QLD Options History — December 2017

In December 2017, QLD traded between $8.80 and $9.51. ATM implied volatility averaged 26.3%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.1% (HV 20d: 21.2%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2017-12-08: Highest Volume — 30,264 contracts
  • 2017-12-29: Largest IV spike — 19.7% change
  • 2017-12-04: Highest IV Rank — 60.5%
  • 2017-12-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.17$8.80$9.51$9.02$9.17
Max Pain$8.00$7.50$8.75$8.75$8.13
ATM IV26.3%22.0%35.3%34.4%26.5%
Expected Move7.2%6.3%9.9%9.9%7.6%
HV 20d21.2%16.9%22.9%21.4%16.9%
HV 60d20.0%19.5%20.6%20.2%19.8%
IV Rank34.4%22.1%60.5%58.0%35.0%
IV Percentile62.3%33.7%98.8%98.0%71.8%
Term Structure1.4%-9.6%4.7%-9.6%-0.1%
VWIV28.1%23.6%35.5%33.4%27.4%
Skew 25d8.3%5.5%15.7%9.8%7.3%
Skew 10d17.7%10.6%34.1%17.6%13.9%
Call IV 25d22.4%19.1%31.2%31.2%22.0%
Put IV 25d30.7%25.5%42.9%40.9%29.3%
Bid-Ask Spread %43.9625.3181.1564.2437.01
Gamma HHI0.210.080.310.080.26
Net GEX979.0K567.3K2.6M724.6K567.3K
Net DEX-28.0M-41.8M-18.7M-24.9M-25.3M
Net VEX-79.8K-89.6K-70.8K-77.7K-77.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.452.081.190.76
Total Volume22,33214,89630,26419,65617,600
Total OI107,17889,864125,744102,344100,032

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$9.02$8.7534.4%9.9%21.4%58.0%33.4%9.8%-9.6%724.6K-24.9M-77.7K1.1964.24N/AN/A8,98410,67259,32843,016
2017-12-04$8.80$7.5035.3%7.9%22.4%60.5%35.5%9.6%4.7%762.8K-21.2M-77.1K1.7453.86N/AN/A9,04815,72861,34443,520
2017-12-05$8.82$7.5030.7%8.1%22.2%47.2%34.7%15.7%-2.9%707.5K-18.7M-89.3K1.5048.12N/AN/A10,85616,24061,95248,992
2017-12-06$8.87$7.5033.3%8.5%22.3%54.7%34.3%9.3%-0.2%828.8K-21.1M-89.6K2.0835.66N/AN/A8,44017,54463,44051,696
2017-12-07$8.96$7.7530.5%7.6%22.4%46.5%29.6%9.0%2.5%994.7K-23.4M-88.0K1.6536.61N/AN/A10,06416,59263,22452,624
2017-12-08$9.01$7.9426.3%7.5%22.2%34.3%28.1%8.0%1.4%1.2M-26.0M-86.8K1.3737.97N/AN/A12,76817,49663,79254,856
2017-12-11$9.16$7.9428.3%7.3%22.9%40.4%24.7%7.3%1.6%1.6M-31.6M-81.8K0.7440.00N/AN/A17,10412,69666,12055,376
2017-12-12$9.13$7.9428.8%7.1%22.9%41.8%30.6%7.5%1.6%1.6M-31.9M-82.4K1.3241.76N/AN/A10,52013,88866,58455,392
2017-12-13$9.16$8.0024.3%7.0%22.8%28.7%31.0%14.2%4.2%1.6M-32.5M-75.8K1.2481.15N/AN/A11,25613,90466,54456,736
2017-12-14$9.16$8.0024.9%7.1%22.1%30.2%24.6%6.6%1.7%2.6M-31.9M-76.8K0.9227.19N/AN/A14,56013,34467,44056,160
2017-12-15$9.34$8.0022.8%6.5%20.7%24.2%26.8%6.6%2.2%628.2K-41.8M-78.8K1.3044.80N/AN/A10,64813,87268,84856,896
2017-12-18$9.51$8.1322.6%6.5%21.1%23.8%23.6%5.5%2.5%705.5K-31.0M-70.8K0.9847.48N/AN/A9,2008,97650,31239,552
2017-12-19$9.41$8.1323.5%6.7%21.5%26.3%24.2%6.1%2.6%783.4K-28.9M-77.6K0.8135.25N/AN/A9,6487,77651,79238,768
2017-12-20$9.39$8.1322.6%6.5%20.5%23.7%26.6%7.8%2.9%725.9K-29.1M-76.5K0.6850.43N/AN/A8,8646,03253,16840,696
2017-12-21$9.39$8.1322.3%6.4%20.5%22.9%24.1%8.5%2.4%708.8K-28.5M-79.4K0.4549.60N/AN/A12,8245,78453,60041,224
2017-12-22$9.35$8.1322.4%6.4%20.4%23.2%26.8%6.9%-0.1%716.8K-29.2M-80.1K0.5446.06N/AN/A12,9047,02455,54441,296
2017-12-26$9.26$8.1322.0%6.3%20.8%22.1%24.8%6.8%3.5%732.3K-27.8M-75.5K0.8134.22N/AN/A9,4887,69655,23241,368
2017-12-27$9.27$8.1322.1%6.3%20.8%22.2%26.4%7.4%3.9%641.7K-26.5M-77.6K0.9942.57N/AN/A9,3049,20055,40042,112
2017-12-28$9.28$8.1322.1%6.3%17.0%22.3%24.2%7.2%3.7%713.6K-27.8M-76.2K0.9725.31N/AN/A9,1688,92855,47244,112
2017-12-29$9.17$8.1326.5%7.6%16.9%35.0%27.4%7.3%-0.1%567.3K-25.3M-77.7K0.7637.01N/AN/A10,0247,57655,44044,592