QLD Options History — October 2018

In October 2018, QLD traded between $9.29 and $12.59. ATM implied volatility averaged 45.9%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 5.9% (HV 20d: 39.9%). Max pain ranged from $10.88 to $12.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.83.

Notable Days

2018-10-11: Highest Volume — 44,816 contracts
2018-10-04: Largest IV spike — 32.5% change
2018-10-29: Highest IV Rank — 100.0%
2018-10-29: Largest Expected Move — 19.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.09	$9.29	$12.59	$12.58	$10.45
Max Pain	$11.57	$10.88	$12.50	$11.63	$10.88
ATM IV	45.9%	26.3%	69.0%	26.3%	55.8%
Expected Move	13.1%	7.5%	19.8%	7.5%	16.0%
HV 20d	39.9%	19.9%	67.6%	22.4%	67.6%
HV 60d	30.3%	22.3%	42.5%	22.6%	42.5%
IV Rank	57.6%	15.9%	100.0%	15.9%	73.1%
IV Percentile	84.3%	25.8%	100.0%	25.8%	95.6%
Term Structure	-3.7%	-10.1%	4.8%	4.4%	-8.5%
VWIV	43.7%	28.1%	65.2%	28.1%	56.3%
Skew 25d	15.1%	8.3%	20.0%	9.0%	16.2%
Skew 10d	27.6%	14.5%	35.3%	16.0%	31.0%
Call IV 25d	38.7%	23.2%	59.1%	23.3%	49.6%
Put IV 25d	53.8%	32.3%	79.1%	32.3%	65.9%
Bid-Ask Spread %	25.83	8.79	68.87	8.79	31.05
Gamma HHI	0.07	0.05	0.13	0.09	0.06
Net GEX	239.1K	-100.9K	741.7K	456.1K	406.2K
Net DEX	562.7K	-23.7M	20.0M	-23.7M	150.8K
Net VEX	-104.6K	-127.6K	-89.3K	-94.4K	-126.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.52	1.25	0.95	0.60
Total Volume	34,136.696	21,424	44,816	24,616	33,520
Total OI	118,706.087	89,696	156,488	89,696	131,128

