QLD Options History — August 2017 In August 2017, QLD traded between $7.54 and $8.08. ATM implied volatility averaged 27.1%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.2% (HV 20d: 21.9%). Max pain ranged from $7.63 to $8.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.38.
Notable Days 2017-08-18 : Highest Volume — 31,032 contracts2017-08-17 : Largest IV spike — 22.3% change2017-08-21 : Highest IV Rank — 50.7%2017-08-21 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $7.78 $7.54 $8.08 $7.82 $8.08 Max Pain $7.74 $7.63 $8.00 $7.81 $7.63 ATM IV 27.1% 22.6% 31.9% 26.5% 24.1% Expected Move 7.9% 6.9% 9.1% 7.6% 6.9% HV 20d 21.9% 12.8% 28.4% 19.5% 28.4% HV 60d 26.9% 26.1% 27.9% 26.1% 27.9% IV Rank 36.9% 23.7% 50.7% 35.1% 27.9% IV Percentile 66.1% 35.3% 90.1% 66.7% 41.3% Term Structure 1.4% -1.8% 4.0% -0.2% 3.8% VWIV 30.5% 25.5% 36.8% 27.4% 25.5% Skew 25d 9.3% 6.3% 12.7% 6.9% 8.0% Skew 10d 18.1% 12.4% 23.0% 13.4% 14.4% Call IV 25d 23.4% 19.2% 26.9% 23.1% 21.3% Put IV 25d 32.6% 28.7% 38.3% 30.0% 29.3% Bid-Ask Spread % 52.42 16.66 89.82 24.97 82.51 Gamma HHI 0.07 0.06 0.08 0.08 0.08 Net GEX 213.5K -400.6K 746.0K 210.3K 746.0K Net DEX -7.4M -19.7M 893.7K -7.4M -19.7M Net VEX -87.2K -100.9K -76.4K -87.1K -88.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 0.81 2.11 1.83 0.84 Total Volume 23,977.391 14,408 31,032 14,408 25,976 Total OI 135,266.087 108,424 158,424 124,736 133,584
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 2017-08-01 $7.82 $7.81 26.5% 7.6% 19.5% 35.1% 27.4% 6.9% -0.2% 210.3K -7.4M -87.1K 1.83 24.97 N/A N/A 5,096 9,312 52,392 72,344 2017-08-02 $7.87 $7.81 27.2% 7.8% 18.6% 37.1% 27.1% 7.9% -0.5% 267.7K -8.8M -86.5K 1.89 28.89 N/A N/A 5,808 11,000 52,592 72,480 2017-08-03 $7.82 $7.75 24.3% 7.7% 16.5% 28.7% 28.9% 8.6% 1.3% 239.9K -6.8M -88.5K 1.81 29.48 N/A N/A 6,120 11,056 54,080 75,912 2017-08-04 $7.82 $7.75 23.4% 7.5% 15.1% 26.1% 28.4% 8.7% 2.1% 234.9K -6.8M -86.5K 1.82 17.33 N/A N/A 6,296 11,480 54,088 76,096 2017-08-07 $7.93 $7.75 23.5% 7.5% 14.9% 26.4% 29.3% 8.7% 1.1% 409.0K -10.1M -82.2K 1.89 16.66 N/A N/A 6,808 12,872 54,624 77,104 2017-08-08 $7.90 $8.00 22.6% 7.7% 15.2% 23.7% 30.5% 9.7% 0.6% 462.0K -9.7M -82.7K 2.01 27.85 N/A N/A 7,088 14,240 56,112 80,432 2017-08-09 $7.88 $8.00 