QLD Options History — April 2017

In April 2017, QLD traded between $6.53 and $7.06. ATM implied volatility averaged 21.9%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.9% (HV 20d: 14.0%). Max pain ranged from $6.25 to $6.75. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.87.

Notable Days

  • 2017-04-05: Highest Volume — 70,272 contracts
  • 2017-04-12: Largest IV spike — 22.2% change
  • 2017-04-17: Highest IV Rank — 41.5%
  • 2017-04-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.73$6.53$7.06$6.70$7.06
Max Pain$6.62$6.25$6.75$6.25$6.69
ATM IV21.9%17.3%28.7%19.6%17.3%
Expected Move6.6%5.0%8.2%5.6%5.0%
HV 20d14.0%9.7%15.0%14.9%14.9%
HV 60d14.0%13.6%14.9%13.9%14.4%
IV Rank21.8%8.3%41.5%15.0%8.3%
IV Percentile25.1%0.4%69.8%6.3%0.4%
Term Structure1.3%-5.9%4.7%4.4%4.1%
VWIV24.6%19.8%29.1%22.8%22.1%
Skew 25d6.6%-3.1%10.9%3.1%4.9%
Skew 10d14.6%4.5%23.4%4.5%11.8%
Call IV 25d20.8%16.9%25.4%18.7%17.5%
Put IV 25d27.4%20.1%34.0%21.8%22.4%
Bid-Ask Spread %60.2744.8399.5996.1266.90
Gamma HHI0.080.070.100.080.08
Net GEX216.6K-285.2K863.3K-274.6K584.0K
Net DEX-21.4M-29.1M-14.0M-19.9M-29.1M
Net VEX-110.4K-132.5K-84.2K-106.7K-98.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.871.202.772.752.35
Total Volume47,732.21133,26470,27258,64034,368
Total OI212,392.421160,736239,312204,656178,160

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$6.70$6.2519.6%5.6%14.9%15.0%22.8%3.1%4.4%-274.6K-19.9M-106.7K2.7596.12N/AN/A15,64842,99274,928129,728
2017-04-04$6.71$6.2517.7%5.1%14.5%9.5%20.2%-3.1%4.7%-95.5K-20.5M-101.5K2.7794.50N/AN/A15,42442,65676,160134,928
2017-04-05$6.68$6.2519.9%5.7%14.6%16.0%24.2%4.7%1.2%-285.2K-18.4M-119.5K1.2099.59N/AN/A32,00038,27277,232134,784
2017-04-06$6.66$6.7518.4%6.6%14.6%11.5%24.5%7.4%3.0%15.8K-21.0M-126.5K1.6445.09N/AN/A18,30429,95289,584135,488
2017-04-07$6.67$6.6917.7%6.9%14.5%9.6%24.0%7.2%0.6%9.4K-20.0M-132.5K1.6046.53N/AN/A17,26427,68091,152135,856
2017-04-10$6.67$6.6918.9%6.9%14.4%12.9%25.1%8.0%2.3%172.0K-22.0M-121.1K1.5044.83N/AN/A18,46427,64892,528135,824
2017-04-11$6.58$6.6922.8%7.9%15.0%24.4%26.5%7.8%-5.4%-80.2K-16.6M-126.4K1.3556.46N/AN/A20,65627,88893,984136,560
2017-04-12$6.55$6.6927.9%8.0%14.0%39.2%27.7%8.5%0.5%38.5K-16.8M-126.5K1.3746.77N/AN/A19,18426,20896,064136,512
2017-04-13$6.53$6.6926.7%7.7%14.0%35.9%27.8%9.3%0.9%7.5K-14.0M-127.9K1.5245.85N/AN/A16,73625,52096,160136,672
2017-04-17$6.54$6.6928.7%8.2%14.0%41.5%29.1%7.8%-5.9%15.5K-15.2M-113.2K1.5552.60N/AN/A16,84826,04896,112136,656
2017-04-18$6.59$6.6926.1%7.5%14.4%34.1%27.4%10.9%4.1%290.6K-19.0M-109.7K1.3452.70N/AN/A19,93626,67297,968137,648
2017-04-19$6.59$6.6926.2%7.5%9.7%34.3%27.1%9.9%1.1%541.5K-20.9M-111.7K1.8553.88N/AN/A21,36039,50495,728138,160
2017-04-20$6.74$6.6924.4%7.0%11.8%29.1%25.1%8.4%-0.2%863.3K-25.8M-106.6K2.1255.83N/AN/A18,59239,36095,040144,272
2017-04-21$6.71$6.6924.9%7.1%11.7%30.6%28.2%8.8%1.7%54.3K-23.9M-108.6K2.2156.06N/AN/A19,15242,38494,272144,944
2017-04-24$6.88$6.6921.2%6.1%14.2%19.7%22.0%5.7%2.1%409.7K-22.0M-93.5K1.8653.63N/AN/A13,00824,19268,76891,968
2017-04-25$6.98$6.6919.0%5.4%14.8%13.2%19.8%5.2%2.9%755.4K-26.8M-84.2K2.0058.40N/AN/A11,45622,91269,53695,888
2017-04-26$6.95$6.6920.1%5.8%14.6%16.5%23.0%5.6%2.2%532.2K-25.7M-93.6K2.1557.27N/AN/A11,21624,14471,50498,784
2017-04-27$7.03$6.6919.2%5.5%14.9%13.8%21.4%4.9%1.5%561.4K-28.9M-89.5K2.5062.19N/AN/A9,50423,76074,112101,792
2017-04-28$7.06$6.6917.3%5.0%14.9%8.3%22.1%4.9%4.1%584.0K-29.1M-98.5K2.3566.90N/AN/A10,27224,09674,368103,792