QLD Options History — July 2018

In July 2018, QLD traded between $10.71 and $12.19. ATM implied volatility averaged 31.4%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.3% (HV 20d: 28.1%). Max pain ranged from $10.50 to $11.25. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2018-07-20: Highest Volume — 32,280 contracts
  • 2018-07-26: Largest IV spike — 12.3% change
  • 2018-07-03: Highest IV Rank — 41.9%
  • 2018-07-03: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.57$10.71$12.19$10.90$11.37
Max Pain$10.81$10.50$11.25$10.63$11.13
ATM IV31.4%27.2%38.1%36.5%35.4%
Expected Move9.1%7.8%10.9%10.5%10.1%
HV 20d28.1%22.0%31.1%24.9%29.2%
HV 60d27.3%23.5%30.0%29.9%25.2%
IV Rank27.2%17.8%41.9%38.5%35.9%
IV Percentile63.9%36.9%84.9%82.1%76.2%
Term Structure0.9%-2.2%2.6%1.9%-1.4%
VWIV34.5%31.2%37.9%37.5%36.6%
Skew 25d11.3%9.7%15.2%13.0%11.2%
Skew 10d22.5%18.9%28.9%28.9%21.7%
Call IV 25d27.1%23.6%32.5%30.6%30.5%
Put IV 25d38.5%33.3%46.1%43.7%41.7%
Bid-Ask Spread %14.817.7955.4628.909.13
Gamma HHI0.120.060.450.080.06
Net GEX617.8K-1.7M1.3M349.2K1.3M
Net DEX-37.5M-67.5M-9.4M-13.4M-20.1M
Net VEX-100.9K-114.0K-86.8K-111.0K-114.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.761.521.161.11
Total Volume26,74418,22432,28027,15221,936
Total OI127,934.85775,968160,304125,304107,592

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$10.90$10.6336.5%10.5%24.9%38.5%37.5%13.0%1.9%349.2K-13.4M-111.0K1.1628.90N/AN/A12,54414,60860,10465,200
2018-07-03$10.71$10.6338.1%10.9%25.4%41.9%37.3%11.9%-0.9%414.4K-9.4M-113.5K1.5255.46N/AN/A9,47214,44064,40866,720
2018-07-05$10.97$10.6335.3%10.4%26.8%35.8%37.9%15.2%-0.3%550.0K-17.3M-110.8K1.5025.77N/AN/A10,76816,18464,48866,824
2018-07-06$11.30$10.6331.0%9.6%28.8%26.2%37.2%13.7%0.4%629.2K-31.0M-105.7K1.3724.51N/AN/A12,58417,23265,80868,568
2018-07-09$11.50$10.6329.1%9.0%29.4%22.1%37.5%13.0%1.9%441.6K-37.7M-101.6K1.3614.61N/AN/A10,84814,74467,86472,912
2018-07-10$11.53$10.5028.9%9.1%29.3%21.5%35.7%12.1%1.1%509.8K-41.9M-97.7K1.2311.37N/AN/A13,37616,39269,13673,056
2018-07-11$11.44$10.5031.1%8.9%29.4%26.4%34.8%12.1%1.7%588.3K-38.4M-104.1K1.1511.52N/AN/A14,08816,17672,00873,640
2018-07-12$11.78$10.6329.9%8.6%31.1%23.8%33.4%11.3%1.3%592.4K-54.7M-101.7K1.0110.74N/AN/A14,78414,97675,05675,912
2018-07-13$11.83$10.6329.0%8.3%30.6%21.8%34.3%11.1%1.8%576.3K-61.4M-100.6K1.199.53N/AN/A12,71215,16077,85677,368
2018-07-16$11.78$10.6330.3%8.7%30.5%24.6%34.1%10.7%2.0%575.4K-58.0M-99.0K1.2410.49N/AN/A11,05613,68078,47278,736
2018-07-17$11.96$10.8828.5%8.2%30.9%20.6%33.4%10.2%2.6%451.4K-67.5M-89.4K1.429.37N/AN/A12,84018,21678,84879,320
2018-07-18$11.87$10.8829.2%8.4%30.8%22.3%32.6%10.0%1.7%894.1K-66.3M-91.0K1.228.00N/AN/A12,36815,11280,45676,664
2018-07-19$11.77$10.8830.3%8.7%30.4%24.6%32.9%9.7%1.8%798.2K-60.9M-86.8K1.2210.41N/AN/A13,48816,46481,39276,832
2018-07-20$11.74$10.8829.6%8.5%29.1%23.2%31.3%10.2%2.0%-1.7M-57.5M-87.7K1.219.20N/AN/A14,62417,65681,72078,584
2018-07-23$11.79$10.8829.6%8.5%29.1%23.1%31.2%10.3%2.1%907.5K-25.2M-91.6K1.117.79N/AN/A8,6329,59242,44033,528
2018-07-24$11.88$10.8829.7%8.5%22.0%23.3%31.2%10.0%1.0%966.1K-27.7M-94.5K1.338.61N/AN/A9,74412,92045,47236,208
2018-07-25$12.19$11.0027.2%7.8%23.1%17.8%31.3%9.8%1.5%1.0M-35.1M-94.0K1.3914.14N/AN/A7,69610,72848,60837,320
2018-07-26$11.88$11.1330.5%8.7%24.1%25.2%31.9%9.7%0.6%1.1M-29.4M-102.9K0.819.98N/AN/A15,18412,34451,66438,488
2018-07-27$11.56$11.2533.9%9.7%26.6%32.6%34.0%10.6%-1.1%1.1M-21.5M-110.8K0.7610.54N/AN/A16,39212,45655,48041,144
2018-07-30$11.23$11.2537.5%10.7%29.0%40.6%37.7%12.0%-2.2%866.3K-12.2M-110.8K0.8710.89N/AN/A14,63212,77656,59244,144
2018-07-31$11.37$11.1335.4%10.1%29.2%35.9%36.6%11.2%-1.4%1.3M-20.1M-114.0K1.119.13N/AN/A10,38411,55262,63244,960