4K	0.74	63.98	N/A	N/A	20,768	15,376	89,616	77,424
2016-08-23	$5.30	$5.19	21.9%	6.3%	12.5%	4.0%	23.8%	7.7%	4.7%	399.1K	-22.2M	-98.2K	0.86	67.03	N/A	N/A	17,376	14,992	95,776	78,864
2016-08-24	$5.23	$5.19	24.8%	7.1%	13.2%	9.9%	30.5%	9.0%	3.1%	545.6K	-18.9M	-99.1K	0.43	65.31	N/A	N/A	11,600	4,960	99,376	78,192
2016-08-25	$5.21	$5.13	26.2%	7.5%	13.1%	12.5%	29.6%	9.0%	2.6%	696.4K	-20.2M	-107.2K	0.67	64.73	N/A	N/A	25,472	17,184	109,488	83,296
2016-08-26	$5.23	$5.13	24.4%	7.0%	13.1%	9.0%	26.1%	9.2%	3.1%	746.0K	-22.0M	-105.5K	0.98	54.78	N/A	N/A	21,568	21,056	111,648	84,080
2016-08-29	$5.24	$5.13	23.5%	6.7%	12.9%	7.3%	26.0%	7.9%	3.8%	807.3K	-24.5M	-111.3K	0.99	68.10	N/A	N/A	21,680	21,520	119,776	88,832
2016-08-30	$5.20	$5.13	24.3%	7.0%	12.2%	8.9%	25.2%	8.2%	4.1%	933.5K	-24.1M	-110.5K	1.02	72.81	N/A	N/A	19,632	20,048	123,920	89,632
2016-08-31	$5.20	$5.13	24.8%	7.1%	12.2%	9.8%	26.3%	8.1%	3.1%	993.2K	-25.8M	-111.5K	0.93	77.61	N/A	N/A	21,008	19,600	129,200	89,792