QLD Options History — November 2018

In November 2018, QLD traded between $9.05 and $11.00. ATM implied volatility averaged 50.9%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 13.3% (HV 20d: 64.2%). Max pain ranged from $10.00 to $10.88. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2018-11-02: Highest Volume — 34,352 contracts
2018-11-12: Largest IV spike — 41.6% change
2018-11-13: Highest IV Rank — 94.9%
2018-11-23: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.00	$9.05	$11.00	$10.62	$10.21
Max Pain	$10.58	$10.00	$10.88	$10.88	$10.00
ATM IV	50.9%	41.7%	66.5%	54.2%	48.5%
Expected Move	13.9%	11.6%	15.6%	15.5%	13.9%
HV 20d	64.2%	54.4%	69.2%	66.9%	54.4%
HV 60d	46.9%	42.6%	51.4%	42.6%	51.1%
IV Rank	62.8%	44.4%	94.9%	69.9%	56.9%
IV Percentile	89.8%	82.5%	99.6%	94.8%	86.9%
Term Structure	-2.8%	-8.7%	0.4%	-8.7%	-4.0%
VWIV	46.4%	40.0%	55.6%	55.6%	46.7%
Skew 25d	13.3%	9.7%	17.4%	17.0%	10.0%
Skew 10d	24.6%	15.6%	32.3%	32.3%	17.5%
Call IV 25d	42.4%	34.6%	47.3%	46.0%	44.1%
Put IV 25d	55.6%	47.7%	63.3%	63.0%	54.0%
Bid-Ask Spread %	28.95	10.57	57.40	33.57	50.07
Gamma HHI	0.11	0.06	0.25	0.06	0.10
Net GEX	265.7K	-250.0K	1.2M	502.5K	269.8K
Net DEX	3.6M	-19.8M	16.6M	-2.7M	-6.2M
Net VEX	-92.8K	-126.3K	-67.9K	-126.3K	-90.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.56	1.04	0.75	0.70
Total Volume	25,919.619	20,416	34,352	28,608	25,040
Total OI	116,912	70,432	150,328	132,632	91,416

Daily Data (21 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
2018-11-01	$10.62	$10.88	54.2%	15.5%	66.9%	69.9%	55.6%	17.0%	-8.7%	502.5K	-2.7M	-126.3K	0.75	33.57	N/A	N/A	16,360	12,248	77,256	55,376
2018-11-02	$10.32	$10.88	53.6%	15.4%	67.2%	68.6%	52.4%	17.4%	-6.2%	370.4K	3.5M	-120.3K	0.56	57.40	N/A	N/A	22,048	12,304	78,528	55,696
2018-11-05	$10.23	$10.88	56.8%	13.9%	67.2%	75.0%	44.5%	16.6%	-2.2%	453.2K	5.3M	-113.6K	0.69	30.19	N/A	N/A	15,576	10,752	83,208	56,088
2018-11-06	$10.36	$10.88	55.3%	13.5%	67.5%	72.0%	45.5%	15.5%	-2.2%	541.8K	1.8M	-113.2K	0.66	10.57	N/A	N/A	17,584	11,632	83,856	56,208
2018-11-07	$11.00	$10.88	42.4%	11.6%	65.5%	45.9%	40.0%	13.0%	-1.0%	1.2M	-19.8M	-119.1K	0.81	13.62	N/A	N/A	17,104	13,888	86,096	56,944
2018-11-08	$10.85	$10.88	41.7%	12.1%	65.0%	44.4%	40.4%	9.7%	-1.7%	1.2M	-14.4M	-113.7K	0.89	43.76	N/A	N/A	13,680	12,160	87,192	57,000
2018-11-09	$10.59	$10.88	45.6%	12.4%	64.1%	52.3%	42.5%	15.5%	-1.2%	897.5K	-3.5M	-110.0K	0.77	12.48	N/A	N/A	14,320	11,048	87,768	57,520
2018-11-12	$9.97	$10.88	64.6%	14.2%	67.4%	90.9%	45.7%	15.0%	-2.6%	246.1K	13.5M	-90.4K	0.77	14.20	N/A	N/A	14,784	11,456	87,704	57,776
2018-11-13	$9.92	$10.88	66.5%	14.4%	64.8%	94.9%	44.6%	14.9%	-3.0%	104.7K	15.5M	-83.8K	0.69	18.68	N/A	N/A	15,576	10,800	86,752	57,560
2018-11-14	$9.84	$10.88	49.5%	14.2%	64.7%	60.3%	45.5%	15.8%	-2.3%	54.5K	16.6M	-81.8K	0.75	21.00	N/A	N/A	15,304	11,424	87,992	57,704
2018-11-15	$10.07	$10.88	47.7%	13.7%	64.1%	56.6%	45.6%	13.7%	-2.4%	151.2K	12.3M	-83.6K	0.65	24.73	N/A	N/A	18,280	11,880	88,264	58,720
2018-11-16	$10.10	$10.75	45.5%	13.0%	64.2%	52.0%	42.8%	13.4%	-1.5%	-250.0K	9.3M	-80.1K	0.73	10.68	N/A	N/A	18,432	13,488	90,672	59,656
2018-11-19	$9.37	$10.63	51.1%	14.6%	68.6%	63.4%	48.4%	11.7%	-2.0%	-34.6K	6.9M	-69.9K	1.04	16.82	N/A	N/A	11,568	12,040	37,776	32,656
2018-11-20	$9.07	$10.50	51.6%	14.8%	69.2%	64.5%	52.8%	14.5%	-1.6%	-133.6K	11.2M	-67.9K	0.82	21.82	N/A	N/A	12,344	10,072	39,168	36,576
2018-11-21	$9.21	$10.38	48.3%	13.9%	66.6%	57.9%	47.3%	11.9%	0.4%	-143.5K	9.5M	-75.3K	0.81	37.22	N/A	N/A	12,408	10,040	40,784	38,200
2018-11-23	$9.05	$10.13	54.5%	15.6%	64.8%	70.5%	48.1%	12.3%	-6.0%	-155.9K	11.0M	-74.6K	0.83	40.10	N/A	N/A	11,360	9,392	42,064	39,480
2018-11-26	$9.45	$10.13	49.1%	14.1%	64.0%	59.4%	48.1%	11.5%	-2.2%	-105.0K	7.5M	-77.0K	0.67	13.46	N/A	N/A	13,976	9,392	42,824	39,592
2018-11-27	$9.52	$10.00	47.7%	13.7%	58.7%	56.1%	45.1%	9.7%	-2.0%	-2.0K	5.6M	-78.9K	0.74	43.77	N/A	N/A	11,712	8,704	46,160	39,336
2018-11-28	$10.10	$10.00	46.3%	13.3%	58.9%	52.2%	45.8%	9.9%	-3.3%	155.3K	-3.0M	-86.2K	0.68	41.90	N/A	N/A	13,760	9,360	47,464	39,456
2018-11-29	$10.14	$10.00	47.8%	13.7%	54.7%	55.4%	46.4%	9.7%	-3.4%	247.8K	-5.4M	-91.7K	0.79	51.85	N/A	N/A	11,752	9,264	50,400	40,264
2018-11-30	$10.21	$10.00	48.5%	13.9%	54.4%	56.9%	46.7%	10.0%	-4.0%	269.8K	-6.2M	-90.7K	0.70	50.07	N/A	N/A	14,720	10,320	51,136	40,280