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
2018-10-01	$12.58	$11.63	26.3%	7.5%	22.4%	15.9%	28.1%	9.0%	4.4%	456.1K	-23.7M	-94.4K	0.95	8.79	N/A	N/A	12,632	11,984	43,088	46,608
2018-10-02	$12.58	$11.75	26.4%	7.6%	22.3%	16.0%	29.0%	9.1%	4.8%	434.0K	-22.9M	-97.5K	1.14	12.53	N/A	N/A	11,048	12,584	44,256	48,248
2018-10-03	$12.59	$11.75	27.1%	7.8%	19.9%	17.5%	28.4%	8.3%	3.9%	458.4K	-23.4M	-96.4K	1.25	9.94	N/A	N/A	9,512	11,912	45,160	49,488
2018-10-04	$12.05	$12.50	35.9%	10.3%	24.7%	37.0%	36.4%	12.6%	0.6%	152.4K	-9.2M	-100.4K	1.12	18.48	N/A	N/A	12,096	13,520	46,360	49,648
2018-10-05	$11.81	$12.50	40.0%	11.2%	25.7%	46.1%	35.8%	13.5%	-1.6%	28.9K	-4.7M	-98.1K	0.79	32.54	N/A	N/A	20,272	15,992	47,360	50,904
2018-10-08	$11.71	$12.50	39.9%	11.3%	25.8%	45.9%	36.3%	16.7%	-1.3%	43.1K	-952.3K	-101.9K	0.67	24.44	N/A	N/A	22,000	14,760	52,632	52,368
2018-10-09	$11.74	$12.50	38.6%	11.0%	25.0%	42.1%	37.2%	14.3%	-1.4%	318.5K	-3.2M	-97.5K	0.61	16.58	N/A	N/A	24,608	14,936	55,752	53,656
2018-10-10	$10.84	$12.25	47.5%	13.6%	37.3%	62.3%	44.6%	16.4%	-4.5%	-27.3K	12.8M	-92.9K	0.85	25.90	N/A	N/A	19,472	16,600	61,976	55,208
2018-10-11	$10.56	$11.88	49.2%	14.1%	37.1%	66.0%	44.5%	17.7%	-6.0%	-100.9K	20.0M	-89.3K	0.52	34.36	N/A	N/A	29,472	15,344	64,376	57,400
2018-10-12	$10.96	$11.75	44.5%	12.8%	40.4%	55.5%	43.7%	16.5%	-2.4%	187.2K	7.9M	-105.0K	0.65	32.65	N/A	N/A	26,528	17,224	72,880	59,344
2018-10-15	$10.86	$11.63	46.2%	13.2%	39.3%	59.3%	43.5%	16.7%	-4.3%	160.5K	9.6M	-98.4K	0.76	41.20	N/A	N/A	19,576	14,816	76,432	60,864
2018-10-16	$11.37	$11.38	41.0%	11.7%	42.4%	47.5%	41.4%	14.3%	-5.4%	455.0K	-6.5M	-106.5K	0.58	33.88	N/A	N/A	22,936	13,304	78,992	60,864
2018-10-17	$11.38	$11.38	41.8%	12.0%	42.4%	49.3%	41.9%	14.7%	-2.1%	741.7K	-8.2M	-111.2K	0.80	13.25	N/A	N/A	18,712	14,984	82,480	62,168
2018-10-18	$10.90	$11.38	49.1%	14.1%	43.6%	65.7%	46.0%	16.4%	-4.7%	289.2K	8.6M	-102.9K	0.70	17.66	N/A	N/A	23,792	16,544	83,896	64,112
2018-10-19	$10.88	$11.25	47.5%	13.6%	43.6%	62.1%	45.3%	16.2%	-4.0%	181.6K	7.6M	-107.6K	0.83	13.67	N/A	N/A	21,272	17,712	89,968	66,520
2018-10-22	$11.02	$11.25	45.8%	13.1%	43.9%	58.4%	44.8%	15.3%	-3.5%	263.7K	-2.3M	-108.7K	0.67	11.41	N/A	N/A	19,632	13,160	52,384	43,560
2018-10-23	$10.89	$11.13	47.8%	13.7%	43.8%	63.0%	44.5%	14.5%	-5.2%	342.9K	-988.8K	-119.9K	0.96	28.43	N/A	N/A	15,464	14,896	59,984	48,272
2018-10-24	$10.22	$11.13	58.6%	16.8%	47.8%	87.1%	45.7%	17.3%	-9.1%	117.2K	9.6M	-111.5K	1.02	31.22	N/A	N/A	16,376	16,648	63,320	50,760
2018-10-25	$10.61	$11.00	54.3%	15.6%	50.2%	77.4%	49.5%	16.6%	-8.3%	328.1K	168.0K	-127.6K	0.95	14.94	N/A	N/A	17,112	16,304	68,296	52,280
2018-10-26	$9.98	$11.00	61.0%	17.5%	53.5%	92.5%	58.6%	18.0%	-8.3%	156.9K	9.9M	-112.7K	0.94	52.96	N/A	N/A	18,568	17,384	70,528	51,624
2018-10-29	$9.29	$10.88	69.0%	19.8%	57.3%	100.0%	65.2%	20.0%	-10.1%	16.0K	18.3M	-92.3K	1.05	68.87	N/A	N/A	18,256	19,152	73,736	52,584
2018-10-30	$9.84	$10.88	62.0%	17.8%	62.6%	85.6%	59.6%	18.0%	-9.3%	90.2K	14.6M	-106.3K	0.75	19.24	N/A	N/A	18,640	13,888	74,664	54,112
2018-10-31	$10.45	$10.88	55.8%	16.0%	67.6%	73.1%	56.3%	16.2%	-8.5%	406.2K	150.8K	-126.5K	0.60	31.05	N/A	N/A	20,928	12,592	76,504	54,624