QLD Options History — October 2017

In October 2017, QLD traded between $8.04 and $8.75. ATM implied volatility averaged 24.0%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 7.0% (HV 20d: 17.0%). Max pain ranged from $7.63 to $8.13. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2017-10-19: Highest Volume — 36,840 contracts
  • 2017-10-11: Largest IV spike — 15.9% change
  • 2017-10-26: Highest IV Rank — 42.2%
  • 2017-10-26: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.32$8.04$8.75$8.04$8.75
Max Pain$7.98$7.63$8.13$7.63$8.13
ATM IV24.0%19.2%29.0%22.7%28.0%
Expected Move7.1%6.2%8.3%6.5%8.0%
HV 20d17.0%12.2%21.6%19.7%21.5%
HV 60d21.2%20.5%23.3%21.6%23.1%
IV Rank27.8%13.7%42.2%24.1%39.3%
IV Percentile46.2%7.5%84.1%34.1%79.4%
Term Structure1.1%-0.8%3.1%3.1%-0.8%
VWIV28.0%24.0%32.5%24.2%31.5%
Skew 25d8.2%5.7%11.7%6.4%6.4%
Skew 10d17.6%11.3%26.0%14.3%11.3%
Call IV 25d21.5%18.6%25.4%20.1%24.6%
Put IV 25d29.7%24.3%37.0%26.5%31.0%
Bid-Ask Spread %33.7110.0966.7532.2866.75
Gamma HHI0.110.070.210.070.09
Net GEX1.2M504.8K2.3M679.1K913.2K
Net DEX-27.4M-38.3M-12.8M-21.2M-29.6M
Net VEX-79.1K-89.5K-69.7K-88.5K-82.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.681.470.681.27
Total Volume27,324.36421,57636,84026,79226,784
Total OI137,639.63684,032173,048147,328105,240

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$8.04$7.6322.7%6.5%19.7%24.1%24.2%6.4%3.1%679.1K-21.2M-88.5K0.6832.28N/AN/A15,94410,84870,80076,528
2017-10-03$8.07$7.6321.8%6.2%18.3%21.3%24.0%6.5%2.9%818.1K-22.4M-85.6K0.9712.74N/AN/A11,89611,57671,12876,896
2017-10-04$8.09$7.6321.5%6.2%18.2%20.6%26.6%5.7%3.1%882.4K-23.4M-82.8K1.4717.43N/AN/A11,72817,23271,44077,088
2017-10-05$8.25$7.8820.3%6.7%19.4%17.0%25.5%8.4%1.8%1.2M-29.9M-78.2K1.1220.48N/AN/A11,70413,13671,69677,480
2017-10-06$8.26$7.8819.2%6.8%18.1%13.7%24.7%7.9%1.2%1.3M-30.4M-78.5K1.1321.04N/AN/A11,68813,20072,31277,168
2017-10-09$8.25$7.8821.2%7.0%16.8%19.5%26.7%8.0%1.0%1.4M-30.6M-75.6K1.0011.55N/AN/A12,99212,96872,58477,664
2017-10-10$8.26$8.0021.0%7.0%16.8%19.1%26.9%8.5%1.2%1.5M-31.0M-75.8K0.8210.09N/AN/A14,47211,89674,49680,088
2017-10-11$8.31$8.0024.3%7.0%16.8%28.8%29.5%8.4%1.3%1.5M-32.4M-77.6K1.0010.19N/AN/A12,50412,44875,06480,296
2017-10-12$8.28$8.0024.4%7.0%16.3%29.0%28.6%8.6%0.8%1.6M-31.9M-76.1K1.1113.29N/AN/A13,33614,74475,77681,064
2017-10-13$8.33$8.0023.0%6.6%16.3%24.7%28.5%8.3%1.9%1.6M-33.4M-77.2K1.2016.41N/AN/A12,23214,68877,58482,600
2017-10-16$8.40$8.0024.0%6.9%16.4%27.7%29.1%8.6%1.0%1.9M-37.2M-70.3K1.0333.28N/AN/A14,88015,40077,20082,320
2017-10-17$8.42$8.0024.2%6.9%16.4%28.3%26.0%8.4%0.9%2.0M-38.3M-69.7K0.8032.35N/AN/A18,64014,82478,68884,280
2017-10-18$8.39$8.0023.6%6.8%16.3%26.6%27.2%8.0%1.3%2.3M-36.5M-71.5K1.2138.32N/AN/A13,62416,46480,52084,808
2017-10-19$8.32$8.0023.9%6.9%15.8%27.5%26.8%8.9%1.0%1.9M-30.9M-72.5K1.1936.62N/AN/A16,82420,01680,11286,816
2017-10-20$8.36$8.1323.5%6.7%15.7%26.3%27.4%8.5%1.5%727.7K-32.4M-75.5K1.1443.38N/AN/A16,84819,18482,88090,168
2017-10-23$8.26$8.1325.4%7.3%13.6%31.8%29.3%9.6%1.3%641.9K-15.5M-75.2K1.0942.82N/AN/A12,38413,44052,59231,440
2017-10-24$8.29$8.1326.8%7.7%13.6%35.9%32.1%8.8%-0.0%635.1K-15.3M-84.1K1.1549.57N/AN/A10,04811,52855,75237,120
2017-10-25$8.23$8.1328.3%8.1%12.4%40.2%30.8%10.3%-0.1%524.2K-13.3M-85.5K0.9353.79N/AN/A12,44811,63256,13638,184
2017-10-26$8.21$8.1329.0%8.3%12.2%42.2%32.5%11.7%-0.7%504.8K-12.8M-89.5K0.9450.05N/AN/A12,04811,33657,97641,384
2017-10-27$8.66$8.1325.4%7.3%21.6%31.9%27.4%7.4%1.4%816.0K-26.1M-83.0K0.9863.58N/AN/A13,81613,55258,94441,496
2017-10-30$8.71$8.1327.0%7.7%21.5%36.5%31.3%6.9%-0.3%882.9K-27.6M-84.2K1.4265.60N/AN/A10,00014,18461,11243,152
2017-10-31$8.75$8.1328.0%8.0%21.5%39.3%31.5%6.4%-0.8%913.2K-29.6M-82.2K1.2766.75N/AN/A11,80014,98461,68843,552