QLD Options History — August 2018

In August 2018, QLD traded between $11.48 and $12.72. ATM implied volatility averaged 26.8%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.4% (HV 20d: 24.4%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.34.

Notable Days

2018-08-16: Highest Volume — 33,104 contracts
2018-08-10: Largest IV spike — 23.9% change
2018-08-01: Highest IV Rank — 29.1%
2018-08-01: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.05	$11.48	$12.72	$11.48	$12.67
Max Pain	$11.50	$11.00	$12.00	$11.13	$12.00
ATM IV	26.8%	22.1%	32.3%	32.3%	26.9%
Expected Move	7.8%	7.1%	9.3%	9.3%	7.7%
HV 20d	24.4%	18.4%	28.6%	28.4%	18.4%
HV 60d	24.9%	24.4%	25.6%	25.1%	24.8%
IV Rank	16.9%	6.6%	29.1%	29.1%	17.1%
IV Percentile	34.6%	7.9%	68.3%	68.3%	34.9%
Term Structure	1.8%	-3.4%	3.9%	2.6%	2.3%
VWIV	29.4%	26.1%	33.5%	33.5%	30.1%
Skew 25d	9.3%	6.3%	12.1%	10.4%	7.6%
Skew 10d	18.9%	12.6%	23.7%	20.2%	15.2%
Call IV 25d	23.5%	21.9%	28.0%	28.0%	23.4%
Put IV 25d	32.8%	28.9%	38.4%	38.4%	31.0%
Bid-Ask Spread %	10.85	7.93	18.87	9.03	8.86
Gamma HHI	0.10	0.07	0.29	0.07	0.13
Net GEX	1.5M	352.4K	2.9M	1.5M	871.4K
Net DEX	-34.2M	-54.6M	-13.3M	-25.8M	-33.8M
Net VEX	-98.3K	-111.8K	-87.4K	-111.8K	-100.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.92	2.20	1.05	1.11
Total Volume	24,669.913	17,096	33,104	27,456	17,096
Total OI	110,502.261	74,128	144,112	110,704	102,392

