QLD Options History — November 2017

In November 2017, QLD traded between $8.73 and $9.24. ATM implied volatility averaged 24.3%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.4% (HV 20d: 21.9%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2017-11-14: Highest Volume — 35,512 contracts
  • 2017-11-29: Largest IV spike — 25.0% change
  • 2017-11-30: Highest IV Rank — 40.5%
  • 2017-11-30: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.98$8.73$9.24$8.76$9.10
Max Pain$8.29$7.50$8.75$8.25$8.75
ATM IV24.3%19.9%28.4%26.4%28.4%
Expected Move7.0%5.7%8.1%7.6%8.1%
HV 20d21.9%16.4%24.8%21.6%21.1%
HV 60d20.3%18.8%23.1%23.1%20.1%
IV Rank28.7%15.8%40.5%34.8%40.5%
IV Percentile50.8%12.7%87.7%66.7%87.7%
Term Structure0.8%-10.4%4.5%-10.4%-1.2%
VWIV27.5%21.1%31.7%31.2%31.0%
Skew 25d7.1%1.9%9.4%1.9%6.2%
Skew 10d16.6%6.5%35.1%35.1%14.8%
Call IV 25d22.1%17.6%30.6%30.6%26.7%
Put IV 25d29.1%22.2%34.2%32.5%32.9%
Bid-Ask Spread %41.2822.0293.2293.2251.18
Gamma HHI0.110.080.190.090.09
Net GEX1.1M745.5K1.4M875.8K862.9K
Net DEX-32.3M-42.2M-23.5M-29.5M-28.6M
Net VEX-73.8K-83.7K-64.6K-80.7K-77.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.801.980.981.61
Total Volume25,740.57117,83235,51228,28819,248
Total OI107,995.8185,720127,392106,560101,816

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$8.76$8.2526.4%7.6%21.6%34.8%31.2%1.9%-10.4%875.8K-29.5M-80.7K0.9893.22N/AN/A14,28014,00861,69644,864
2017-11-02$8.73$7.5027.2%7.3%20.9%37.0%28.9%8.3%0.9%1.1M-29.1M-83.7K1.2140.82N/AN/A11,00013,29664,47245,824
2017-11-03$8.87$7.5024.5%7.1%21.5%29.3%28.8%7.5%2.9%1.2M-34.5M-77.0K1.3640.60N/AN/A11,81616,07264,70446,280
2017-11-06$8.95$7.5022.1%6.9%21.4%22.3%25.9%7.1%0.7%1.2M-36.6M-73.5K0.8729.74N/AN/A15,68813,68864,76046,384
2017-11-07$8.95$7.8822.6%6.9%21.4%23.7%26.2%6.9%0.9%1.3M-35.3M-76.6K1.0022.02N/AN/A14,30414,35265,84847,352
2017-11-08$9.02$8.0024.8%7.1%21.4%29.9%28.0%7.6%-0.2%1.2M-38.4M-71.6K1.2027.70N/AN/A11,10413,32065,12847,552
2017-11-09$8.93$8.1326.4%7.6%21.8%34.6%29.4%9.3%0.8%1.2M-34.3M-74.2K1.1537.10N/AN/A13,64815,67264,73647,888
2017-11-10$8.93$8.3825.9%7.4%21.9%33.1%29.9%8.9%-0.7%1.2M-34.0M-79.4K1.2326.85N/AN/A12,30415,09666,60850,824
2017-11-13$8.94$8.2524.9%7.1%21.8%30.4%27.4%9.4%1.6%1.4M-36.8M-73.1K0.9739.01N/AN/A17,00016,44067,93652,216
2017-11-14$8.89$8.2526.3%7.5%22.1%34.3%25.5%9.0%1.6%1.3M-33.8M-79.1K0.8446.06N/AN/A19,25616,25671,42455,384
2017-11-15$8.77$8.5027.6%7.9%22.7%38.1%31.7%8.7%1.1%1.2M-29.5M-79.7K1.2840.43N/AN/A12,11215,48870,99256,400
2017-11-16$9.03$8.5026.0%7.5%24.2%33.6%31.0%8.6%1.2%1.1M-42.2M-71.3K1.0654.89N/AN/A15,48816,43270,42456,720
2017-11-17$8.95$8.5022.5%6.4%24.7%23.4%24.3%7.9%2.9%745.5K-37.6M-68.2K1.0449.83N/AN/A16,72817,43269,73657,352
2017-11-20$8.93$8.5023.5%6.7%24.1%26.3%25.3%7.3%1.2%907.9K-23.5M-72.3K0.8039.72N/AN/A13,85611,04852,02433,696
2017-11-21$9.12$8.6321.1%6.0%24.8%19.2%24.8%5.3%3.6%920.4K-27.5M-69.8K1.4024.84N/AN/A7,61610,67252,00036,320
2017-11-22$9.16$8.6320.7%5.9%24.4%18.3%23.9%5.4%4.0%1.1M-29.1M-67.3K1.5134.36N/AN/A7,88811,88853,23236,392
2017-11-24$9.22$8.6319.9%5.7%24.2%15.8%21.1%4.6%2.8%1.1M-31.7M-64.6K1.9850.24N/AN/A6,76813,42454,63237,936
2017-11-27$9.21$8.6320.5%5.9%16.5%17.6%26.0%5.4%4.5%1.1M-30.2M-67.7K1.6241.12N/AN/A6,91211,20854,76039,216
2017-11-28$9.24$8.6322.0%6.3%16.4%21.8%25.7%5.3%1.5%1.1M-32.0M-68.1K1.5934.54N/AN/A6,88010,95256,04039,352
2017-11-29$8.95$8.6327.4%7.9%20.5%37.8%31.3%8.0%-2.8%776.9K-23.7M-74.9K1.4942.59N/AN/A7,99211,92057,40039,592
2017-11-30$9.10$8.7528.4%8.1%21.1%40.5%31.0%6.2%-1.2%862.9K-28.6M-77.9K1.6151.18N/AN/A7,37611,87259,04042,776