QLD Options History — April 2018

In April 2018, QLD traded between $8.96 and $10.26. ATM implied volatility averaged 44.0%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 14.2% (HV 20d: 58.2%). Max pain ranged from $9.75 to $10.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2018-04-16: Highest Volume — 46,952 contracts
  • 2018-04-24: Largest IV spike — 16.5% change
  • 2018-04-02: Highest IV Rank — 90.7%
  • 2018-04-02: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.59$8.96$10.26$8.96$9.63
Max Pain$9.86$9.75$10.00$9.88$9.88
ATM IV44.0%33.5%59.7%59.7%38.4%
Expected Move12.3%9.6%17.1%17.1%11.0%
HV 20d58.2%45.6%62.4%56.9%45.6%
HV 60d49.6%46.7%52.1%46.7%52.1%
IV Rank56.9%34.6%90.7%90.7%45.0%
IV Percentile91.0%79.8%99.2%99.2%87.7%
Term Structure-1.6%-7.3%1.8%-6.5%0.1%
VWIV44.3%38.2%60.8%60.8%40.8%
Skew 25d13.6%10.6%19.1%18.2%14.4%
Skew 10d26.1%20.9%35.0%35.0%30.8%
Call IV 25d37.9%30.4%53.5%53.5%31.6%
Put IV 25d51.5%41.3%71.7%71.7%45.9%
Bid-Ask Spread %37.0018.9974.1161.0450.75
Gamma HHI0.120.080.210.160.09
Net GEX-151.4K-445.1K320.6K-386.4K-120.4K
Net DEX1.7M-24.3M19.5M19.5M2.0M
Net VEX-113.9K-138.7K-98.0K-119.7K-106.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.531.142.771.602.08
Total Volume33,033.52428,80846,95230,20834,592
Total OI151,590.47691,368185,416149,200117,168

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$8.96$9.8859.7%17.1%56.9%90.7%60.8%18.2%-6.5%-386.4K19.5M-119.7K1.6061.04N/AN/A11,63218,57669,31279,888
2018-04-03$9.16$9.8851.7%14.8%57.0%74.6%56.5%16.1%-1.9%-445.1K18.1M-121.8K1.1460.34N/AN/A16,51218,77671,01682,112
2018-04-04$9.52$9.7552.0%14.9%59.0%73.8%58.1%15.2%-7.3%-278.8K8.0M-136.0K1.1674.11N/AN/A15,53617,96877,71283,152
2018-04-05$9.59$9.7547.4%12.7%59.1%64.0%44.2%17.2%-2.1%-167.0K3.2M-138.7K1.3334.49N/AN/A13,02417,31280,89683,568
2018-04-06$9.11$9.7551.8%14.0%61.0%73.4%47.5%13.2%-3.7%-271.8K16.0M-125.1K1.4241.37N/AN/A12,48817,72881,66483,968
2018-04-09$9.30$9.7557.4%13.9%59.5%85.4%46.8%13.7%-3.2%-354.3K11.8M-123.3K1.1824.00N/AN/A16,11219,08082,18486,504
2018-04-10$9.62$9.7550.3%13.1%60.9%70.2%45.9%18.6%-3.3%-306.8K2.4M-124.0K1.3538.45N/AN/A12,93617,50480,48087,024
2018-04-11$9.54$9.7545.3%13.0%60.5%59.7%44.3%13.9%-0.1%-307.0K2.8M-118.6K1.3044.77N/AN/A13,28817,24082,55287,072
2018-04-12$9.78$9.7541.5%11.9%61.5%51.6%43.8%19.1%-0.6%-90.6K-5.2M-117.3K1.1721.84N/AN/A14,76017,28884,26487,080
2018-04-13$9.63$9.7541.0%11.8%61.6%50.5%40.2%12.2%-0.7%-231.4K2.4M-112.9K1.3231.17N/AN/A14,01618,46484,77687,752
2018-04-16$9.80$9.7538.4%11.0%62.1%45.0%38.6%10.9%-0.0%-11.9K-5.7M-101.1K2.7732.85N/AN/A12,44834,50484,96886,704
2018-04-17$10.22$10.0033.5%9.6%62.3%34.6%38.7%11.0%1.8%206.8K-22.7M-108.7K1.3921.25N/AN/A14,97620,84885,20894,896
2018-04-18$10.26$10.0034.8%10.0%62.3%37.4%38.2%10.6%-0.1%311.0K-24.3M-108.7K1.3324.05N/AN/A12,34416,46486,93697,184
2018-04-19$10.09$10.0035.6%10.2%62.4%39.0%38.4%11.1%0.9%320.6K-16.5M-107.3K1.3350.59N/AN/A14,86419,83287,75297,664
2018-04-20$9.72$10.0039.4%11.3%61.5%47.0%39.7%11.7%-1.3%-9.7K348.5K-102.9K1.7929.28N/AN/A14,17625,41688,45695,688
2018-04-23$9.66$10.0039.9%11.4%58.6%48.2%39.2%12.5%-0.4%-297.7K3.5M-100.9K1.3218.99N/AN/A13,22417,43243,06448,304
2018-04-24$9.18$10.0046.5%13.3%55.6%62.1%44.2%11.8%-4.1%-253.8K10.0M-98.0K1.6738.76N/AN/A10,99218,36850,11250,152
2018-04-25$9.25$10.0044.9%12.9%50.3%58.6%44.1%12.6%-2.5%-281.0K9.8M-101.9K1.5429.67N/AN/A11,69617,96052,17653,336
2018-04-26$9.71$9.8837.5%10.8%52.7%43.1%40.4%11.1%1.8%-163.0K937.5K-108.5K1.6127.66N/AN/A11,90419,16854,43253,864
2018-04-27$9.70$9.8836.7%10.5%51.3%41.3%39.5%11.3%-0.3%-42.1K-135.4K-111.1K2.2621.49N/AN/A9,89622,36058,12854,232
2018-04-30$9.63$9.8838.4%11.0%45.6%45.0%40.8%14.4%0.1%-120.4K2.0M-106.1K2.0850.75N/AN/A11,23223,36059,70457,464