QLD Options History — March 2019

In March 2019, QLD traded between $10.17 and $11.63. ATM implied volatility averaged 31.9%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 7.1% (HV 20d: 24.8%). Max pain ranged from $9.25 to $11.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2019-03-15: Highest Volume — 15,208 contracts
  • 2019-03-12: Largest IV drop — 25.7% change
  • 2019-03-11: Highest IV Rank — 33.6%
  • 2019-03-07: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.90$10.17$11.63$10.63$11.23
Max Pain$10.28$9.25$11.50$10.00$11.25
ATM IV31.9%27.7%39.4%27.7%28.9%
Expected Move9.4%7.8%10.9%7.9%9.2%
HV 20d24.8%19.3%30.4%21.1%29.9%
HV 60d42.0%34.6%48.4%48.4%34.6%
IV Rank19.0%10.8%33.6%10.8%13.2%
IV Percentile35.7%12.3%61.1%12.3%22.6%
Term Structure1.9%-3.1%4.1%3.5%3.1%
VWIV33.0%29.3%37.9%29.3%34.2%
Skew 25d10.3%7.2%12.6%7.2%8.3%
Skew 10d19.4%13.8%24.4%16.1%14.6%
Call IV 25d27.4%23.5%33.3%23.5%26.0%
Put IV 25d37.7%30.7%44.5%30.7%34.2%
Bid-Ask Spread %31.7911.8666.1351.3621.68
Gamma HHI0.100.060.370.070.07
Net GEX735.7K147.3K1.7M595.3K733.3K
Net DEX-16.5M-29.1M-4.8M-14.2M-18.6M
Net VEX-122.2K-130.7K-116.0K-121.6K-123.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.141.001.000.97
Total Volume6,861.3333,68815,2087,4805,216
Total OI106,136.76296,440116,616103,376108,064

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$10.63$10.0027.7%7.9%21.1%10.8%29.3%7.2%3.5%595.3K-14.2M-121.6K1.0051.36N/AN/A3,7443,73640,32063,056
2019-03-04$10.58$10.0031.2%8.9%21.0%17.7%32.5%11.9%1.5%536.5K-13.1M-120.9K0.3856.01N/AN/A4,0961,53639,96863,336
2019-03-05$10.67$10.1330.3%8.7%20.3%15.8%31.6%10.5%1.6%633.2K-15.1M-121.1K0.4854.58N/AN/A3,2241,56040,93664,152
2019-03-06$10.49$10.1332.6%9.4%20.1%20.4%32.5%11.7%1.5%510.7K-11.8M-123.1K0.6360.09N/AN/A4,2802,68841,25664,520
2019-03-07$10.22$10.1337.9%10.9%22.2%30.6%35.7%12.2%0.5%259.4K-6.3M-126.6K0.5566.13N/AN/A5,9763,31242,08865,272
2019-03-08$10.17$10.1334.9%10.0%19.3%24.8%34.5%12.2%1.2%147.3K-4.8M-128.0K0.7360.52N/AN/A4,9363,62441,69666,280
2019-03-11$10.62$9.2539.4%9.6%24.2%33.6%32.1%11.4%2.4%720.0K-14.6M-119.6K0.1422.39N/AN/A7,6961,09641,68066,272
2019-03-12$10.76$9.2529.3%9.3%24.5%13.9%31.8%9.8%3.4%1.2M-17.9M-116.1K0.4420.86N/AN/A4,2241,85643,53666,328
2019-03-13$10.95$9.2528.3%9.1%23.3%11.9%30.6%9.6%3.8%1.6M-23.3M-116.8K0.6619.67N/AN/A5,4243,60045,24866,448
2019-03-14$10.89$9.2528.8%9.4%23.5%12.9%30.8%8.8%3.9%1.7M-21.0M-117.4K0.7720.90N/AN/A4,6803,62447,43268,320
2019-03-15$11.06$9.2528.9%9.3%23.9%13.1%32.0%9.3%4.1%1.6M-29.1M-116.0K0.3819.25N/AN/A11,0324,17647,80068,816
2019-03-18$11.12$0.0029.7%7.8%23.9%14.7%37.9%8.7%-3.1%596.1K-17.5M-116.7K0.9427.58N/AN/A2,3042,16038,30458,136
2019-03-19$11.12$10.2530.3%9.2%23.9%15.9%33.1%10.3%1.5%589.7K-17.9M-120.4K0.5715.07N/AN/A3,6322,07239,54460,088
2019-03-20$11.30$10.0030.2%9.3%24.1%15.7%33.2%12.6%2.1%631.7K-19.0M-121.5K0.5150.45N/AN/A2,6881,37639,68860,344
2019-03-21$11.63$10.0029.7%8.9%24.9%14.7%32.4%10.2%2.4%611.5K-24.2M-122.1K0.6911.86N/AN/A3,8962,68839,99260,624
2019-03-22$11.13$11.5036.9%10.3%30.4%28.8%35.9%10.6%-0.8%520.8K-17.5M-124.4K0.9219.83N/AN/A4,5764,22440,70461,416
2019-03-25$11.09$11.5035.9%10.6%30.2%26.9%32.8%11.2%1.7%497.0K-14.5M-130.7K1.0012.43N/AN/A1,8481,84041,07263,544
2019-03-26$11.08$11.5033.7%10.2%30.2%22.5%33.5%11.0%1.5%554.1K-15.5M-128.9K0.9319.35N/AN/A2,8082,60042,51264,176
2019-03-27$11.07$11.5033.3%10.0%30.1%21.6%34.0%9.2%2.2%598.7K-15.4M-124.8K0.6719.68N/AN/A3,0642,06443,34464,240
2019-03-28$11.08$11.2531.9%9.7%30.0%19.0%33.2%10.0%2.5%650.1K-15.6M-125.9K0.7217.82N/AN/A2,8642,04843,88064,440
2019-03-29$11.23$11.2528.9%9.2%29.9%13.2%34.2%8.3%3.1%733.3K-18.6M-123.1K0.9721.68N/AN/A2,6482,56843,63264,432