QLD Options History — January 2017

In January 2017, QLD traded between $5.45 and $6.04. ATM implied volatility averaged 23.3%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.6% (HV 20d: 18.7%). Max pain ranged from $5.31 to $5.69. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2017-01-12: Highest Volume — 54,304 contracts
  • 2017-01-11: Largest IV spike — 30.6% change
  • 2017-01-03: Highest IV Rank — 15.1%
  • 2017-01-03: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.80$5.45$6.04$5.45$5.94
Max Pain$5.53$5.31$5.69$5.31$5.69
ATM IV23.3%20.2%27.6%27.6%23.7%
Expected Move7.0%5.8%7.9%7.9%6.8%
HV 20d18.7%14.1%22.5%22.4%14.1%
HV 60d25.0%24.3%26.0%25.8%24.3%
IV Rank7.0%1.1%15.1%15.1%7.8%
IV Percentile12.4%0.4%38.1%38.1%12.7%
Term Structure3.0%0.6%5.2%4.1%1.1%
VWIV26.6%20.5%30.5%28.6%23.9%
Skew 25d6.3%4.1%8.0%7.0%5.6%
Skew 10d14.2%7.5%19.1%12.1%12.9%
Call IV 25d21.8%18.8%24.3%24.2%21.5%
Put IV 25d28.1%22.9%32.3%31.2%27.1%
Bid-Ask Spread %53.9935.9076.1671.5861.83
Gamma HHI0.100.080.220.090.10
Net GEX250.8K-269.3K614.1K-269.3K597.1K
Net DEX-12.8M-20.0M-549.8K-549.8K-9.3M
Net VEX-58.9K-69.2K-54.4K-69.2K-66.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.361.041.901.081.07
Total Volume44,703.229,45654,30430,41647,216
Total OI151,11694,800192,000150,960124,816

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$5.45$5.3127.6%7.9%22.4%15.1%28.6%7.0%4.1%-269.3K-549.8K-69.2K1.0871.58N/AN/A14,62415,79257,37693,584
2017-01-04$5.54$5.3123.8%6.8%22.4%7.9%26.3%5.7%4.7%-147.3K-4.9M-66.5K1.1276.16N/AN/A13,88815,56859,10494,048
2017-01-05$5.60$5.5022.5%7.8%22.5%5.5%30.5%8.0%2.5%52.0K-9.6M-60.4K1.1850.87N/AN/A13,56815,96862,33694,368
2017-01-06$5.71$5.4421.1%7.6%21.5%2.8%28.4%6.1%3.7%54.7K-13.6M-58.4K1.9059.15N/AN/A14,14426,83262,99294,864
2017-01-09$5.74$5.3821.4%7.6%21.5%3.3%29.8%7.5%3.8%58.2K-14.6M-58.4K1.8238.38N/AN/A17,84032,52865,66497,680
2017-01-10$5.76$5.5620.2%7.6%21.1%1.1%29.2%7.1%2.7%83.2K-15.3M-57.7K1.4236.28N/AN/A21,05629,90469,024104,800
2017-01-11$5.77$5.5026.4%7.6%20.7%12.9%29.4%7.4%3.0%114.3K-15.4M-59.4K1.4639.57N/AN/A20,67230,20871,280106,256
2017-01-12$5.76$5.5026.8%7.7%17.8%13.6%27.6%6.6%2.9%228.1K-16.1M-56.4K1.6551.81N/AN/A20,48033,82473,152106,784
2017-01-13$5.81$5.5024.3%7.0%17.8%8.9%27.7%6.2%3.7%152.0K-18.1M-55.5K1.7347.82N/AN/A18,19231,45672,960109,456
2017-01-17$5.76$5.5025.3%7.3%18.2%10.8%28.8%7.2%4.4%122.2K-15.6M-55.0K1.4035.90N/AN/A20,32028,48072,624110,656
2017-01-18$5.79$5.5624.8%7.1%17.5%9.8%27.3%7.3%3.7%165.8K-18.6M-54.4K1.4448.82N/AN/A19,29627,69675,632111,888
2017-01-19$5.79$5.5624.6%7.1%17.4%9.5%28.0%7.7%3.3%516.1K-19.4M-55.1K1.5044.23N/AN/A19,47229,16877,632111,968
2017-01-20$5.80$5.5622.7%6.5%17.2%5.8%25.5%6.8%5.2%246.2K-20.0M-55.6K1.4149.42N/AN/A21,58430,51278,176113,824
2017-01-23$5.83$5.5623.1%6.6%17.2%6.6%24.6%6.4%2.6%305.6K-5.3M-55.8K1.1655.57N/AN/A18,75221,79245,50449,296
2017-01-24$5.91$5.5621.5%6.2%17.2%3.6%24.1%5.3%2.1%466.6K-9.4M-56.1K1.2862.12N/AN/A18,81624,08050,73651,088
2017-01-25$6.02$5.6321.7%6.2%17.9%3.9%22.5%4.6%0.6%486.5K-11.5M-55.3K1.1365.58N/AN/A21,56824,35251,53653,632
2017-01-26$6.03$5.6321.6%6.2%17.6%3.7%24.3%4.1%1.4%559.6K-13.4M-59.8K1.2358.05N/AN/A19,48824,06456,24056,144
2017-01-27$6.04$5.6320.2%5.8%15.5%1.1%20.5%4.1%3.0%614.1K-14.5M-59.2K1.0462.74N/AN/A20,89621,72858,62457,632
2017-01-30$5.95$5.6323.5%6.7%16.9%7.3%24.5%5.9%2.1%610.4K-10.1M-63.0K1.2263.96N/AN/A21,77626,46459,68059,264
2017-01-31$5.94$5.6923.7%6.8%14.1%7.8%23.9%5.6%1.1%597.1K-9.3M-66.4K1.0761.83N/AN/A22,84824,36862,20862,608