QLD Options History — March 2018

In March 2018, QLD traded between $9.22 and $11.29. ATM implied volatility averaged 40.1%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 1.9% (HV 20d: 41.9%). Max pain ranged from $9.75 to $10.63. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2018-03-12: Highest Volume — 46,272 contracts
  • 2018-03-19: Largest IV spike — 32.0% change
  • 2018-03-28: Highest IV Rank — 89.3%
  • 2018-03-28: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.38$9.22$11.29$10.11$9.55
Max Pain$9.99$9.75$10.63$10.63$10.00
ATM IV40.1%28.0%59.0%47.1%49.9%
Expected Move11.3%8.0%16.9%13.5%14.3%
HV 20d41.9%30.1%54.4%54.0%53.5%
HV 60d37.8%34.8%45.1%35.1%45.1%
IV Rank51.4%27.1%89.3%65.6%71.1%
IV Percentile91.5%67.9%99.2%98.0%97.2%
Term Structure1.1%-6.9%6.0%-6.9%-3.4%
VWIV43.1%34.6%58.5%51.0%51.3%
Skew 25d12.2%3.2%24.9%13.7%18.0%
Skew 10d27.0%6.2%48.0%37.9%34.3%
Call IV 25d34.8%26.4%51.9%42.0%45.4%
Put IV 25d47.0%32.4%68.8%55.7%63.4%
Bid-Ask Spread %68.4244.4896.2773.8063.16
Gamma HHI0.090.060.150.060.12
Net GEX-293.2K-630.2K378.2K-395.6K-373.7K
Net DEX-8.5M-39.0M14.1M6.6M7.3M
Net VEX-126.3K-142.3K-114.9K-142.3K-134.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.973.212.121.15
Total Volume34,543.61920,99246,27233,79230,768
Total OI140,287.238104,856169,424134,472141,200

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$10.11$10.6347.1%13.5%54.0%65.6%51.0%13.7%-6.9%-395.6K6.6M-142.3K2.1273.80N/AN/A10,84822,94455,47279,000
2018-03-02$10.29$10.6338.2%11.0%54.4%47.7%43.6%20.3%-3.6%-455.3K5.1M-132.8K2.2492.49N/AN/A12,72028,44056,05682,944
2018-03-05$10.51$9.7531.1%10.7%52.8%33.3%36.4%6.6%2.5%-541.4K-5.5M-128.0K1.5683.90N/AN/A15,64024,35257,57687,664
2018-03-06$10.56$9.7533.0%10.0%46.3%37.3%38.3%3.2%2.4%-337.1K-9.4M-134.8K1.7582.29N/AN/A13,99224,54459,40087,736
2018-03-07$10.64$9.7537.5%10.1%45.2%46.2%36.9%9.6%1.3%-188.8K-9.7M-127.1K1.6177.13N/AN/A14,24822,99259,56889,056
2018-03-08$10.72$9.7532.5%9.9%44.6%36.2%40.1%10.9%0.8%-227.9K-14.6M-130.8K1.4966.25N/AN/A13,14419,60860,61690,624
2018-03-09$11.14$9.7529.6%8.2%32.0%30.5%34.6%9.2%4.1%-201.8K-29.9M-114.9K0.9762.86N/AN/A20,81620,14460,80090,080
2018-03-12$11.29$9.7538.0%9.3%31.7%47.4%39.7%4.0%1.3%-279.1K-39.0M-116.8K1.0057.38N/AN/A23,18423,08865,14491,304
2018-03-13$10.99$10.0047.4%9.4%33.3%66.2%41.7%9.8%4.0%110.4K-27.4M-127.8K1.6157.35N/AN/A16,15226,01669,00892,776
2018-03-14$10.97$10.0033.5%9.6%33.5%38.2%42.4%10.6%3.1%54.8K-25.4M-127.6K1.3853.74N/AN/A16,85623,28870,77697,352
2018-03-15$10.96$10.0031.8%9.1%31.6%34.9%41.9%11.1%3.6%378.2K-23.3M-122.1K1.6452.85N/AN/A13,59222,25669,00899,752
2018-03-16$10.94$10.0028.0%8.0%30.1%27.1%35.4%11.2%5.5%-221.4K-22.0M-122.5K1.7458.17N/AN/A12,96022,56869,384100,040
2018-03-19$10.44$10.0036.9%10.6%35.0%45.1%39.6%13.3%2.8%-314.8K-8.5M-118.3K1.1062.42N/AN/A15,31216,86446,43258,424
2018-03-20$10.49$10.0035.3%10.1%35.0%41.9%39.8%13.1%3.0%-336.5K-10.6M-121.8K1.3544.48N/AN/A9,45612,72048,01661,656
2018-03-21$10.39$10.0035.8%10.3%35.2%42.9%34.9%4.5%-0.3%-388.0K-11.5M-117.3K1.2596.27N/AN/A9,31211,68048,60863,168
2018-03-22$9.90$10.0046.3%13.3%39.3%64.0%45.0%17.3%-1.0%-387.7K-362.2K-124.9K1.1664.96N/AN/A14,51216,85650,24863,360
2018-03-23$9.41$10.0050.1%14.4%40.4%71.6%55.6%24.9%1.7%-452.3K11.4M-121.4K3.2172.76N/AN/A7,80825,09652,87268,312
2018-03-26$10.08$10.0044.3%12.7%47.2%59.8%45.3%19.8%6.0%-630.2K2.3M-129.8K2.0764.13N/AN/A10,08020,83253,28877,472
2018-03-27$9.41$10.0056.1%16.1%52.4%83.5%52.7%16.9%1.2%-521.0K11.3M-126.6K1.0084.61N/AN/A15,52015,45656,28876,416
2018-03-28$9.22$10.0059.0%16.9%52.6%89.3%58.5%8.7%-6.1%-447.8K14.1M-130.8K1.4465.93N/AN/A11,78416,96861,33677,800
2018-03-29$9.55$10.0049.9%14.3%53.5%71.1%51.3%18.0%-3.4%-373.7K7.3M-134.6K1.1563.16N/AN/A14,28816,48063,92877,272