QLD Options History — February 2017

In February 2017, QLD traded between $6.01 and $6.50. ATM implied volatility averaged 20.8%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 8.5% (HV 20d: 12.3%). Max pain ranged from $5.69 to $6.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2017-02-07: Highest Volume — 76,112 contracts
2017-02-08: Largest IV spike — 18.1% change
2017-02-28: Highest IV Rank — 14.6%
2017-02-02: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.28	$6.01	$6.50	$6.03	$6.44
Max Pain	$6.20	$5.69	$6.50	$5.69	$6.38
ATM IV	20.8%	18.3%	22.7%	22.3%	22.7%
Expected Move	6.2%	5.6%	7.0%	6.4%	6.5%
HV 20d	12.3%	10.4%	14.1%	14.1%	10.4%
HV 60d	20.2%	18.5%	23.8%	23.8%	18.5%
IV Rank	6.6%	0.0%	14.6%	5.0%	14.6%
IV Percentile	5.2%	0.0%	16.7%	7.5%	16.7%
Term Structure	2.1%	0.3%	5.3%	1.6%	2.2%
VWIV	23.1%	19.6%	28.4%	22.0%	22.2%
Skew 25d	5.1%	3.3%	7.4%	4.7%	4.8%
Skew 10d	10.6%	6.3%	15.8%	8.1%	6.7%
Call IV 25d	19.7%	18.3%	21.5%	20.1%	21.0%
Put IV 25d	24.8%	22.1%	28.6%	24.8%	25.8%
Bid-Ask Spread %	54.28	42.12	65.83	65.83	65.41
Gamma HHI	0.15	0.05	0.33	0.11	0.08
Net GEX	1.0M	41.0K	2.5M	762.3K	274.7K
Net DEX	-27.2M	-42.1M	-14.6M	-14.6M	-20.6M
Net VEX	-70.9K	-80.4K	-61.7K	-62.5K	-77.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.67	1.32	0.67	1.30
Total Volume	50,757.895	30,144	76,112	65,168	38,368
Total OI	156,433.684	121,056	186,160	128,464	144,240

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$6.03	$5.69	22.3%	6.4%	14.1%	5.0%	22.0%	4.7%	1.6%	762.3K	-14.6M	-62.5K	0.67	65.83	N/A	N/A	39,120	26,048	64,768	63,696
2017-02-02	$6.01	$5.94	21.9%	7.0%	13.7%	4.2%	28.0%	7.1%	1.1%	1.7M	-18.0M	-71.5K	0.89	56.54	N/A	N/A	27,888	24,896	82,880	64,144
2017-02-03	$6.04	$5.94	18.3%	6.7%	13.5%	0.0%	28.4%	7.4%	0.3%	2.5M	-22.4M	-71.5K	0.76	64.44	N/A	N/A	31,136	23,760	90,672	64,608
2017-02-06	$6.04	$5.94	18.8%	6.5%	12.3%	0.9%	27.1%	6.6%	1.6%	2.3M	-20.9M	-66.4K	0.89	44.94	N/A	N/A	28,928	25,648	87,216	65,968
2017-02-07	$6.09	$5.94	18.6%	6.7%	12.4%	0.5%	25.2%	6.5%	1.7%	1.7M	-21.6M	-61.7K	0.71	45.47	N/A	N/A	44,384	31,728	79,712	65,536
2017-02-08	$6.13	$6.50	21.9%	6.3%	12.5%	7.0%	23.2%	5.8%	2.4%	2.0M	-30.2M	-73.1K	1.14	47.05	N/A	N/A	28,544	32,560	98,544	73,184
2017-02-09	$6.16	$6.31	21.7%	6.2%	12.5%	8.2%	23.0%	5.3%	2.2%	1.9M	-31.6M	-76.6K	1.15	44.72	N/A	N/A	29,104	33,520	99,312	74,944
2017-02-10	$6.20	$6.25	21.3%	6.1%	12.3%	7.2%	23.2%	5.2%	2.0%	1.9M	-34.4M	-73.7K	1.18	45.67	N/A	N/A	28,896	34,240	101,024	76,784
2017-02-13	$6.28	$6.31	21.3%	6.1%	12.6%	8.0%	22.9%	4.7%	2.8%	1.4M	-38.6M	-66.5K	0.85	42.12	N/A	N/A	28,400	24,256	101,152	79,920
2017-02-14	$6.30	$6.25	20.2%	5.8%	11.7%	5.4%	22.7%	4.3%	3.7%	1.3M	-39.5M	-70.5K	0.92	48.57	N/A	N/A	26,992	24,800	101,904	81,280
2017-02-15	$6.39	$6.25	20.5%	5.9%	12.1%	7.1%	21.4%	4.1%	1.5%	609.9K	-42.1M	-66.5K	0.90	53.42	N/A	N/A	27,392	24,592	101,184	83,280
2017-02-16	$6.37	$6.25	21.3%	6.1%	12.2%	9.4%	22.1%	4.7%	1.3%	531.7K	-41.1M	-68.9K	0.88	45.31	N/A	N/A	26,704	23,472	100,672	85,488
2017-02-17	$6.42	$6.25	19.5%	5.6%	12.1%	3.8%	19.6%	4.0%	1.3%	458.4K	-38.0M	-64.9K	1.10	56.47	N/A	N/A	25,504	28,128	94,048	87,584
2017-02-21	$6.50	$6.25	20.1%	5.8%	12.4%	5.7%	19.7%	3.3%	2.2%	41.0K	-20.6M	-67.9K	1.08	61.58	N/A	N/A	17,120	18,448	60,720	60,336
2017-02-22	$6.50	$6.31	20.4%	5.9%	12.1%	6.8%	20.6%	3.8%	5.3%	140.6K	-21.3M	-74.5K	1.31	62.74	N/A	N/A	15,024	19,680	64,976	62,416
2017-02-23	$6.44	$6.31	22.5%	6.5%	11.9%	13.5%	22.3%	5.1%	1.5%	90.5K	-19.8M	-75.2K	1.02	54.78	N/A	N/A	19,408	19,888	65,584	63,728
2017-02-24	$6.46	$6.38	21.0%	6.0%	11.9%	8.9%	22.6%	4.9%	2.8%	197.3K	-20.4M	-80.4K	0.95	60.71	N/A	N/A	18,320	17,360	70,848	67,008
2017-02-27	$6.49	$6.38	20.9%	6.0%	11.9%	8.5%	21.6%	4.4%	2.7%	274.6K	-21.9M	-76.7K	1.32	65.54	N/A	N/A	13,008	17,136	75,584	67,296
2017-02-28	$6.44	$6.38	22.7%	6.5%	10.4%	14.6%	22.2%	4.8%	2.2%	274.7K	-20.6M	-77.6K	1.30	65.41	N/A	N/A	16,704	21,664	76,608	67,632