QLD Options History — September 2018

In September 2018, QLD traded between $11.95 and $12.59. ATM implied volatility averaged 29.2%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.9% (HV 20d: 22.3%). Max pain ranged from $10.50 to $12.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2018-09-26: Highest Volume — 27,784 contracts
  • 2018-09-17: Largest IV spike — 14.0% change
  • 2018-09-07: Highest IV Rank — 30.3%
  • 2018-09-07: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.27$11.95$12.59$12.59$12.57
Max Pain$11.15$10.50$12.00$12.00$11.63
ATM IV29.2%25.4%32.8%27.6%25.4%
Expected Move8.4%7.3%9.7%7.9%7.3%
HV 20d22.3%18.3%25.2%18.3%22.4%
HV 60d24.9%23.3%26.1%24.8%23.3%
IV Rank22.2%13.9%30.3%18.7%13.9%
IV Percentile48.4%21.8%69.4%40.5%21.8%
Term Structure2.9%-1.0%6.3%-1.0%4.9%
VWIV33.1%28.2%40.1%30.5%28.2%
Skew 25d9.9%7.9%11.7%7.9%9.3%
Skew 10d20.5%16.7%35.7%16.7%17.2%
Call IV 25d25.4%22.5%29.8%24.6%22.5%
Put IV 25d35.3%31.8%40.7%32.6%31.8%
Bid-Ask Spread %14.758.1647.288.7610.53
Gamma HHI0.110.070.210.130.08
Net GEX908.1K289.7K2.5M972.4K402.6K
Net DEX-20.8M-32.8M-11.4M-31.6M-22.5M
Net VEX-86.1K-102.8K-70.4K-97.8K-96.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.751.311.111.17
Total Volume22,546.94718,04827,78418,04824,648
Total OI104,399.57968,432126,072103,70487,736

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$12.59$12.0027.6%7.9%18.3%18.7%30.5%7.9%-1.0%972.4K-31.6M-97.8K1.118.76N/AN/A8,5689,48051,92851,776
2018-09-05$12.26$12.0030.1%8.6%20.9%24.2%29.5%9.0%1.8%837.0K-21.6M-102.8K0.758.20N/AN/A13,60810,15253,12852,464
2018-09-06$12.05$10.5032.4%9.3%21.8%29.3%36.9%9.9%1.7%545.4K-14.4M-98.8K0.9847.28N/AN/A11,43211,24052,84853,088
2018-09-07$11.97$10.6332.8%9.7%21.9%30.3%39.0%11.7%1.9%440.7K-11.4M-101.4K1.0817.99N/AN/A9,56810,36853,40855,000
2018-09-10$12.01$10.6331.9%9.4%20.9%28.3%40.1%11.7%2.4%533.3K-12.6M-96.5K1.0215.59N/AN/A9,93610,16054,12056,040
2018-09-11$12.20$10.6328.3%8.7%21.6%20.2%35.1%11.1%3.1%913.0K-19.4M-91.6K0.8816.61N/AN/A11,31210,00854,31256,168
2018-09-12$12.14$10.7530.4%8.7%21.4%25.0%33.9%10.1%2.5%947.6K-18.6M-90.2K0.9011.56N/AN/A10,2409,16856,24856,696
2018-09-13$12.34$10.7528.6%8.2%19.6%21.0%34.4%10.0%2.9%1.6M-27.6M-87.0K0.9322.10N/AN/A10,7209,97657,39257,352
2018-09-14$12.32$10.7527.7%8.0%19.6%19.0%32.8%9.5%3.4%1.7M-27.2M-82.5K1.0812.92N/AN/A9,88010,67257,79256,744
2018-09-17$11.95$11.0031.6%9.1%22.8%27.6%35.4%9.3%2.6%700.8K-12.4M-78.7K1.2115.66N/AN/A9,80011,85658,12858,000
2018-09-18$12.19$11.0030.9%8.9%23.7%26.0%32.8%10.3%2.0%1.4M-21.0M-76.4K1.1711.28N/AN/A11,12012,97658,63259,520
2018-09-19$12.15$11.2530.0%8.6%23.6%23.9%31.6%10.3%2.7%1.4M-18.7M-76.4K1.2914.58N/AN/A10,76813,84060,44860,960
2018-09-20$12.41$11.2528.4%8.2%24.7%20.6%31.4%9.0%3.4%2.5M-32.8M-70.8K1.168.16N/AN/A12,28014,23260,64863,552
2018-09-21$12.24$11.2528.0%8.0%25.2%19.5%30.7%9.2%3.5%979.2K-24.8M-70.7K1.0710.86N/AN/A13,05613,95261,96864,104
2018-09-24$12.31$11.3829.1%8.3%24.6%22.0%33.7%10.5%3.5%289.7K-16.4M-70.4K1.3111.43N/AN/A8,76811,48032,33636,096
2018-09-25$12.37$11.3827.8%8.0%23.8%19.1%32.3%10.1%4.1%299.4K-18.0M-74.1K1.1010.55N/AN/A10,08811,11234,05638,352
2018-09-26$12.47$11.5026.8%7.7%23.9%17.0%29.9%9.7%6.3%368.7K-21.0M-76.7K1.0210.80N/AN/A13,78414,00036,45640,528
2018-09-27$12.58$11.6326.4%7.6%22.5%15.9%29.9%9.4%4.1%382.8K-22.4M-96.2K1.1515.35N/AN/A11,23212,91240,82444,744
2018-09-28$12.57$11.6325.4%7.3%22.4%13.9%28.2%9.3%4.9%402.6K-22.5M-96.6K1.1710.53N/AN/A11,34413,30441,90445,832