QLD Options History — June 2017 In June 2017, QLD traded between $7.24 and $7.84. ATM implied volatility averaged 29.1%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.2% (HV 20d: 27.9%). Max pain ranged from $5.31 to $7.38. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.38.
Notable Days 2017-06-12 : Highest Volume — 93,200 contracts2017-06-09 : Largest IV spike — 62.0% change2017-06-12 : Highest IV Rank — 100.0%2017-06-29 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $7.52 $7.24 $7.84 $7.65 $7.25 Max Pain $6.52 $5.31 $7.38 $7.31 $6.88 ATM IV 29.1% 21.4% 48.9% 21.4% 32.2% Expected Move 7.9% 6.1% 10.1% 6.1% 9.2% HV 20d 27.9% 20.5% 33.7% 20.5% 32.4% HV 60d 21.0% 17.0% 24.6% 17.0% 24.6% IV Rank 42.6% 20.4% 100.0% 20.4% 51.6% IV Percentile 70.7% 27.0% 100.0% 27.0% 91.7% Term Structure 0.6% -2.8% 3.4% 2.6% 0.3% VWIV 30.2% 23.1% 37.9% 23.1% 34.9% Skew 25d 7.9% 4.0% 11.0% 4.0% 11.0% Skew 10d 16.8% 8.9% 24.2% 8.9% 19.1% Call IV 25d 24.7% 20.6% 32.0% 20.6% 27.9% Put IV 25d 32.6% 24.6% 39.3% 24.6% 38.9% Bid-Ask Spread % 72.66 59.86 80.91 59.86 73.34 Gamma HHI 0.08 0.05 0.13 0.12 0.06 Net GEX 221.3K -233.1K 664.7K 503.6K 6.5K Net DEX -24.9M -40.7M -11.4M -34.6M -11.7M Net VEX -91.0K -112.9K -65.8K -72.4K -112.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.38 2.17 4.79 4.79 3.46 Total Volume 69,682.182 55,296 93,200 59,152 84,976 Total OI 197,793.455 156,960 240,272 156,960 225,744
Daily Data (22 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 2017-06-01 $7.65 $7.31 21.4% 6.1% 20.5% 20.4% 23.1% 4.0% 2.6% 503.6K -34.6M -72.4K 4.79 59.86 N/A N/A 10,208 48,944 67,280 89,680 2017-06-02 $7.82 $7.38 21.7% 6.2% 21.6% 21.1% 27.2% 4.1% 1.7% 504.8K -39.2M -69.1K 4.18 65.58 N/A N/A 10,672 44,624 68,736 105,424 2017-06-05 $7.83 $5.31 22.8% 7.1% 21.6% 24.2% 24.8% 7.1% -2.0% 596.2K -40.7M -65.8K 4.09 79.22 N/A N/A 11,088 45,392 69,888 106,624 2017-06-06 $7.77 $5.31 24.3% 7.2% 22.0% 28.7% 30.1% 6.3% 2.8% 622.4K -38.5M -77.0K 3.44 71.71 N/A N/A 13,344 45,936 72,464 108,208 2017-06-07 $7.84 $5.31 25.1% 7.2% 22.0% 31.2% 29.8% 6.9% 2.6% 664.7K -40.6M -72.4K 2.56 67.63 N/A N/A 18,304 46,928 74,224 109,264 2017-06-08 $7.84 $5.44 25.1% 7.2% 22.1% 31.2% 25.8% 6.2% -2.8% 626.8K -40.4M -73.1K 2.17 76.10 N/A N/A 20,496 44,464 75,744 110,928 2017-06-09 $7.42 $5.44 40.8% 8.9% 30.4% 76.8% 35.2% 4.5% 1.1% 96.0K -22.0M -91.6K 3.10 76.64 N/A N/A 22,512 69,888 76,400 111,552 2017-06-12 $7.32 $6.25 48.9% 9.3% 30.8% 100.0% 37.9% 9.3% -1.2% -233.1K -16.5M -100.7K 3.41 73.72 N/A N/A 21,136 72,064 81,344 125,632 2017-06-13 $7.49 $6.56 34.1% 7.9% 31.8% 57.1% 28.9% 7.1% 3.4% 262.1K -25.1M -91.9K 3.09 71.69 N/A N/A 18,720 57,856 84,512 129,920 2017-06-14 $7.39 $6.56 28.7% 8.2% 32.1% 41.4% 31.8% 10.0% 2.7% 102.6K -19.7M -98.7K 2.64 80.91 N/A N/A 20,496 54,160 85,520 144,944 2017-06-15 $7.34 $6.88 29.9% 8.6% 27.5% 44.8% 34.2% 10.0% -1.3% -66.5K -14.4M -98.7K 2.92 67.69 N/A N/A 19,456 56,848 88,416 146,672 2017-06-16 $7.30 $6.88 29.2% 8.4% 27.2% 42.8% 33.6% 8.8% 0.9% -24.0K -13.5M -99.4K 3.17 62.72 N/A N/A 18,560 58,800 89,520 150,752 2017-06-19 $7.53 $6.88 26.4% 7.6% 29.2% 34.7% 28.4% 11.0% 0.2% 95.4K -23.7M -91.0K 2.99 72.39 N/A N/A 15,024 44,848 65,120 113,936 2017-06-20 $7.43 $6.88 27.8% 8.0% 29.1% 38.9% 29.4% 9.0% -0.6% 151.6K -22.8M -99.6K 3.09 73.85 N/A N/A 14,176 43,808 69,712 114,688 2017-06-21 $7.56 $6.88 25.9% 7.4% 29.7% 33.2% 27.4% 10.0% 2.3% 251.3K -25.3M -93.1K 3.51 73.76 N/A N/A 14,096 49,520 70,976 115,568 2017-06-22 $7.57 $6.88 27.2% 7.8% 29.5% 37.0% 29.9% 7.7% 0.1% 132.9K -22.8M -101.7K 4.34 68.96 N/A N/A 11,216 48,624 71,584 122,352 2017-06-23 $7.61 $6.88 25.6% 7.3% 28.7% 32.4% 28.2% 7.4% 0.9% 181.9K -23.6M -97.8K 4.15 71.72 N/A N/A 11,536 47,856 71,920 122,480 2017-06-26 $7.55 $6.88 27.4% 7.9% 28.9% 37.7% 29.2% 8.8% 0.5% 199.2K -24.3M -94.6K 3.40 76.22 N/A N/A 14,624 49,744 73,104 123,040 2017-06-27 $7.31 $6.88 32.8% 9.4% 31.0% 53.4% 31.4% 6.6% -1.1% 72.6K -17.3M -98.2K 3.43 79.37 N/A N/A 15,056 51,632 75,744 124,816 2017-06-28 $7.48 $6.88 27.3% 7.8% 32.1% 37.4% 28.9% 9.3% 0.5% 82.3K -20.0M -98.7K 2.61 75.11 N/A N/A 20,192 52,688 77,088 127,504 2017-06-29 $7.24 $6.88 35.3% 10.1% 33.7% 60.4% 34.8% 8.6% -0.1% 38.4K -11.4M -102.7K 3.77 80.44 N/A N/A 19,376 73,120 83,376 129,056 2017-06-30 $7.25 $6.88 32.2% 9.2% 32.4% 51.6% 34.9% 11.0% 0.3% 6.5K -11.7M -112.9K 3.46 73.34 N/A N/A 19,040 65,936 85,200 140,544
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