QLD Options History — September 2016

In September 2016, QLD traded between $5.03 and $5.46. ATM implied volatility averaged 27.5%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.7% (HV 20d: 22.8%). Max pain ranged from $4.63 to $5.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2016-09-09: Highest Volume — 77,168 contracts
  • 2016-09-09: Largest IV spike — 50.6% change
  • 2016-09-13: Highest IV Rank — 40.6%
  • 2016-09-13: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.29$5.03$5.46$5.22$5.43
Max Pain$4.76$4.63$5.13$5.13$4.81
ATM IV27.5%20.4%41.0%25.8%26.1%
Expected Move8.0%6.0%9.6%7.4%7.5%
HV 20d22.8%10.1%29.8%12.0%29.8%
HV 60d25.9%21.0%30.2%28.2%21.2%
IV Rank14.9%1.4%40.6%11.7%12.3%
IV Percentile25.8%0.4%77.0%16.7%19.8%
Term Structure2.1%0.8%5.8%2.6%1.9%
VWIV31.1%23.1%35.9%25.6%32.7%
Skew 25d9.9%6.4%12.3%8.6%9.8%
Skew 10d21.9%13.6%27.0%13.6%25.6%
Call IV 25d23.1%18.6%27.5%21.6%20.3%
Put IV 25d32.9%25.0%39.8%30.1%30.1%
Bid-Ask Spread %68.3455.9877.2271.6673.11
Gamma HHI0.110.090.130.090.12
Net GEX877.4K465.3K1.5M1.0M601.3K
Net DEX-31.6M-39.7M-15.9M-28.0M-39.4M
Net VEX-114.1K-125.6K-93.9K-112.9K-125.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.632.050.971.66
Total Volume54,763.42938,12877,16839,39258,848
Total OI240,820.571206,128271,888221,696257,856

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$5.22$5.1325.8%7.4%12.0%11.7%25.6%8.6%2.6%1.0M-28.0M-112.9K0.9771.66N/AN/A19,98419,408131,84089,856
2016-09-02$5.25$5.1320.8%6.0%10.1%2.2%23.1%6.4%5.8%1.0M-30.4M-110.2K1.3475.85N/AN/A22,25629,920133,36092,192
2016-09-06$5.31$4.6320.9%7.6%10.8%2.5%30.2%10.2%2.3%865.0K-35.4M-111.0K0.6357.25N/AN/A44,86428,368137,424100,752
2016-09-07$5.32$4.6320.4%7.3%10.6%1.4%32.1%9.4%2.7%1.1M-39.1M-117.2K0.7467.38N/AN/A39,00828,864145,072101,056
2016-09-08$5.27$4.6321.0%7.5%11.1%2.7%32.4%9.6%2.1%1.2M-35.3M-115.2K0.7262.90N/AN/A40,54429,280145,440101,728
2016-09-09$5.03$4.6331.7%8.7%19.3%22.9%34.1%10.9%1.4%1.2M-16.7M-121.3K1.0355.98N/AN/A37,98439,184145,712102,224
2016-09-12$5.18$4.6929.1%8.4%22.4%18.0%31.7%11.0%1.3%1.5M-25.2M-117.8K2.0559.55N/AN/A20,70442,496149,152115,936
2016-09-13$5.07$4.6941.0%9.6%23.3%40.6%35.9%12.1%1.0%1.2M-15.9M-124.1K1.7057.66N/AN/A20,38434,592150,192117,104
2016-09-14$5.14$4.6933.2%9.5%23.7%25.7%35.6%12.3%1.0%1.5M-20.4M-122.1K1.5257.63N/AN/A21,28032,320150,864118,352
2016-09-15$5.30$4.6929.7%8.5%26.4%19.1%32.9%10.7%1.4%1.1M-37.0M-112.2K0.9862.55N/AN/A26,51226,000151,744119,136
2016-09-16$5.30$4.6928.4%8.1%26.4%16.6%31.8%10.4%2.3%640.5K-36.4M-112.9K0.9470.01N/AN/A27,82426,032152,288119,600
2016-09-19$5.25$4.6929.2%8.4%26.6%18.1%33.2%10.0%2.3%708.6K-30.5M-108.7K1.1469.04N/AN/A18,35220,944117,24888,880
2016-09-20$5.28$4.6930.4%8.7%26.7%20.5%33.6%10.8%1.5%697.0K-31.6M-108.1K1.2568.15N/AN/A16,96021,168119,29690,480
2016-09-21$5.37$4.6928.5%8.2%27.4%16.8%28.3%8.6%0.8%754.4K-37.6M-93.9K1.4577.22N/AN/A17,15224,816119,40890,336
2016-09-22$5.46$4.8126.3%7.5%27.3%12.7%24.8%9.2%1.0%597.2K-39.7M-96.7K1.5276.62N/AN/A18,54428,224118,86494,368
2016-09-23$5.38$4.8125.3%7.2%27.8%10.7%32.5%9.1%3.8%588.0K-36.1M-104.1K1.7375.28N/AN/A19,28033,344120,11298,704
2016-09-26$5.29$4.8127.8%8.0%28.5%15.5%32.7%10.4%3.0%494.0K-27.8M-117.8K1.3572.61N/AN/A21,80829,424122,928109,424
2016-09-27$5.39$4.8126.7%7.6%29.3%13.4%30.9%8.7%1.7%465.3K-32.6M-118.6K1.4074.33N/AN/A23,04032,272127,344112,272
2016-09-28$5.41$4.8126.3%7.6%29.1%12.7%26.3%9.0%2.4%479.0K-34.9M-120.6K1.5076.53N/AN/A21,21631,920130,944115,264
2016-09-29$5.35$4.8128.1%8.0%29.4%16.0%32.4%9.7%1.9%605.1K-33.9M-125.6K1.4673.79N/AN/A22,30432,608136,992115,488
2016-09-30$5.43$4.8126.1%7.5%29.8%12.3%32.7%9.8%1.9%601.3K-39.4M-125.5K1.6673.11N/AN/A22,11236,736141,536116,320