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-08-01	$11.48	$11.13	32.3%	9.3%	28.4%	29.1%	33.5%	10.4%	2.6%	1.5M	-25.8M	-111.8K	1.05	9.03	N/A	N/A	13,384	14,072	65,336	45,368
2018-08-02	$11.78	$11.13	28.1%	8.1%	28.6%	19.8%	30.3%	8.9%	-3.4%	1.9M	-37.0M	-107.2K	1.00	12.23	N/A	N/A	13,768	13,824	67,776	47,832
2018-08-03	$11.83	$11.13	25.3%	7.2%	26.9%	13.5%	28.0%	8.0%	3.1%	1.9M	-38.9M	-106.3K	0.98	7.93	N/A	N/A	13,336	13,136	66,880	48,176
2018-08-06	$11.99	$11.00	24.5%	7.8%	26.6%	11.8%	29.0%	9.8%	1.8%	2.1M	-47.3M	-96.9K	1.30	11.63	N/A	N/A	11,024	14,320	68,608	48,792
2018-08-07	$12.07	$11.25	23.3%	7.4%	26.7%	9.2%	29.8%	9.0%	1.6%	2.1M	-51.4M	-91.4K	0.92	11.53	N/A	N/A	13,920	12,808	69,088	49,824
2018-08-08	$12.13	$11.25	22.7%	7.4%	26.4%	7.9%	27.9%	9.1%	1.7%	2.4M	-54.6M	-95.5K	1.13	11.24	N/A	N/A	11,840	13,416	73,408	51,472
2018-08-09	$12.12	$11.25	22.1%	7.5%	24.6%	6.6%	26.1%	9.1%	1.5%	2.4M	-54.3M	-97.9K	1.22	11.76	N/A	N/A	11,264	13,712	74,752	53,464
2018-08-10	$11.89	$11.50	27.5%	8.2%	25.5%	18.4%	29.2%	10.8%	0.9%	2.1M	-39.5M	-111.4K	1.52	16.58	N/A	N/A	10,048	15,304	74,552	56,568
2018-08-13	$11.91	$11.50	31.7%	8.5%	25.4%	27.8%	30.7%	10.8%	0.3%	2.0M	-39.7M	-105.2K	2.20	9.06	N/A	N/A	9,600	21,136	74,736	58,472
2018-08-14	$12.04	$11.50	26.7%	7.9%	25.2%	16.7%	29.5%	10.9%	2.0%	2.0M	-47.8M	-93.6K	1.80	11.70	N/A	N/A	10,200	18,344	75,360	63,568
2018-08-15	$11.73	$11.50	30.9%	8.9%	26.7%	26.1%	32.9%	12.1%	0.9%	1.7M	-32.3M	-98.3K	2.00	13.79	N/A	N/A	10,696	21,344	75,808	62,328
2018-08-16	$11.81	$11.50	28.4%	8.1%	26.7%	20.5%	30.6%	10.5%	2.2%	2.1M	-38.3M	-91.0K	1.81	10.19	N/A	N/A	11,792	21,312	76,328	64,960
2018-08-17	$11.82	$11.50	27.5%	7.9%	26.7%	18.5%	31.9%	10.8%	2.9%	2.9M	-38.8M	-90.7K	1.91	18.87	N/A	N/A	10,312	19,720	77,816	66,296
2018-08-20	$11.81	$11.63	28.6%	8.2%	26.6%	21.0%	29.5%	10.4%	1.8%	352.4K	-13.3M	-90.3K	1.28	9.14	N/A	N/A	10,872	13,872	36,960	37,168
2018-08-21	$11.89	$11.63	27.8%	8.0%	26.6%	19.0%	29.0%	10.1%	2.0%	364.9K	-14.5M	-98.5K	1.08	9.97	N/A	N/A	9,576	10,360	39,904	41,976
2018-08-22	$11.98	$11.63	26.6%	7.6%	25.0%	16.4%	29.5%	9.3%	3.9%	457.1K	-16.5M	-103.6K	1.20	9.96	N/A	N/A	8,488	10,176	41,648	42,744
2018-08-23	$11.94	$11.63	27.3%	7.8%	23.2%	18.0%	27.9%	10.2%	2.0%	517.8K	-17.3M	-99.8K	1.16	10.37	N/A	N/A	8,232	9,576	42,688	42,936
2018-08-24	$12.14	$11.63	25.5%	7.3%	21.6%	14.1%	28.0%	8.6%	2.7%	650.3K	-21.2M	-99.0K	1.19	8.57	N/A	N/A	8,088	9,608	42,624	43,504
2018-08-27	$12.36	$11.63	25.4%	7.3%	18.7%	13.7%	28.1%	7.4%	2.3%	759.4K	-27.1M	-90.7K	1.04	10.12	N/A	N/A	9,216	9,552	43,120	44,184
2018-08-28	$12.43	$11.75	25.4%	7.3%	18.5%	13.7%	27.6%	7.2%	2.5%	822.3K	-28.9M	-91.1K	1.05	9.22	N/A	N/A	9,032	9,528	44,520	45,232
2018-08-29	$12.72	$11.88	24.7%	7.1%	19.6%	12.3%	26.3%	6.3%	2.2%	769.9K	-35.2M	-87.4K	1.63	9.25	N/A	N/A	12,368	20,168	45,480	46,000
2018-08-30	$12.62	$12.00	27.0%	7.7%	18.4%	17.3%	30.0%	7.3%	1.7%	836.6K	-32.6M	-102.6K	1.33	8.55	N/A	N/A	7,704	10,264	50,048	50,856
2018-08-31	$12.67	$12.00	26.9%	7.7%	18.4%	17.1%	30.1%	7.6%	2.3%	871.4K	-33.8M	-100.6K	1.11	8.86	N/A	N/A	8,096	9,000	50,904	51,488