QLD Options History — March 2017 In March 2017, QLD traded between $6.46 and $6.73. ATM implied volatility averaged 19.7%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.5% (HV 20d: 15.2%). Max pain ranged from $5.88 to $6.38. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.15.
Notable Days 2017-03-21 : Highest Volume — 76,416 contracts2017-03-31 : Largest IV drop — 28.9% change2017-03-27 : Highest IV Rank — 18.7%2017-03-27 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $6.59 $6.46 $6.73 $6.61 $6.73 Max Pain $6.10 $5.88 $6.38 $6.38 $6.25 ATM IV 19.7% 14.4% 23.5% 20.9% 14.4% Expected Move 5.8% 4.1% 6.7% 6.0% 4.1% HV 20d 15.2% 12.8% 18.0% 12.8% 14.8% HV 60d 15.5% 13.9% 17.0% 16.6% 13.9% IV Rank 6.5% 0.0% 18.7% 8.7% 0.0% IV Percentile 6.8% 0.0% 25.8% 5.6% 0.0% Term Structure 4.5% -0.0% 9.6% -0.0% 6.9% VWIV 23.4% 19.2% 31.4% 23.2% 24.0% Skew 25d 6.2% 2.9% 17.2% 3.0% 6.4% Skew 10d 11.2% 3.8% 17.6% 6.1% 8.2% Call IV 25d 18.2% 15.7% 21.7% 19.9% 15.7% Put IV 25d 24.4% 19.8% 38.9% 22.9% 22.0% Bid-Ask Spread % 79.63 67.82 100.07 70.28 100.05 Gamma HHI 0.11 0.06 0.36 0.07 0.08 Net GEX 257.4K -906.7K 3.2M 428.0K -229.9K Net DEX -22.5M -37.4M -6.7M -30.5M -21.1M Net VEX -87.3K -117.0K -62.9K -62.9K -102.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.15 0.65 4.72 1.53 2.27 Total Volume 50,334.609 30,192 76,416 40,576 55,264 Total OI 185,398.957 127,728 225,904 153,152 203,008
Daily Data (23 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 2017-03-01 $6.61 $6.38 20.9% 6.0% 12.8% 8.7% 23.2% 3.0% -0.0% 428.0K -30.5M -62.9K 1.53 70.28 N/A N/A 16,064 24,512 80,976 72,176 2017-03-02 $6.53 $6.38 20.6% 5.9% 13.9% 7.6% 20.1% 4.0% 2.7% 310.8K -24.9M -78.2K 2.14 68.72 N/A N/A 14,944 32,000 81,680 75,040 2017-03-03 $6.54 $6.38 17.8% 5.1% 13.6% 0.0% 19.2% 2.9% 4.2% 310.3K -24.5M -83.2K 2.49 71.50 N/A N/A 13,104 32,656 83,888 84,224 2017-03-06 $6.54 $5.88 17.8% 6.0% 13.7% 0.1% 22.9% 4.8% 3.5% 354.3K -25.0M -80.5K 2.40 72.59 N/A N/A 14,256 34,224 84,432 98,112 2017-03-07 $6.49 $5.88 18.6% 6.1% 14.3% 2.6% 25.1% 6.3% 6.8% 298.0K -20.6M -92.6K 1.72 70.51 N/A N/A 16,256 28,000 86,256 107,728 2017-03-08 $6.52 $5.88 19.2% 6.0% 14.3% 4.6% 24.9% 5.7% 7.5% 323.7K -23.6M -91.4K 1.62 67.82 N/A N/A 17,232 27,936 86,576 108,128 2017-03-09 $6.54 $5.88 19.0% 5.9% 14.2% 3.9% 22.5% 4.8% 6.3% 350.5K -23.6M -85.3K 1.97 70.43 N/A N/A 14,208 28,016 87,296 108,976 2017-03-10 $6.58 $5.94 17.7% 5.8% 14.2% 0.0% 22.1% 5.2% 6.6% 491.3K -27.4M -82.4K 1.51 71.28 N/A N/A 13,872 20,896 87,664 109,040 2017-03-13 $6.61 $5.94 19.9% 6.1% 14.2% 6.8% 20.2% 5.2% 5.9% 502.0K -30.6M -73.3K 1.27 73.51 N/A N/A 15,632 19,824 88,608 109,520 2017-03-14 $6.57 $5.94 22.8% 6.0% 14.2% 16.2% 23.1% 6.7% 7.7% 637.7K -28.1M -79.6K 1.00 77.11 N/A N/A 20,816 20,800 90,224 109,984 2017-03-15 $6.67 $5.94 20.6% 5.9% 14.9% 9.2% 20.3% 3.8% 6.1% 652.8K -37.0M -68.7K 0.65 76.93 N/A N/A 38,224 24,880 91,776 112,160 2017-03-16 $6.64 $5.94 18.4% 5.3% 14.5% 2.2% 23.7% 5.1% 9.6% 3.2M -37.4M -73.5K 1.52 79.95 N/A N/A 17,984 27,296 111,952 113,344 2017-03-17 $6.64 $5.94 19.1% 5.5% 14.5% 4.5% 21.5% 5.1% 8.1% 2.3M -36.6M -68.0K 1.41 72.05 N/A N/A 17,984 25,440 111,056 114,848 2017-03-20 $6.65 $6.00 18.0% 5.2% 14.4% 0.9% 20.3% 4.8% 2.8% 283.8K -22.3M -66.0K 1.82 71.75 N/A N/A 10,720 19,472 56,544 71,184 2017-03-21 $6.46 $6.06 18.1% 5.2% 17.4% 1.0% 21.6% 6.2% 5.1% 211.0K -18.2M -68.6K 4.13 85.87 N/A N/A 14,896 61,520 57,536 74,976 2017-03-22 $6.53 $6.19 20.9% 6.0% 17.9% 10.3% 24.3% 7.6% 3.1% -743.7K -8.4M -108.7K 4.72 78.61 N/A N/A 12,496 59,024 58,992 116,592 2017-03-23 $6.49 $6.25 21.7% 6.2% 17.7% 12.7% 27.9% 7.5% 2.6% -732.5K -6.7M -117.0K 3.53 80.50 N/A N/A 13,680 48,288 58,896 119,840 2017-03-24 $6.54 $6.25 22.4% 6.4% 17.9% 15.2% 31.4% 17.2% 2.1% -722.2K -10.1M -109.8K 3.03 94.37 N/A N/A 13,328 40,384 60,880 120,416 2017-03-27 $6.57 $6.25 23.5% 6.7% 17.9% 18.7% 23.7% 9.9% 0.5% -906.7K -10.1M -98.6K 2.39 99.55 N/A N/A 17,152 40,928 60,416 120,928 2017-03-28 $6.65 $6.25 21.1% 6.0% 18.0% 10.7% 23.3% 6.0% 0.4% -620.4K -15.4M -100.7K 1.97 89.23 N/A N/A 20,368 40,208 66,464 124,704 2017-03-29 $6.69 $6.25 19.4% 5.6% 15.6% 5.4% 26.4% 8.1% 2.9% -434.0K -17.7M -105.4K 1.79 100.07 N/A N/A 21,408 38,272 69,712 127,456 2017-03-30 $6.71 $6.25 20.3% 5.8% 14.8% 8.3% 25.1% 5.3% 2.3% -305.4K -18.0M -110.4K 2.59 88.78 N/A N/A 14,848 38,384 71,328 128,640 2017-03-31 $6.73 $6.25 14.4% 4.1% 14.8% 0.0% 24.0% 6.4% 6.9% -229.9K -21.1M -102.4K 2.27 100.05 N/A N/A 16,880 38,384 73,456 129,552
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