QLD Options History — November 2016

In November 2016, QLD traded between $4.95 and $5.41. ATM implied volatility averaged 33.0%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.5% (HV 20d: 27.5%). Max pain ranged from $4.88 to $5.63. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2016-11-16: Highest Volume — 60,896 contracts
  • 2016-11-09: Largest IV drop — 30.2% change
  • 2016-11-04: Highest IV Rank — 55.3%
  • 2016-11-02: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.23$4.95$5.41$5.16$5.30
Max Pain$5.40$4.88$5.63$4.88$5.31
ATM IV33.0%24.7%48.7%40.6%27.3%
Expected Move9.0%7.1%11.7%11.7%7.8%
HV 20d27.5%19.7%30.8%19.7%30.0%
HV 60d24.8%21.2%26.6%21.2%26.6%
IV Rank25.4%9.6%55.3%39.9%14.5%
IV Percentile49.9%11.5%90.5%80.6%31.3%
Term Structure-0.8%-9.4%3.1%-7.4%-2.1%
VWIV31.6%24.7%44.1%43.0%30.2%
Skew 25d10.1%6.5%13.7%13.2%7.0%
Skew 10d20.5%12.3%29.0%25.8%12.3%
Call IV 25d26.8%21.8%35.5%35.5%24.3%
Put IV 25d36.9%28.5%48.7%48.7%31.3%
Bid-Ask Spread %63.7345.1584.7173.9484.33
Gamma HHI0.110.090.240.100.09
Net GEX276.2K-171.9K949.5K378.5K31.0K
Net DEX-2.0M-16.6M7.3M-4.1M3.1M
Net VEX-78.7K-91.1K-69.7K-91.1K-74.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.801.042.392.172.18
Total Volume46,604.95231,08860,89647,26439,728
Total OI189,334.095126,688239,408188,496152,848

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$5.16$4.8840.6%11.7%19.7%39.9%43.0%13.2%-7.4%378.5K-4.1M-91.1K2.1773.94N/AN/A14,91232,35299,79288,704
2016-11-02$5.10$4.9440.9%11.7%19.7%40.4%44.1%13.3%-9.4%376.2K-1.3M-90.0K2.1968.35N/AN/A14,65632,160101,87291,568
2016-11-03$4.98$5.6345.3%10.7%21.1%48.8%35.1%11.4%0.8%321.6K4.5M-84.8K2.2361.24N/AN/A15,45634,528101,85693,696
2016-11-04$4.95$5.6348.7%11.2%21.1%55.3%36.5%13.7%-2.9%312.1K7.3M-84.3K1.7255.58N/AN/A18,67232,176102,80096,240
2016-11-07$5.17$5.6341.4%9.5%26.7%41.4%33.3%13.0%-1.1%433.9K-3.7M-84.8K1.6446.87N/AN/A19,76032,352105,07296,928
2016-11-08$5.28$5.6342.4%9.4%25.5%43.3%35.0%12.5%-1.4%407.5K-10.0M-86.0K1.7745.15N/AN/A18,00031,920105,72898,160
2016-11-09$5.28$5.5629.6%8.5%25.5%18.9%30.6%11.3%-1.3%593.1K-11.5M-79.7K1.3952.72N/AN/A20,99229,232108,51298,784
2016-11-10$5.12$5.5033.3%9.5%27.8%25.9%35.6%12.9%0.8%480.8K-2.3M-76.2K1.9473.47N/AN/A19,72838,208109,488102,512
2016-11-11$5.13$5.4434.4%9.9%27.7%28.1%35.8%12.7%-1.4%361.5K2.8M-86.0K2.0764.51N/AN/A19,07239,552112,560115,216
2016-11-14$5.02$5.4435.5%10.2%28.5%30.2%34.2%10.4%-0.9%300.3K7.1M-76.4K1.5762.06N/AN/A20,54432,256112,896113,696
2016-11-15$5.19$5.4431.3%9.0%30.2%22.2%30.9%9.9%-0.2%578.2K-5.1M-76.5K1.5652.02N/AN/A19,47230,320115,360114,592
2016-11-16$5.23$5.4430.4%8.7%30.4%20.5%31.0%9.6%-0.6%690.2K-8.1M-75.5K1.1549.45N/AN/A28,32032,576116,512115,632
2016-11-17$5.30$5.4429.2%8.4%30.8%18.2%29.3%8.9%1.4%949.5K-16.6M-76.3K1.0452.45N/AN/A27,32828,304121,888117,520
2016-11-18$5.28$5.3828.4%8.1%30.7%16.7%27.1%8.8%2.0%-11.0K-10.8M-73.0K1.7462.52N/AN/A16,75229,088113,280118,240
2016-11-21$5.37$5.3825.7%7.4%30.3%11.4%27.4%7.3%3.1%-171.9K3.2M-69.7K1.4469.43N/AN/A14,52820,89648,16078,528
2016-11-22$5.41$5.3825.7%7.4%30.4%11.6%24.7%7.4%0.5%-135.1K484.1K-73.6K1.9367.84N/AN/A10,62420,46452,46481,472
2016-11-23$5.35$5.3824.7%7.1%30.4%9.6%24.8%7.0%1.2%-21.2K2.6M-74.8K1.8767.70N/AN/A10,83220,25655,13682,576
2016-11-25$5.40$5.3825.0%7.2%30.3%10.2%24.8%6.6%1.3%-36.4K468.9K-71.8K1.6971.31N/AN/A12,68821,50456,25683,472
2016-11-28$5.37$5.3126.2%7.5%29.9%12.4%25.6%8.4%0.9%28.8K-152.5K-72.4K2.2172.66N/AN/A12,67227,98459,42484,320
2016-11-29$5.40$5.3126.3%7.5%29.9%12.6%25.4%6.5%0.5%-67.0K-949.1K-75.2K2.3984.71N/AN/A11,15226,68860,57691,680
2016-11-30$5.30$5.3127.3%7.8%30.0%14.5%30.2%7.0%-2.1%31.0K3.1M-74.2K2.1884.33N/AN/A12,51227,21660,88091,968