QLD Options History — September 2017

In September 2017, QLD traded between $7.74 and $8.11. ATM implied volatility averaged 24.7%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.6% (HV 20d: 23.0%). Max pain ranged from $7.38 to $7.63. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-09-18: Highest Volume — 31,496 contracts
  • 2017-09-05: Largest IV spike — 35.2% change
  • 2017-09-05: Highest IV Rank — 40.9%
  • 2017-09-05: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.98$7.74$8.11$8.08$8.04
Max Pain$7.46$7.38$7.63$7.63$7.63
ATM IV24.7%19.6%28.5%21.1%22.6%
Expected Move7.2%5.6%8.3%6.0%6.5%
HV 20d23.0%17.9%29.0%28.4%19.7%
HV 60d24.4%22.0%27.9%27.9%22.0%
IV Rank29.7%15.0%40.9%19.3%23.7%
IV Percentile47.7%9.9%76.6%23.8%33.3%
Term Structure2.4%0.4%6.0%5.6%3.6%
VWIV27.7%23.8%32.5%27.7%23.8%
Skew 25d9.0%6.9%10.5%7.9%6.9%
Skew 10d18.8%13.4%23.7%16.2%13.4%
Call IV 25d21.6%19.4%25.7%19.4%20.3%
Put IV 25d30.7%27.3%36.2%27.4%27.3%
Bid-Ask Spread %42.4212.8377.2677.0817.77
Gamma HHI0.090.050.190.090.06
Net GEX626.6K-10.9K1.7M813.6K472.6K
Net DEX-17.8M-24.5M-9.3M-20.4M-20.2M
Net VEX-91.1K-97.1K-83.6K-93.5K-91.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.661.220.940.66
Total Volume28,02623,87231,49625,04028,904
Total OI139,672.4117,544150,976134,848142,952

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$8.08$7.6321.1%6.0%28.4%19.3%27.7%7.9%5.6%813.6K-20.4M-93.5K0.9477.08N/AN/A12,88812,15261,76873,080
2017-09-05$7.93$7.3828.5%8.3%29.0%40.9%32.5%10.5%0.7%602.2K-15.4M-93.9K0.9354.38N/AN/A14,97613,95262,11273,640
2017-09-06$7.97$7.3826.6%8.0%29.0%35.4%30.7%10.2%1.4%726.2K-17.1M-92.2K1.0551.69N/AN/A11,64012,23263,78474,952
2017-09-07$8.01$7.3823.3%7.9%29.0%25.6%27.4%9.9%0.9%956.7K-19.5M-87.6K0.9346.69N/AN/A12,56811,72864,02475,656
2017-09-08$7.88$7.3827.2%8.2%25.4%37.0%30.4%9.5%1.6%750.4K-15.6M-91.8K1.1353.08N/AN/A11,93613,44865,19277,568
2017-09-11$8.04$7.3825.3%7.2%26.0%31.4%26.6%9.9%2.7%1.3M-20.6M-86.4K0.8753.84N/AN/A16,64014,48866,00880,024
2017-09-12$8.08$7.3822.4%7.1%24.8%23.1%26.9%9.3%2.3%1.4M-22.1M-88.0K0.9255.25N/AN/A16,36815,04867,68080,488
2017-09-13$8.11$7.3823.8%6.8%24.8%27.3%26.0%9.7%2.9%1.7M-24.5M-84.2K0.9553.44N/AN/A15,60014,85668,32881,616
2017-09-14$8.02$7.3825.1%7.2%25.2%31.1%26.9%8.7%1.8%1.5M-21.4M-84.8K0.9750.23N/AN/A13,14412,80068,16882,096
2017-09-15$8.06$7.3823.8%6.8%21.0%27.3%25.9%9.0%3.3%310.1K-22.9M-85.2K1.0448.56N/AN/A14,44815,06468,79282,184
2017-09-18$8.06$7.3823.9%6.9%21.0%27.5%27.6%8.6%2.8%298.1K-16.5M-83.6K0.9745.99N/AN/A15,97615,52052,33665,208
2017-09-19$8.07$7.5023.4%6.7%20.6%26.1%29.2%8.2%2.4%375.6K-19.1M-90.7K0.8718.48N/AN/A16,53614,36058,70469,152
2017-09-20$8.04$7.5019.6%5.6%17.9%15.0%26.0%9.9%6.0%414.4K-18.3M-91.3K1.2277.26N/AN/A12,37615,06460,90469,960
2017-09-21$7.93$7.5023.8%6.8%18.5%27.3%26.7%8.7%2.8%200.2K-15.6M-95.5K1.0119.48N/AN/A13,27213,42461,75272,592
2017-09-22$7.92$7.5023.7%6.8%18.2%26.9%26.7%7.8%3.2%223.5K-15.4M-96.3K1.0414.61N/AN/A12,92813,38464,26473,240
2017-09-25$7.74$7.5028.0%8.0%20.3%39.3%28.0%9.1%0.4%-10.9K-9.3M-96.9K0.9336.90N/AN/A15,11214,12865,45674,640
2017-09-26$7.78$7.5027.6%7.9%20.3%38.1%28.9%9.2%1.2%-10.7K-11.0M-95.6K0.7720.45N/AN/A16,05612,39264,32875,576
2017-09-27$7.94$7.5626.7%7.7%21.2%35.6%28.1%9.1%0.7%265.1K-16.3M-97.1K0.7140.41N/AN/A16,36011,65666,47275,696
2017-09-28$7.90$7.6326.7%7.6%20.2%35.5%28.5%8.4%1.2%231.9K-15.2M-96.7K0.6912.83N/AN/A16,04811,04867,24875,808
2017-09-29$8.04$7.6322.6%6.5%19.7%23.7%23.8%6.9%3.6%472.6K-20.2M-91.0K0.6617.77N/AN/A17,46411,44067,11275,840