QLD Options History — December 2018

In December 2018, QLD traded between $7.41 and $10.54. ATM implied volatility averaged 57.9%, placing in the 74.4% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 0.6% (HV 20d: 58.4%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2018-12-20: Highest Volume — 21,328 contracts
  • 2018-12-20: Largest IV spike — 26.2% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.96$7.41$10.54$10.54$8.35
Max Pain$9.61$8.75$10.00$10.00$8.75
ATM IV57.9%43.2%73.5%43.2%64.5%
Expected Move16.3%12.4%21.1%12.4%18.5%
HV 20d58.4%52.8%68.3%54.8%64.4%
HV 60d56.1%51.6%61.7%51.6%61.3%
IV Rank74.4%45.7%100.0%45.7%82.8%
IV Percentile93.0%78.2%100.0%78.2%96.8%
Term Structure-2.6%-17.3%9.4%-2.9%-5.8%
VWIV55.3%43.0%71.9%43.0%61.6%
Skew 25d13.8%3.7%23.1%9.9%16.5%
Skew 10d29.2%17.7%62.4%17.7%49.5%
Call IV 25d50.3%38.0%66.0%38.0%54.8%
Put IV 25d64.1%47.9%81.9%47.9%71.3%
Bid-Ask Spread %61.2839.2688.4748.9679.21
Gamma HHI0.110.070.180.090.09
Net GEX75.9K-203.8K431.3K431.3K81.9K
Net DEX5.7M-12.7M18.9M-12.7M2.1M
Net VEX-72.4K-88.9K-49.1K-88.9K-72.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.182.220.310.29
Total Volume11,1844,60021,3286,5604,600
Total OI98,09069,896117,82494,24883,648

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$10.54$10.0043.2%12.4%54.8%45.7%43.0%9.9%-2.9%431.3K-12.7M-88.9K0.3148.96N/AN/A5,0241,53653,41640,832
2018-12-04$9.81$10.0052.4%15.0%60.5%65.0%50.8%9.1%-4.9%219.1K-173.8K-84.8K0.6461.42N/AN/A3,9602,54454,71241,192
2018-12-05$9.77$10.0055.6%15.9%60.3%71.7%52.1%13.0%-8.2%210.9K460.0K-83.5K0.6666.51N/AN/A4,1122,72054,71241,192
2018-12-06$9.85$10.0053.6%13.6%55.7%67.6%46.8%16.4%-0.6%231.0K269.9K-85.3K2.0044.46N/AN/A2,9285,84855,14441,960
2018-12-07$9.50$10.0054.4%14.1%56.7%69.2%45.1%11.8%3.1%71.3K5.1M-81.7K2.2252.03N/AN/A3,1206,92856,08044,136
2018-12-10$9.45$10.0057.0%14.4%56.4%74.8%49.7%13.6%-0.7%128.1K4.5M-77.3K0.2841.57N/AN/A6,3841,78457,96842,536
2018-12-11$9.56$10.0053.3%14.1%52.8%67.0%49.3%12.5%-0.9%204.5K2.5M-79.3K0.9539.26N/AN/A2,9682,82459,47243,440
2018-12-12$9.76$10.0048.6%13.9%53.4%57.0%48.7%13.0%-0.2%323.2K-937.2K-81.2K0.4339.83N/AN/A6,7282,89660,16844,144
2018-12-13$9.66$10.0049.1%14.1%53.4%58.2%47.4%13.2%-0.7%297.6K992.7K-81.1K0.6440.43N/AN/A5,0003,19261,76044,448
2018-12-14$9.15$10.0053.1%15.2%55.8%66.5%49.8%13.7%-1.0%20.4K9.6M-71.8K0.6339.36N/AN/A7,2804,58461,84844,480
2018-12-17$8.64$9.8857.4%16.5%58.7%75.6%60.0%14.4%0.3%-156.2K15.0M-63.4K0.4954.17N/AN/A7,1523,53663,69645,096
2018-12-18$8.95$9.6354.3%15.6%54.8%69.1%54.8%12.9%-0.6%-90.5K11.9M-68.6K0.6054.96N/AN/A9,2965,57666,84045,216
2018-12-19$8.46$9.6350.4%14.5%57.3%60.9%53.9%3.7%9.4%-203.6K15.7M-66.7K0.6688.47N/AN/A10,5286,91268,03247,056
2018-12-20$8.19$9.3863.6%18.2%57.7%88.6%56.8%15.8%-2.3%-203.8K17.4M-61.8K0.6072.74N/AN/A13,3367,99271,49646,328
2018-12-21$7.71$9.3865.4%18.7%60.7%92.3%59.0%14.3%-5.0%-73.3K18.9M-52.3K0.5180.15N/AN/A12,4086,31272,92843,336
2018-12-24$7.41$9.1373.5%21.1%58.5%100.0%67.0%15.8%-5.2%-50.3K10.0M-49.1K0.4478.05N/AN/A9,6404,23239,84830,048
2018-12-26$8.09$9.0066.7%19.1%68.3%87.0%67.1%16.8%-17.3%-41.3K7.0M-59.1K0.1879.03N/AN/A10,8001,98441,53630,448
2018-12-27$8.18$8.7572.8%20.9%64.0%98.8%71.9%15.5%-3.2%65.3K4.1M-65.1K1.2283.93N/AN/A6,3207,68848,17630,952
2018-12-28$8.24$8.7568.0%19.5%64.2%89.4%71.4%23.1%-5.9%52.8K2.7M-73.9K1.6881.04N/AN/A4,8568,15248,96834,512
2018-12-31$8.35$8.7564.5%18.5%64.4%82.8%61.6%16.5%-5.8%81.9K2.1M-72.5K0.2979.21N/AN/A3,5681,03249,31234,336