26.2% 7.5% 12.8% 34.3% 29.9% 10.4% 2.9% 196.7K -7.2M -84.2K 2.11 47.20 N/A N/A 6,416 13,512 56,888 82,040 2017-08-10 $7.57 $8.00 30.5% 8.7% 20.0% 46.5% 34.0% 11.3% 0.2% -132.5K 16.7K -89.1K 1.74 46.79 N/A N/A 10,816 18,776 57,576 83,448 2017-08-11 $7.67 $8.00 30.6% 8.8% 19.8% 46.8% 36.8% 12.6% 0.3% -142.7K 247.4K -90.9K 1.36 56.29 N/A N/A 11,672 15,880 62,352 88,776 2017-08-14 $7.85 $7.75 27.0% 7.7% 21.5% 36.4% 34.6% 12.4% 4.0% 347.4K -8.8M -82.7K 1.59 52.64 N/A N/A 10,344 16,448 63,912 89,696 2017-08-15 $7.90 $7.75 25.3% 7.3% 21.3% 31.6% 31.0% 9.7% 3.2% 670.2K -11.5M -83.5K 1.46 44.97 N/A N/A 10,808 15,752 65,232 90,296 2017-08-16 $7.89 $7.75 24.8% 7.1% 20.7% 30.0% 29.8% 7.9% 3.9% 740.0K -12.0M -83.8K 1.30 56.15 N/A N/A 11,672 15,184 65,584 90,272 2017-08-17 $7.61 $7.63 30.3% 8.7% 24.4% 46.0% 30.1% 10.3% -1.5% -400.6K -288.5K -80.0K 1.33 40.84 N/A N/A 12,952 17,232 66,560 90,336 2017-08-18 $7.61 $7.63 30.2% 8.7% 24.4% 45.8% 36.5% 12.7% 0.7% -304.1K 893.7K -79.2K 1.43 47.77 N/A N/A 12,776 18,256 68,072 90,352 2017-08-21 $7.54 $7.63 31.9% 9.1% 23.9% 50.7% 33.4% 10.1% 0.1% -76.8K -2.2M -77.4K 1.10 62.54 N/A N/A 8,816 9,672 46,016 62,408 2017-08-22 $7.79 $7.63 28.4% 8.2% 26.8% 40.7% 28.9% 9.7% 0.0% 103.3K -7.5M -76.4K 0.85 53.07 N/A N/A 15,048 12,728 47,616 65,000 2017-08-23 $7.74 $7.63 27.2% 7.8% 26.8% 37.1% 28.2% 8.1% 3.4% 166.7K -8.2M -97.2K 0.89 68.61 N/A N/A 14,648 13,040 55,024 68,704 2017-08-24 $7.68 $7.63 28.9% 8.3% 26.5% 42.0% 29.1% 6.7% 2.3% 182.1K -8.0M -100.9K 0.96 77.01 N/A N/A 12,960 12,496 57,160 69,552 2017-08-25 $7.66 $7.63 27.0% 7.7% 26.4% 36.5% 31.5% 8.4% 3.0% 177.2K -7.4M -98.6K 0.86 76.08 N/A N/A 12,960 11,152 57,448 69,744 2017-08-28 $7.67 $7.63 28.0% 8.0% 26.4% 39.4% 30.7% 7.3% 1.8% 201.7K -7.1M -96.4K 0.87 72.95 N/A N/A 13,080 11,360 58,024 70,328 2017-08-29 $7.76 $7.63 29.3% 8.4% 26.7% 43.2% 30.2% 6.3% 1.8% 153.7K -8.8M -91.7K 0.81 85.12 N/A N/A 13,704 11,120 58,808 71,336 2017-08-30 $7.91 $7.63 26.7% 7.6% 27.6% 35.5% 29.1% 10.3% -1.8% 458.8K -12.9M -92.2K 0.90 89.82 N/A N/A 14,224 12,824 58,984 71,736 2017-08-31 $8.08 $7.63 24.1% 6.9% 28.4% 27.9% 25.5% 8.0% 3.8% 746.0K -19.7M -88.2K 0.84 82.51 N/A N/A 14,112 11,864 60,664 72,920
« Jul 2017 | All History | Sep 2017 » Home QLD History August 2017