QLD Options History — June 2018

In June 2018, QLD traded between $10.72 and $11.58. ATM implied volatility averaged 30.9%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 10.0% (HV 20d: 20.8%). Max pain ranged from $9.50 to $10.63. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2018-06-11: Highest Volume — 37,928 contracts
  • 2018-06-25: Largest IV spike — 25.9% change
  • 2018-06-27: Highest IV Rank — 44.1%
  • 2018-06-27: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.20$10.72$11.58$10.94$10.87
Max Pain$10.10$9.50$10.63$10.00$10.63
ATM IV30.9%25.9%39.1%25.9%35.6%
Expected Move8.6%7.1%11.2%7.4%10.2%
HV 20d20.8%15.6%27.8%23.6%25.9%
HV 60d39.4%31.9%44.4%44.2%31.9%
IV Rank25.9%14.9%44.1%14.9%36.5%
IV Percentile60.0%32.1%88.5%32.1%78.2%
Term Structure0.7%-4.2%2.2%-1.0%0.4%
VWIV32.5%28.5%41.3%30.1%33.5%
Skew 25d10.7%7.9%16.6%7.9%13.0%
Skew 10d22.3%14.2%44.0%18.6%24.1%
Call IV 25d25.7%21.4%33.5%22.3%29.8%
Put IV 25d36.4%30.2%50.1%30.2%42.8%
Bid-Ask Spread %26.3813.0445.1636.0026.06
Gamma HHI0.130.070.230.160.07
Net GEX954.7K-10.0K1.8M1.2M125.1K
Net DEX-31.3M-58.1M-4.1M-31.9M-11.3M
Net VEX-90.7K-116.3K-71.2K-78.3K-113.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.822.112.111.40
Total Volume29,986.28618,37637,92825,36829,576
Total OI114,506.28688,760141,704105,064121,824

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$10.94$10.0025.9%7.4%23.6%14.9%30.1%7.9%-1.0%1.2M-31.9M-78.3K2.1136.00N/AN/A8,16017,20853,68851,376
2018-06-04$11.15$9.6326.3%7.1%21.0%15.8%31.9%10.4%1.8%1.2M-38.3M-74.4K1.6632.94N/AN/A12,08820,03254,47256,104
2018-06-05$11.21$9.5026.9%7.4%20.8%17.2%30.4%9.2%0.8%1.3M-41.6M-71.6K1.5728.89N/AN/A12,75220,04056,73655,936
2018-06-06$11.30$9.6327.6%7.6%20.7%18.8%29.4%9.7%1.6%1.3M-44.5M-71.2K1.6324.68N/AN/A12,80020,87258,76857,824
2018-06-07$11.19$9.6328.5%7.4%20.5%20.8%29.7%8.9%2.2%1.6M-42.3M-81.9K1.1632.56N/AN/A17,47220,20063,80057,744
2018-06-08$11.18$9.6328.6%8.0%19.6%21.0%28.5%9.8%0.8%1.6M-41.4M-85.1K1.1235.94N/AN/A15,89617,79265,27261,024
2018-06-11$11.25$9.6333.7%8.0%19.6%32.1%30.2%9.6%1.4%1.8M-44.7M-79.3K1.0418.04N/AN/A18,62419,30466,11261,352
2018-06-12$11.30$9.7531.0%7.9%19.6%26.3%31.7%9.5%1.5%1.8M-49.0M-78.1K1.6615.47N/AN/A10,64017,64069,07262,192
2018-06-13$11.39$9.8828.8%8.2%16.0%21.3%32.4%9.1%2.2%1.7M-50.9M-80.5K1.9431.15N/AN/A12,45624,20069,24063,224
2018-06-14$11.58$10.1327.0%7.7%16.0%17.4%32.0%8.6%1.7%1.5M-58.1M-87.0K1.9315.64N/AN/A11,06421,33671,58470,120
2018-06-15$11.48$10.1327.2%7.8%16.2%17.9%31.4%8.5%1.5%1.5M-52.0M-85.3K1.7931.41N/AN/A12,25621,97669,75270,352
2018-06-18$11.46$10.2528.1%8.1%15.6%19.9%32.0%9.5%1.9%654.5K-24.2M-93.1K1.7416.43N/AN/A7,42412,92842,77645,984
2018-06-19$11.36$10.2529.5%8.5%16.3%22.9%32.2%10.4%-4.2%690.0K-23.8M-93.0K1.1145.16N/AN/A12,60014,01644,89646,432
2018-06-20$11.58$10.2528.3%8.1%17.1%20.2%32.2%9.7%1.7%719.4K-29.1M-90.0K0.9122.23N/AN/A10,8249,81645,55248,848
2018-06-21$11.32$10.3832.3%9.3%19.6%29.0%36.3%11.8%0.9%526.6K-22.5M-103.8K1.0213.04N/AN/A9,1129,26447,04051,488
2018-06-22$11.34$10.3830.8%8.8%19.6%25.7%31.9%11.0%0.7%658.8K-23.4M-101.2K1.7817.08N/AN/A7,86414,00847,89651,488
2018-06-25$10.80$10.6338.7%11.1%27.2%43.3%36.9%14.5%-1.5%83.8K-5.6M-105.5K0.8826.99N/AN/A19,18416,80848,75257,288
2018-06-26$10.93$10.6335.8%10.3%27.1%37.0%33.5%13.5%0.7%57.0K-10.0M-108.5K0.8220.93N/AN/A16,20013,21648,98459,840
2018-06-27$10.72$10.6339.1%11.2%27.7%44.1%41.3%16.6%-1.7%-10.0K-4.1M-107.5K0.8841.57N/AN/A18,11215,87249,90460,232
2018-06-28$10.80$10.6338.0%10.9%27.8%41.8%34.3%13.1%0.2%112.0K-9.0M-116.3K1.5721.69N/AN/A10,93617,14455,86463,800
2018-06-29$10.87$10.6335.6%10.2%25.9%36.5%33.5%13.0%0.4%125.1K-11.3M-113.2K1.4026.06N/AN/A12,32817,24856,49665,328