QLD Options History — May 2017

In May 2017, QLD traded between $7.09 and $7.61. ATM implied volatility averaged 21.4%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.3% (HV 20d: 18.0%). Max pain ranged from $6.75 to $7.31. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.44.

Notable Days

  • 2017-05-18: Highest Volume — 54,864 contracts
  • 2017-05-17: Largest IV spike — 36.3% change
  • 2017-05-17: Highest IV Rank — 35.6%
  • 2017-05-17: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.32$7.09$7.61$7.20$7.59
Max Pain$7.16$6.75$7.31$6.75$7.31
ATM IV21.4%19.6%26.7%22.3%21.0%
Expected Move6.2%5.6%7.6%6.4%6.0%
HV 20d18.0%13.8%22.8%16.2%20.7%
HV 60d16.0%14.6%17.8%14.8%17.1%
IV Rank20.2%14.9%35.6%23.0%19.2%
IV Percentile22.9%9.1%68.3%26.6%22.6%
Term Structure1.9%-1.0%3.1%-1.0%2.3%
VWIV24.8%22.0%33.9%22.7%23.3%
Skew 25d6.4%4.6%9.2%8.5%4.6%
Skew 10d13.8%9.0%22.7%12.6%9.0%
Call IV 25d19.3%16.1%23.6%16.1%19.8%
Put IV 25d25.7%23.5%32.6%24.6%24.4%
Bid-Ask Spread %45.4328.2872.2972.2963.98
Gamma HHI0.090.070.120.090.12
Net GEX607.7K50.0K1.1M684.7K549.9K
Net DEX-34.7M-46.3M-22.6M-35.3M-32.8M
Net VEX-80.1K-92.3K-63.2K-78.7K-77.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.441.564.121.914.12
Total Volume41,953.45536,27254,86438,62442,000
Total OI177,669.091132,784218,592177,312153,328

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$7.20$6.7522.3%6.4%16.2%23.0%22.7%8.5%-1.0%684.7K-35.3M-78.7K1.9172.29N/AN/A13,26425,36074,016103,296
2017-05-02$7.20$6.7519.9%5.7%16.0%16.0%23.9%6.0%1.8%602.7K-34.8M-86.7K2.1169.15N/AN/A13,47228,36876,416105,408
2017-05-03$7.15$6.7521.1%6.0%16.4%19.3%22.3%5.4%1.8%697.5K-33.6M-84.9K1.8569.40N/AN/A14,51226,83276,112106,240
2017-05-04$7.17$7.1919.6%6.2%16.1%14.9%22.8%6.4%2.2%622.2K-33.8M-88.3K1.5628.28N/AN/A16,68825,95277,968107,424
2017-05-05$7.20$7.1919.9%6.0%15.9%15.8%22.5%6.6%2.5%786.2K-37.4M-83.6K1.7028.62N/AN/A14,94425,40880,592108,048
2017-05-08$7.22$7.1919.7%6.1%15.9%15.4%22.0%5.9%2.3%740.7K-36.5M-85.5K1.6935.39N/AN/A15,08825,50481,456108,256
2017-05-09$7.28$7.1920.9%6.2%15.9%18.9%23.7%6.1%2.3%743.2K-39.9M-83.8K1.6629.72N/AN/A14,38423,84081,568108,784
2017-05-10$7.29$7.1921.0%6.0%14.6%19.1%25.4%6.5%1.5%858.5K-40.7M-74.1K1.7333.63N/AN/A13,26423,00881,920109,392
2017-05-11$7.29$7.1922.2%6.4%14.2%22.5%24.8%6.2%1.7%1.1M-41.8M-69.2K2.0034.55N/AN/A12,51224,97681,792109,696
2017-05-12$7.32$7.1921.7%6.2%13.9%21.2%24.2%6.9%2.8%900.9K-42.5M-71.2K1.9430.70N/AN/A12,60824,44882,976111,424
2017-05-15$7.36$7.1921.0%6.0%13.8%19.1%23.5%6.5%0.8%712.4K-45.4M-66.1K2.1729.87N/AN/A11,79225,64883,712112,192
2017-05-16$7.42$7.1919.6%5.6%13.9%14.9%23.4%5.3%2.2%825.4K-46.3M-63.2K1.8137.75N/AN/A14,27225,85682,496114,272
2017-05-17$7.09$7.1926.7%7.6%22.8%35.6%27.2%5.8%0.7%873.0K-32.5M-80.9K2.6155.75N/AN/A14,03236,64081,056113,680
2017-05-18$7.19$7.2526.1%7.5%22.1%33.9%33.9%9.2%0.0%668.8K-29.9M-87.5K2.4133.25N/AN/A16,08038,78480,992129,536
2017-05-19$7.23$7.1923.2%6.6%22.0%25.4%31.9%8.0%2.0%174.8K-34.3M-92.3K2.7545.72N/AN/A13,92038,25683,616134,976
2017-05-22$7.36$7.2520.8%6.0%21.2%18.7%26.1%6.8%2.2%50.0K-22.6M-77.9K3.0842.27N/AN/A10,92833,69655,64877,136
2017-05-23$7.36$7.2520.8%6.0%20.8%18.5%25.9%6.1%3.0%197.7K-23.3M-90.8K2.6246.41N/AN/A11,39229,79260,32080,720
2017-05-24$7.44$7.2519.6%5.6%20.8%15.1%23.2%7.3%3.1%302.2K-26.6M-79.5K3.1449.02N/AN/A9,92031,12061,55282,624
2017-05-25$7.59$7.2520.2%5.8%21.5%16.7%23.5%5.4%2.2%362.8K-31.0M-75.7K3.3153.20N/AN/A10,00033,12062,54483,904
2017-05-26$7.58$7.3121.0%6.0%21.5%19.0%23.6%6.1%3.1%420.0K-31.1M-83.7K3.8049.58N/AN/A8,49632,25664,86484,784
2017-05-30$7.61$7.3122.2%6.4%20.6%22.6%25.0%5.8%1.7%467.6K-32.5M-80.9K3.8160.88N/AN/A8,43232,11265,95286,032
2017-05-31$7.59$7.3121.0%6.0%20.7%19.2%23.3%4.6%2.3%549.9K-32.8M-77.7K4.1263.98N/AN/A8,20833,79266,51286,816