QLD Options History — October 2016

In October 2016, QLD traded between $5.24 and $5.47. ATM implied volatility averaged 28.6%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 6.1% (HV 20d: 22.5%). Max pain ranged from $4.81 to $4.88. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2016-10-11: Highest Volume — 76,640 contracts
  • 2016-10-11: Largest IV spike — 23.4% change
  • 2016-10-31: Highest IV Rank — 32.6%
  • 2016-10-31: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.35$5.24$5.47$5.40$5.25
Max Pain$4.85$4.81$4.88$4.81$4.88
ATM IV28.6%22.0%36.8%26.9%36.8%
Expected Move8.5%6.9%10.5%7.7%10.5%
HV 20d22.5%19.0%29.9%29.9%19.0%
HV 60d20.8%20.2%21.3%20.4%21.0%
IV Rank17.1%4.5%32.6%13.8%32.6%
IV Percentile36.1%3.6%76.2%25.4%76.2%
Term Structure0.6%-4.5%5.9%1.7%-3.2%
VWIV33.4%28.2%40.8%33.7%40.8%
Skew 25d10.4%7.9%12.4%10.1%12.4%
Skew 10d20.8%15.1%24.0%21.1%21.6%
Call IV 25d24.9%20.8%30.9%21.0%30.9%
Put IV 25d35.2%28.7%43.4%31.0%43.4%
Bid-Ask Spread %65.8352.9081.3281.3270.07
Gamma HHI0.160.090.300.130.11
Net GEX674.4K265.2K1.3M655.2K353.5K
Net DEX-30.0M-45.8M-9.2M-38.3M-9.2M
Net VEX-103.0K-119.8K-85.0K-119.3K-91.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.872.161.682.02
Total Volume57,484.95238,27276,64057,85645,360
Total OI243,523.048165,984281,632258,864183,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$5.40$4.8126.9%7.7%29.9%13.8%33.7%10.1%1.7%655.2K-38.3M-119.3K1.6881.32N/AN/A21,61636,240142,064116,800
2016-10-04$5.38$4.8126.6%7.6%29.7%13.1%35.1%9.2%3.1%657.1K-36.3M-119.8K1.3675.80N/AN/A26,97636,816142,112116,992
2016-10-05$5.42$4.8124.0%6.9%29.8%8.3%34.3%7.9%5.2%682.7K-42.7M-118.2K1.4179.92N/AN/A25,90436,512147,296118,592
2016-10-06$5.42$4.8123.6%8.2%29.5%7.6%29.9%11.5%0.7%729.1K-42.4M-116.4K1.4558.14N/AN/A24,68835,856149,136119,280
2016-10-07$5.39$4.8124.0%8.6%23.9%8.2%31.1%10.3%-0.2%731.9K-40.9M-114.7K1.5867.09N/AN/A24,64038,944148,416119,312
2016-10-10$5.46$4.8122.0%8.2%22.2%4.5%29.9%10.0%0.4%657.1K-45.8M-105.1K1.6059.34N/AN/A25,45640,784147,920122,016
2016-10-11$5.29$4.8127.2%8.7%23.8%14.3%38.1%11.4%1.2%827.0K-34.1M-109.7K0.9269.68N/AN/A39,92036,720146,912121,712
2016-10-12$5.30$4.8830.7%8.8%23.4%21.1%34.1%11.2%0.3%807.3K-32.5M-113.1K0.8754.37N/AN/A39,88834,880147,488126,480
2016-10-13$5.25$4.8832.0%9.2%20.8%23.6%36.5%11.1%5.9%784.2K-30.4M-109.7K1.1752.90N/AN/A30,36835,584148,336126,560
2016-10-14$5.28$4.8830.6%8.8%20.9%20.8%31.8%11.0%0.7%780.3K-33.6M-106.4K1.4855.23N/AN/A25,60037,968148,912127,504
2016-10-17$5.24$4.8832.1%9.2%20.8%23.8%34.3%11.3%0.0%815.7K-28.4M-104.2K1.5456.06N/AN/A24,56037,824149,808130,416
2016-10-18$5.34$4.8831.4%9.0%21.8%22.3%34.6%11.6%-0.2%773.9K-37.8M-102.1K1.6859.26N/AN/A22,57637,952150,480131,152
2016-10-19$5.33$4.8829.6%8.5%20.8%19.0%31.1%10.0%-4.5%1.0M-35.7M-98.4K1.5562.89N/AN/A22,70435,088146,272131,760
2016-10-20$5.31$4.8828.9%8.3%19.9%17.7%31.2%9.5%1.9%1.1M-34.4M-94.7K1.4559.41N/AN/A24,96036,128146,544132,160
2016-10-21$5.35$4.8826.6%7.6%19.6%13.2%30.6%9.1%1.6%1.3M-30.2M-89.6K1.6262.67N/AN/A23,00837,360129,584132,656
2016-10-24$5.47$4.8826.6%7.6%20.0%13.3%28.2%8.2%0.6%265.2K-19.6M-85.0K2.0072.48N/AN/A14,00027,98489,39276,592
2016-10-25$5.43$4.8827.5%7.9%19.1%14.9%31.3%9.5%0.5%284.7K-18.7M-91.5K1.8873.33N/AN/A14,46427,23292,78480,080
2016-10-26$5.38$4.8829.0%8.3%19.3%17.8%31.3%9.3%-0.3%334.8K-15.8M-91.5K2.1670.44N/AN/A12,60827,26493,85680,768
2016-10-27$5.32$4.8831.3%9.0%19.4%22.1%35.7%10.4%-1.7%333.9K-13.7M-90.8K2.0673.92N/AN/A12,51225,76094,57681,072
2016-10-28$5.25$4.8834.0%9.7%19.0%27.3%38.0%12.2%-1.8%343.6K-9.3M-90.7K1.9968.19N/AN/A14,20828,27294,97681,952
2016-10-31$5.25$4.8836.8%10.5%19.0%32.6%40.8%12.4%-3.2%353.5K-9.2M-91.7K2.0270.07N/AN/A15,00830,35297,58485,680