QLD Options History — December 2016

In December 2016, QLD traded between $5.08 and $5.61. ATM implied volatility averaged 27.2%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.1% (HV 20d: 27.3%). Max pain ranged from $5.19 to $5.38. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2016-12-13: Highest Volume — 74,448 contracts
  • 2016-12-12: Largest IV spike — 24.9% change
  • 2016-12-13: Highest IV Rank — 29.5%
  • 2016-12-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.43$5.08$5.61$5.08$5.37
Max Pain$5.28$5.19$5.38$5.38$5.31
ATM IV27.2%23.5%35.1%33.1%28.4%
Expected Move7.7%6.7%9.5%9.5%8.1%
HV 20d27.3%22.0%33.4%33.4%22.0%
HV 60d25.7%24.9%27.9%27.9%25.6%
IV Rank14.3%7.4%29.5%25.6%16.6%
IV Percentile29.1%6.7%71.0%61.5%40.9%
Term Structure3.6%-5.9%6.8%-5.9%4.3%
VWIV28.4%25.0%33.5%32.2%30.3%
Skew 25d6.6%4.9%8.7%8.7%8.0%
Skew 10d13.1%7.1%17.9%14.3%13.9%
Call IV 25d24.2%21.6%28.8%28.8%25.1%
Put IV 25d30.8%27.1%37.5%37.5%33.1%
Bid-Ask Spread %66.8950.0981.0878.0571.60
Gamma HHI0.100.080.130.080.09
Net GEX-46.9K-350.2K634.5K-113.3K-312.5K
Net DEX-628.4K-12.3M14.2M12.2M3.0M
Net VEX-73.9K-79.0K-65.5K-71.0K-74.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.861.971.881.29
Total Volume39,741.71427,20074,44850,06430,112
Total OI166,376.381125,504211,168155,264149,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$5.08$5.3833.1%9.5%33.4%25.6%32.2%8.7%-5.9%-113.3K12.2M-71.0K1.8878.05N/AN/A17,40832,65661,71293,552
2016-12-02$5.11$5.3131.3%9.0%32.2%22.2%33.5%8.3%-2.2%-181.9K14.2M-79.0K1.6569.28N/AN/A14,64024,11266,416101,408
2016-12-05$5.19$5.1928.9%8.4%32.5%17.7%29.8%8.1%4.7%-58.7K11.3M-75.9K1.3466.01N/AN/A17,93624,04866,448102,784
2016-12-06$5.21$5.1927.1%8.0%28.5%14.2%29.1%6.6%5.9%4410.1M-76.2K1.7167.07N/AN/A14,09624,08067,008104,112
2016-12-07$5.35$5.1926.4%7.1%29.3%12.9%26.9%6.4%4.2%63.9K2.0M-72.7K1.5972.98N/AN/A15,15224,08067,424104,576
2016-12-08$5.36$5.1925.7%7.8%29.3%11.5%27.8%6.8%5.6%266.3K358.9K-75.9K1.4850.09N/AN/A17,12025,36069,744105,968
2016-12-09$5.44$5.2525.0%7.5%26.9%10.2%27.2%6.3%5.8%351.1K-3.8M-76.8K1.7654.10N/AN/A13,93624,48074,144110,960
2016-12-12$5.39$5.2531.2%7.9%27.3%22.1%28.2%7.0%3.5%607.5K-586.5K-72.6K1.9254.68N/AN/A13,77626,48075,952112,304
2016-12-13$5.57$5.2535.1%8.1%27.7%29.5%31.1%6.4%1.7%-172.4K-12.3M-71.8K0.8954.77N/AN/A39,36035,08876,752115,952
2016-12-14$5.54$5.3127.5%7.9%25.9%14.9%29.8%6.8%4.2%592.3K-11.0M-77.2K0.9466.25N/AN/A28,32026,48089,248119,936
2016-12-15$5.55$5.3126.6%7.6%25.9%13.3%29.8%6.8%4.6%634.5K-10.5M-73.0K1.1164.66N/AN/A22,44824,83290,560119,760
2016-12-16$5.48$5.3125.6%7.3%26.1%11.3%28.2%6.2%6.8%-301.3K-4.8M-70.1K0.8661.43N/AN/A26,57622,86490,768120,400
2016-12-19$5.52$5.3125.1%7.2%26.0%10.3%27.0%5.8%4.5%-270.3K-1.8M-65.5K1.4960.04N/AN/A12,59218,70446,38479,120
2016-12-20$5.57$5.3124.4%7.0%25.5%9.0%27.6%5.2%4.2%-350.2K-2.5M-73.9K1.9761.58N/AN/A12,64024,86448,25690,032
2016-12-21$5.57$5.3124.2%6.9%25.5%8.7%26.0%5.8%3.5%-326.8K-3.7M-75.4K1.2571.88N/AN/A12,36815,48851,26490,736
2016-12-22$5.52$5.3124.7%7.1%25.4%9.6%26.4%5.6%4.4%-324.1K-1.9M-75.7K1.2573.91N/AN/A12,67215,79252,14491,296
2016-12-23$5.53$5.3123.5%6.7%25.3%7.4%25.0%5.7%4.3%-292.6K-2.8M-75.6K1.3074.64N/AN/A11,80815,39253,16891,776
2016-12-27$5.61$5.3123.9%6.9%25.6%8.2%26.3%4.9%4.2%-295.5K-5.3M-70.7K1.2376.06N/AN/A14,97618,36853,20091,936
2016-12-28$5.51$5.3125.9%7.4%26.6%11.9%26.0%5.9%3.9%-200.6K-4.1M-74.6K1.0681.08N/AN/A15,80816,78456,48092,176
2016-12-29$5.49$5.3126.5%7.6%25.6%13.1%27.5%6.9%4.0%-299.4K-1.4M-74.6K0.9274.61N/AN/A16,11214,76855,88892,656
2016-12-30$5.37$5.3128.4%8.1%22.0%16.6%30.3%8.0%4.3%-312.5K3.0M-74.6K1.2971.60N/AN/A13,13616,97656,65692,848