QLD Options History — July 2017

In July 2017, QLD traded between $7.06 and $7.98. ATM implied volatility averaged 27.9%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.6% (HV 20d: 29.5%). Max pain ranged from $6.88 to $15.88. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.12.

Notable Days

  • 2017-07-05: Highest Volume — 91,584 contracts
  • 2017-07-05: Largest IV drop — 23.7% change
  • 2017-07-03: Highest IV Rank — 69.5%
  • 2017-07-03: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.63$7.06$7.98$7.07$7.82
Max Pain$8.39$6.88$15.88$6.88$7.81
ATM IV27.9%23.8%38.4%38.4%28.3%
Expected Move8.1%6.8%11.0%11.0%8.1%
HV 20d29.5%21.9%36.1%33.2%22.3%
HV 60d26.2%25.2%26.8%25.2%26.1%
IV Rank39.2%27.3%69.5%69.5%40.3%
IV Percentile71.4%43.7%96.4%96.4%77.4%
Term Structure-2.8%-23.3%12.1%-2.8%-0.3%
VWIV29.0%24.0%36.0%32.7%29.0%
Skew 25d8.3%5.9%13.8%13.8%8.3%
Skew 10d15.5%11.9%21.7%14.5%15.9%
Call IV 25d24.2%21.0%28.4%27.5%24.8%
Put IV 25d32.5%27.0%41.3%41.3%33.1%
Bid-Ask Spread %40.8327.92103.2088.6327.92
Gamma HHI0.100.070.440.070.08
Net GEX475.9K-165.4K1.6M-35.7K200.9K
Net DEX-1.3M-27.3M49.3M-8.6M-7.5M
Net VEX-85.5K-106.1K-13.4K-105.3K-88.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.121.243.272.001.51
Total Volume51,22412,32091,58479,92015,608
Total OI219,858.8112,704346,224227,360122,480

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$7.07$6.8838.4%11.0%33.2%69.5%32.7%13.8%-2.8%-35.7K-8.6M-105.3K2.0088.63N/AN/A26,60853,31286,080141,280
2017-07-05$7.21$6.8829.3%8.4%34.4%43.1%36.0%10.6%12.1%7.1K-11.5M-104.9K2.31103.20N/AN/A27,66463,92090,384143,040
2017-07-06$7.06$8.2533.8%9.6%34.6%56.3%32.6%10.5%-0.4%-120.3K-5.3M-106.1K2.5937.08N/AN/A22,52858,44891,680148,384
2017-07-07$7.23$8.2529.4%9.0%36.1%43.4%30.9%11.4%0.7%17.4K-10.5M-104.5K2.5936.90N/AN/A20,80053,92093,856148,752
2017-07-10$7.35$8.1328.8%8.5%31.2%41.6%29.3%10.2%-0.7%203.4K-8.5M-96.5K2.7938.23N/AN/A20,54457,40883,376149,840
2017-07-11$7.36$8.1329.5%8.9%30.8%43.8%29.1%10.1%-0.3%181.5K-8.4M-98.0K2.5833.84N/AN/A20,86453,85684,560151,968
2017-07-12$7.55$8.1328.3%8.1%31.1%40.4%26.4%8.9%1.5%667.0K-17.3M-95.7K2.2929.09N/AN/A22,72052,12883,392152,736
2017-07-13$7.58$8.1327.0%7.7%30.6%36.5%25.0%8.4%1.8%851.9K-20.9M-93.8K2.3431.21N/AN/A22,06451,53687,024153,600
2017-07-14$7.70$8.0624.8%7.1%30.9%30.0%24.0%7.5%2.2%1.3M-27.3M-85.0K3.2237.05N/AN/A15,76050,80087,584154,064
2017-07-17$7.70$15.8826.3%7.5%30.8%34.3%29.8%7.4%-23.3%-165.4K49.3M-13.4K3.2730.94N/AN/A9,00829,46443,90476,760
2017-07-18$7.78$8.3826.8%7.7%29.2%35.7%28.4%6.4%2.0%1.6M17.0M-82.0K2.2333.59N/AN/A12,91228,800132,040214,184
2017-07-19$7.89$8.3825.7%7.4%28.9%32.7%30.0%6.9%-20.7%1.5M10.2M-68.6K1.8229.03N/AN/A17,12831,128129,632214,856
2017-07-20$7.91$8.2525.9%7.4%28.4%33.4%31.3%6.6%-21.3%1.5M9.8M-69.7K1.9130.48N/AN/A15,74430,048129,448215,976
2017-07-21$7.88$8.2526.1%7.5%28.4%33.9%29.2%6.6%-13.0%210.4K35.5M-77.6K1.7833.97N/AN/A17,16830,512129,936216,096
2017-07-24$7.98$8.2525.7%7.4%28.6%32.7%27.1%6.0%5.9%312.3K5.1M-79.0K1.3430.88N/AN/A9,97613,34461,09683,272
2017-07-25$7.93$8.2524.7%7.1%28.6%29.8%25.9%6.1%1.0%388.2K2.8M-78.9K1.2430.88N/AN/A10,84813,50463,90484,448
2017-07-26$7.96$7.8123.8%6.8%25.5%27.3%25.6%5.9%1.2%442.0K-11.9M-85.2K1.2929.28N/AN/A5,3846,93648,59264,112
2017-07-27$7.85$7.8828.3%8.1%25.4%40.1%30.2%6.8%0.8%313.1K-9.3M-86.5K1.8360.38N/AN/A5,73610,50449,48065,400
2017-07-28$7.87$7.8827.9%8.0%21.9%39.2%28.3%8.0%-1.3%231.6K-8.1M-90.6K1.5344.08N/AN/A6,2729,57650,61669,344
2017-07-31$7.82$7.8128.3%8.1%22.3%40.3%29.0%8.3%-0.3%200.9K-7.5M-88.8K1.5127.92N/AN/A6,2089,40051,51270,968