QLD Options History — May 2018

In May 2018, QLD traded between $9.65 and $10.64. ATM implied volatility averaged 31.4%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 2.6% (HV 20d: 34.0%). Max pain ranged from $9.25 to $10.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.82.

Notable Days

  • 2018-05-09: Highest Volume — 34,776 contracts
  • 2018-05-29: Largest IV spike — 21.2% change
  • 2018-05-03: Highest IV Rank — 44.4%
  • 2018-05-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.33$9.65$10.64$9.69$10.63
Max Pain$9.78$9.25$10.00$9.88$10.00
ATM IV31.4%26.6%39.2%36.5%28.3%
Expected Move8.8%7.6%11.1%10.5%8.1%
HV 20d34.0%21.8%45.1%45.1%22.3%
HV 60d46.1%43.9%51.4%51.4%43.9%
IV Rank27.1%16.5%44.4%38.3%20.3%
IV Percentile65.6%38.9%88.1%83.3%50.8%
Term Structure0.5%-5.4%6.9%-1.8%1.0%
VWIV34.0%29.2%49.0%40.0%31.9%
Skew 25d10.9%7.8%34.9%15.5%9.3%
Skew 10d20.6%15.3%46.4%28.5%18.3%
Call IV 25d27.2%23.6%34.7%34.2%24.1%
Put IV 25d38.0%31.9%68.7%49.6%33.4%
Bid-Ask Spread %26.448.5587.1654.4711.70
Gamma HHI0.120.080.220.090.11
Net GEX671.5K-84.5K1.8M44.7K853.0K
Net DEX-18.4M-35.2M2.7M131.6K-22.7M
Net VEX-96.9K-112.3K-84.9K-111.4K-84.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.892.492.081.80
Total Volume27,186.54517,60834,77633,10421,552
Total OI124,086.54585,288154,888122,432104,528

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$9.69$9.8836.5%10.5%45.1%38.3%40.0%15.5%-1.8%44.7K131.6K-111.4K2.0854.47N/AN/A10,74422,36064,25658,176
2018-05-02$9.69$9.8838.6%11.1%43.1%43.1%49.0%34.9%-4.1%61.7K-2.6M-110.0K2.2587.16N/AN/A9,80822,03266,35260,568
2018-05-03$9.65$9.2539.2%9.0%43.1%44.4%36.2%7.8%6.9%-84.5K2.7M-111.9K2.4241.55N/AN/A9,52023,00868,16862,240
2018-05-04$10.03$9.3836.2%9.0%40.6%37.7%38.1%14.1%6.0%248.5K-8.7M-112.3K2.0930.45N/AN/A9,79220,42469,59263,400
2018-05-07$10.17$9.3835.4%9.6%40.3%35.9%39.5%11.5%0.4%470.2K-15.0M-106.7K2.4945.47N/AN/A8,65621,51270,24064,048
2018-05-08$10.14$9.3834.3%9.4%38.8%33.6%36.5%10.8%0.2%380.0K-14.0M-102.4K2.3224.70N/AN/A8,79220,44070,53664,592
2018-05-09$10.35$9.3831.1%8.9%39.1%26.4%31.7%10.2%0.7%672.1K-21.2M-99.4K1.4025.35N/AN/A14,52020,25670,48865,576
2018-05-10$10.57$9.6328.5%8.2%38.9%20.8%33.9%9.4%2.0%1.6M-33.8M-100.0K1.5018.05N/AN/A10,95216,46476,39265,984
2018-05-11$10.55$9.6329.1%8.3%38.3%22.0%32.1%8.0%0.9%1.6M-32.6M-98.5K1.6522.20N/AN/A10,00016,46476,53666,240
2018-05-14$10.61$9.7528.5%8.2%38.0%20.7%32.3%8.4%-1.1%1.8M-35.2M-95.5K2.1212.78N/AN/A9,56020,27277,80069,016
2018-05-15$10.32$9.8831.2%8.9%36.7%26.7%34.2%9.5%1.0%856.5K-21.8M-94.5K1.5016.12N/AN/A11,52817,28877,98468,800
2018-05-16$10.50$9.8829.5%8.5%37.2%22.9%31.7%9.2%0.5%1.3M-28.5M-92.6K1.3710.26N/AN/A13,09618,00078,44071,888
2018-05-17$10.44$9.8830.2%8.7%36.7%24.5%31.5%9.5%0.6%847.2K-25.2M-91.9K1.6525.08N/AN/A11,12818,31280,00073,288
2018-05-18$10.34$10.0029.5%8.5%34.0%22.9%31.4%9.5%1.2%51.0K-19.5M-90.1K2.1743.08N/AN/A9,56820,75279,81675,072
2018-05-21$10.38$10.0030.1%8.6%33.8%24.1%31.1%8.9%-0.4%191.0K-12.1M-87.7K0.8923.91N/AN/A11,82410,52040,49644,792
2018-05-22$10.42$10.0030.1%8.6%27.0%24.3%32.0%8.5%-0.1%452.7K-15.1M-92.3K1.5010.80N/AN/A8,00812,04046,74445,656
2018-05-23$10.53$10.0028.4%8.1%27.0%20.5%31.0%8.4%1.0%624.3K-18.2M-92.0K1.3910.26N/AN/A9,00812,52048,06445,176
2018-05-24$10.56$10.0027.8%8.0%21.8%19.1%29.2%8.3%0.8%763.8K-20.7M-92.0K1.3311.43N/AN/A7,54410,06450,75246,608
2018-05-25$10.57$10.0026.6%7.6%21.8%16.5%30.0%8.3%1.3%768.9K-21.0M-89.9K2.0610.44N/AN/A7,14414,69650,94447,384
2018-05-29$10.47$10.0032.2%9.2%21.9%29.0%34.0%10.5%-5.4%578.7K-17.0M-88.8K2.3237.94N/AN/A7,49617,38451,28048,536
2018-05-30$10.64$10.0029.1%8.3%22.3%22.0%31.6%8.8%-0.3%833.5K-22.4M-87.8K1.748.55N/AN/A8,42414,63252,84050,616
2018-05-31$10.63$10.0028.3%8.1%22.3%20.3%31.9%9.3%1.0%853.0K-22.7M-84.9K1.8011.70N/AN/A7,68813,86453,53650,992