QLD Options History — February 2018

In February 2018, QLD traded between $8.93 and $10.81. ATM implied volatility averaged 40.2%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 5.3% (HV 20d: 45.6%). Max pain ranged from $10.63 to $11.25. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.22.

Notable Days

  • 2018-02-23: Highest Volume — 46,480 contracts
  • 2018-02-05: Largest IV spike — 77.6% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.02$8.93$10.81$10.63$10.46
Max Pain$11.03$10.63$11.25$11.25$10.63
ATM IV40.2%30.2%64.3%34.8%36.6%
Expected Move10.9%8.6%16.4%9.9%10.5%
HV 20d45.6%19.7%52.9%19.7%52.8%
HV 60d31.2%20.3%34.7%20.3%34.3%
IV Rank53.7%31.5%100.0%59.3%44.4%
IV Percentile95.0%84.5%100.0%96.8%95.6%
Term Structure0.2%-10.4%6.4%0.1%-2.8%
VWIV38.0%28.7%51.0%32.9%36.1%
Skew 25d11.6%0.6%19.0%8.8%8.9%
Skew 10d24.1%-8.9%37.4%24.4%-8.9%
Call IV 25d34.6%27.7%49.7%31.0%32.9%
Put IV 25d46.2%36.4%62.2%39.9%41.8%
Bid-Ask Spread %67.0343.39100.4956.0289.73
Gamma HHI0.070.050.100.080.08
Net GEX-237.2K-409.2K86.7K-73.8K-409.2K
Net DEX-1.7M-16.5M21.8M-16.5M-6.2M
Net VEX-101.3K-139.2K-85.5K-96.4K-139.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.643.041.471.69
Total Volume30,924.21124,19246,48030,62434,904
Total OI117,370.10592,768136,128103,824132,296

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$10.63$11.2534.8%9.9%19.7%59.3%32.9%8.8%0.1%-73.8K-16.5M-96.4K1.4756.02N/AN/A12,39218,23247,70456,120
2018-02-02$10.19$11.2536.2%9.6%25.8%63.2%29.3%7.3%-0.0%-206.3K-6.8M-97.7K1.1652.40N/AN/A13,65615,80048,13656,648
2018-02-05$9.54$11.2564.3%13.4%34.7%100.0%41.7%0.6%-4.3%-259.6K4.6M-93.7K0.64100.49N/AN/A14,9609,54448,68057,800
2018-02-06$9.86$11.2560.6%11.9%36.7%92.5%38.5%15.8%0.7%-339.6K6.2M-87.7K1.0794.29N/AN/A15,06416,16049,40059,360
2018-02-07$9.70$11.2536.3%10.4%37.1%43.8%36.9%10.5%4.7%-333.4K3.7M-97.4K0.8169.54N/AN/A13,38410,80850,66460,968
2018-02-08$8.93$11.2557.3%16.4%47.0%86.0%51.0%14.4%-10.4%-304.6K15.4M-86.2K0.8979.57N/AN/A14,57613,00051,01662,128
2018-02-09$9.15$11.2552.1%14.9%47.7%75.6%47.4%19.0%-2.1%-353.2K21.8M-85.5K0.8479.58N/AN/A16,48813,89654,13664,792
2018-02-12$9.44$11.2538.5%11.0%49.0%48.3%42.3%13.5%5.5%-389.1K12.0M-95.6K0.6571.71N/AN/A19,72812,76058,05666,872
2018-02-13$9.55$11.2540.1%11.5%49.3%51.4%40.0%15.3%-4.1%-252.4K10.5M-87.0K0.7054.26N/AN/A17,90412,60061,07267,024
2018-02-14$9.91$11.2533.7%9.7%50.7%38.6%36.6%15.8%6.4%-200.8K1.9M-88.0K0.8474.30N/AN/A16,05613,44862,09668,456
2018-02-15$10.22$11.2535.9%10.3%52.1%42.9%37.9%13.0%1.3%86.7K-13.6M-88.5K0.7848.87N/AN/A16,78413,08865,39269,920
2018-02-16$10.20$11.2533.3%9.6%52.0%37.9%38.3%10.6%1.1%-232.0K-13.6M-94.4K0.9552.52N/AN/A15,39214,57665,72070,408
2018-02-20$10.22$10.8834.7%10.0%51.3%40.7%39.5%10.7%2.1%-184.6K-5.8M-92.0K0.9354.71N/AN/A15,51214,40041,81650,952
2018-02-21$10.18$10.6340.9%11.7%50.9%53.0%39.5%17.0%-2.7%-143.8K-8.5M-103.6K1.3562.23N/AN/A11,19215,05647,03256,440
2018-02-22$10.16$10.6336.0%10.3%50.7%43.2%40.5%10.7%-0.2%-85.3K-4.0M-110.5K2.0043.39N/AN/A10,41620,85649,42459,376
2018-02-23$10.54$10.6330.2%8.6%52.6%31.5%29.6%9.6%2.7%-120.0K-10.6M-115.7K3.0460.84N/AN/A11,50434,97649,72065,328
2018-02-26$10.81$10.6330.5%8.7%52.5%32.2%28.7%8.2%2.4%-406.1K-14.1M-131.7K1.5949.35N/AN/A12,68820,20051,36075,232
2018-02-27$10.60$10.6332.6%9.4%52.9%36.5%35.1%11.0%3.4%-300.5K-9.5M-133.1K1.8379.78N/AN/A12,56822,99253,17675,312
2018-02-28$10.46$10.6336.6%10.5%52.8%44.4%36.1%8.9%-2.8%-409.2K-6.2M-139.2K1.6989.73N/AN/A12,97621,92854,00878,288