QLD Options History — January 2019

In January 2019, QLD traded between $7.96 and $9.87. ATM implied volatility averaged 46.5%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 13.0% (HV 20d: 59.5%). Max pain ranged from $8.50 to $9.25. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2019-01-18: Highest Volume — 18,672 contracts
  • 2019-01-30: Largest IV drop — 18.8% change
  • 2019-01-02: Highest IV Rank — 76.4%
  • 2019-01-02: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.12$7.96$9.87$8.42$9.87
Max Pain$8.83$8.50$9.25$8.75$9.25
ATM IV46.5%37.4%61.2%61.2%38.8%
Expected Move13.4%10.7%17.5%17.5%10.8%
HV 20d59.5%42.8%69.2%62.9%48.5%
HV 60d60.5%55.3%64.4%61.3%56.2%
IV Rank47.5%29.8%76.4%76.4%32.3%
IV Percentile72.0%51.6%95.2%95.2%57.1%
Term Structure-2.2%-6.4%0.6%-4.4%-0.2%
VWIV48.2%37.4%59.6%59.6%41.0%
Skew 25d13.4%10.4%19.1%18.2%11.0%
Skew 10d26.9%17.0%41.5%36.7%19.8%
Call IV 25d40.2%33.1%50.4%50.4%33.1%
Put IV 25d53.6%44.0%68.6%68.6%44.0%
Bid-Ask Spread %41.168.3981.7181.718.39
Gamma HHI0.080.060.140.110.06
Net GEX-3.4K-107.1K162.6K58.5K90.0K
Net DEX-2.5M-13.1M7.7M2.6M-7.0M
Net VEX-96.8K-117.3K-70.0K-70.0K-113.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.304.243.310.74
Total Volume11,455.2383,30418,67214,94410,544
Total OI95,190.85770,664115,94484,40888,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$8.42$8.7561.2%17.5%62.9%76.4%59.6%18.2%-4.4%58.5K2.6M-70.0K3.3181.71N/AN/A3,46411,48049,45634,952
2019-01-03$7.96$8.5052.2%16.2%61.1%59.1%57.6%10.9%-6.4%14.3K7.7M-77.9K3.2153.99N/AN/A3,80812,23250,60043,496
2019-01-04$8.58$8.5051.3%15.3%68.3%57.5%54.3%15.7%-3.7%-15.4K2.5M-84.3K1.6528.43N/AN/A3,7526,20850,64044,488
2019-01-07$8.82$8.6353.1%14.9%69.2%60.8%51.0%10.4%-2.6%-3.6K-845.6K-85.6K1.1737.32N/AN/A2,0162,36051,52045,976
2019-01-08$8.94$8.6353.0%14.9%68.5%60.7%52.2%15.5%-2.5%15.8K-3.3M-87.6K0.6523.42N/AN/A6,1603,97652,72846,624
2019-01-09$9.07$8.7548.9%14.0%68.8%52.3%53.5%10.8%-3.7%12.2K-5.2M-87.6K0.4544.45N/AN/A8,5043,84053,07248,288
2019-01-10$9.14$8.7548.6%13.9%68.7%51.5%51.0%15.9%-3.7%44.6K-5.4M-89.0K0.6231.92N/AN/A6,2243,84854,28048,992
2019-01-11$9.08$8.7546.2%13.2%68.2%46.8%48.9%14.3%-2.3%-7.0K-4.7M-88.4K0.9931.43N/AN/A6,5206,44054,39250,600
2019-01-14$8.93$8.7547.3%13.6%68.3%49.0%48.0%13.8%-0.6%-96.4K-1.8M-85.5K3.2733.67N/AN/A2,6408,62454,46451,512
2019-01-15$9.25$8.8843.4%12.4%67.0%41.4%45.7%13.5%-0.9%68.6K-6.5M-94.9K1.3537.78N/AN/A6,4648,73655,02453,248
2019-01-16$9.27$8.8843.2%12.4%63.4%41.0%46.7%14.2%-1.4%161.1K-8.2M-92.6K1.2938.51N/AN/A7,90410,22455,97653,536
2019-01-17$9.37$8.8842.0%12.0%62.4%38.6%46.8%12.6%-0.1%162.6K-9.1M-100.1K2.4442.03N/AN/A4,23210,31258,28857,464
2019-01-18$9.55$8.8841.0%11.8%58.5%36.7%44.7%12.5%0.6%-38.8K-13.1M-96.7K1.5344.73N/AN/A7,38411,28857,90458,040
2019-01-22$9.15$8.8848.0%13.8%59.5%50.3%49.2%19.1%-3.7%-98.8K1.2M-97.5K1.4547.46N/AN/A2,1363,10426,84043,824
2019-01-23$9.20$9.0045.4%13.0%54.3%45.4%47.8%13.9%-1.6%-100.7K638.3K-99.1K4.2435.81N/AN/A2,54410,77628,24045,624
2019-01-24$9.31$9.0042.6%12.2%51.1%39.8%44.8%12.7%-1.2%-107.1K766.3K-117.3K3.9640.93N/AN/A2,55210,11229,05653,656
2019-01-25$9.56$9.0041.0%11.8%42.8%36.8%41.5%11.4%-1.0%-57.3K-2.0M-115.4K2.3143.13N/AN/A4,55210,53629,57654,232
2019-01-28$9.30$8.8845.1%12.9%44.6%44.6%44.5%11.9%-2.0%-73.7K419.9K-116.0K0.3047.01N/AN/A2,54476031,12854,584
2019-01-29$9.14$9.0046.1%13.2%45.4%46.7%45.7%12.8%-3.2%-95.3K1.7M-116.3K0.5445.24N/AN/A3,3521,81633,02455,600
2019-01-30$9.61$9.0037.4%10.7%48.0%29.8%37.4%10.5%-2.2%-4.5K-2.8M-116.7K0.3966.98N/AN/A4,7361,85632,96856,104
2019-01-31$9.87$9.2538.8%10.8%48.5%32.3%41.0%11.0%-0.2%90.0K-7.0M-113.4K0.748.39N/AN/A6,0644,48032,84856,144