QLD Options History — January 2018

In January 2018, QLD traded between $9.48 and $10.98. ATM implied volatility averaged 28.2%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 8.9% (HV 20d: 19.4%). Max pain ranged from $8.13 to $10.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2018-01-29: Highest Volume — 40,600 contracts
  • 2018-01-10: Largest IV spike — 21.6% change
  • 2018-01-30: Highest IV Rank — 69.4%
  • 2018-01-30: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.31$9.48$10.98$9.48$10.77
Max Pain$9.24$8.13$10.00$8.13$10.00
ATM IV28.2%21.4%38.3%24.6%36.2%
Expected Move8.2%6.7%11.0%7.1%10.4%
HV 20d19.4%18.2%21.4%20.1%19.2%
HV 60d20.8%19.1%21.7%20.5%20.2%
IV Rank40.0%20.3%69.4%29.6%63.1%
IV Percentile74.3%28.6%98.8%57.9%98.4%
Term Structure-0.6%-13.9%3.3%1.0%-13.9%
VWIV32.9%23.8%41.4%25.4%41.4%
Skew 25d6.7%2.2%16.7%8.6%16.7%
Skew 10d11.7%-12.2%17.9%15.5%-12.2%
Call IV 25d26.5%20.2%35.5%21.3%31.0%
Put IV 25d33.2%25.6%47.8%29.9%47.8%
Bid-Ask Spread %49.2731.99107.7640.15107.76
Gamma HHI0.170.070.270.270.09
Net GEX505.1K-125.8K1.2M807.3K-72.3K
Net DEX-35.6M-49.4M-18.1M-33.1M-21.3M
Net VEX-66.7K-94.0K-50.2K-68.5K-93.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.642.560.641.74
Total Volume28,397.71419,04040,60020,51234,640
Total OI99,682.66766,280117,256100,896103,088

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$9.48$8.1324.6%7.1%20.1%29.6%25.4%8.6%1.0%807.3K-33.1M-68.5K0.6440.15N/AN/A12,5287,98455,59245,304
2018-01-03$9.67$8.1323.2%6.7%18.4%25.5%23.8%5.5%3.1%818.2K-36.9M-61.9K1.0886.43N/AN/A9,1529,88854,19245,944
2018-01-04$9.71$8.5021.8%6.9%18.4%21.3%32.0%7.9%1.1%821.4K-36.6M-62.3K0.7832.83N/AN/A14,04011,00854,42447,280
2018-01-05$9.89$8.5023.1%6.7%19.1%25.3%31.4%7.0%3.3%1.2M-42.4M-62.6K1.1345.73N/AN/A10,78412,14458,26448,456
2018-01-08$9.97$8.7521.4%7.0%19.0%20.3%30.0%6.5%2.0%1.1M-45.4M-54.8K1.3239.83N/AN/A9,52812,60058,32848,944
2018-01-09$9.98$8.7522.0%7.1%19.1%21.8%32.2%6.5%1.1%1.1M-45.3M-54.6K0.9737.57N/AN/A11,35211,00858,36849,512
2018-01-10$9.92$8.7526.7%7.7%19.0%35.6%32.5%7.1%1.5%1.1M-42.8M-60.0K1.0131.99N/AN/A11,52011,65658,07250,184
2018-01-11$10.05$8.7526.2%7.5%19.1%34.2%32.2%5.9%1.0%900.1K-46.0M-54.8K0.9232.33N/AN/A12,90411,82458,17652,152
2018-01-12$10.20$8.7525.8%7.4%19.3%33.1%31.7%6.8%-1.6%578.7K-49.4M-50.2K0.9941.23N/AN/A12,99212,90458,87252,456
2018-01-16$10.16$8.8829.5%8.5%19.5%43.9%33.4%5.8%-0.4%562.3K-47.0M-58.0K1.2136.02N/AN/A14,30417,35259,08055,056
2018-01-17$10.36$9.3828.7%8.2%19.5%41.4%31.7%6.2%-0.1%208.4K-46.3M-60.8K0.6835.89N/AN/A22,20815,05657,18458,016
2018-01-18$10.37$9.5027.8%8.0%19.0%38.9%33.8%5.7%1.3%271.7K-44.9M-58.3K1.1153.18N/AN/A15,24816,99257,38458,648
2018-01-19$10.42$9.7528.9%8.3%18.2%42.0%31.4%7.1%1.7%209.7K-42.9M-63.3K1.0742.03N/AN/A14,32815,37656,32860,928
2018-01-22$10.66$9.7528.1%8.0%18.9%39.5%29.0%5.9%-1.3%282.1K-24.3M-58.8K1.0834.61N/AN/A12,10413,05634,29631,984
2018-01-23$10.84$9.7530.3%8.7%19.1%46.1%33.8%4.7%-0.1%315.0K-26.7M-65.6K1.2457.77N/AN/A12,61615,67237,01633,736
2018-01-24$10.71$10.0028.9%8.3%20.0%42.1%33.8%2.2%0.4%308.7K-25.6M-70.6K1.5759.14N/AN/A11,79218,50439,12834,912
2018-01-25$10.69$10.0032.5%9.3%19.2%52.5%35.3%3.0%1.1%136.2K-23.4M-80.2K1.5837.02N/AN/A10,69616,86441,32841,776
2018-01-26$10.98$10.0032.1%9.2%20.3%51.4%36.8%10.1%-5.1%209.2K-28.3M-78.1K2.5654.51N/AN/A10,01625,64042,16843,224
2018-01-29$10.92$10.0035.9%10.3%20.7%62.2%38.4%4.4%-2.0%-125.8K-20.8M-89.8K2.0160.34N/AN/A13,48027,12042,35251,704
2018-01-30$10.74$10.0038.3%11.0%21.4%69.4%41.3%7.4%-6.0%-103.1K-18.1M-94.0K1.7768.24N/AN/A13,54423,92845,90453,576
2018-01-31$10.77$10.0036.2%10.4%19.2%63.1%41.4%16.7%-13.9%-72.3K-21.3M-93.3K1.74107.76N/AN/A12,64821,99247,08056,008