QLD Options History — July 2019

In July 2019, QLD traded between $12.30 and $13.09. ATM implied volatility averaged 28.8%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.2% (HV 20d: 22.6%). Max pain ranged from $11.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2019-07-19: Highest Volume — 18,216 contracts
  • 2019-07-02: Largest IV drop — 9.8% change
  • 2019-07-19: Highest IV Rank — 17.7%
  • 2019-07-08: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.71$12.30$13.09$12.30$12.63
Max Pain$12.14$11.50$12.50$11.50$12.50
ATM IV28.8%25.8%31.3%29.1%30.2%
Expected Move8.4%7.5%9.1%8.3%8.7%
HV 20d22.6%17.5%30.1%30.1%19.6%
HV 60d35.3%34.9%35.6%35.1%35.0%
IV Rank12.9%7.1%17.7%13.5%15.7%
IV Percentile22.7%4.4%38.9%23.0%32.5%
Term Structure1.8%-0.5%5.0%3.5%5.0%
VWIV31.6%26.9%36.8%32.9%31.1%
Skew 25d8.8%6.7%10.3%8.8%6.7%
Skew 10d17.9%12.4%29.0%20.0%29.0%
Call IV 25d25.9%23.3%30.8%26.8%30.8%
Put IV 25d34.7%30.3%37.6%35.6%37.5%
Bid-Ask Spread %20.735.9874.4169.0755.00
Gamma HHI0.160.060.590.140.06
Net GEX651.9K257.3K2.5M337.4K301.8K
Net DEX-23.5M-32.9M-14.2M-20.2M-14.2M
Net VEX-144.8K-161.8K-133.8K-136.1K-161.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.151.961.581.06
Total Volume7,507.2733,44018,2167,4406,648
Total OI103,823.63685,344118,73699,28097,336

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$12.30$11.5029.1%8.3%30.1%13.5%32.9%8.8%3.5%337.4K-20.2M-136.1K1.5869.07N/AN/A2,8884,55239,64059,640
2019-07-02$12.37$11.6326.2%7.5%26.0%7.9%29.7%8.1%4.2%352.1K-20.7M-137.6K1.8571.11N/AN/A1,8803,48040,16861,752
2019-07-03$12.56$11.6326.1%7.5%25.9%7.8%26.9%7.0%4.3%487.5K-24.4M-136.5K1.3374.41N/AN/A4,0085,32040,67262,088
2019-07-05$12.54$12.0025.8%8.6%25.8%7.1%36.8%9.2%1.4%389.5K-23.3M-134.5K0.796.55N/AN/A7,6486,04040,67265,240
2019-07-08$12.38$12.1327.5%9.1%24.1%10.4%35.9%10.3%0.0%257.3K-20.5M-139.5K0.766.62N/AN/A2,4081,83241,35266,496
2019-07-09$12.46$12.0027.2%8.8%23.2%9.8%32.7%9.9%0.8%415.3K-22.8M-136.8K0.985.98N/AN/A2,3922,35242,39266,680
2019-07-10$12.72$11.7529.3%8.4%23.9%13.9%33.4%9.4%2.6%714.4K-29.1M-133.8K1.029.39N/AN/A5,4805,60043,33666,992
2019-07-11$12.69$12.1330.3%8.7%23.1%15.9%32.5%9.3%1.6%672.3K-27.2M-138.5K1.769.18N/AN/A3,2245,66444,56067,936
2019-07-12$12.83$12.1328.7%8.2%23.1%12.8%31.5%9.0%1.1%771.0K-30.3M-141.4K1.308.61N/AN/A3,7604,89645,39267,384
2019-07-15$12.93$12.1329.2%8.4%23.0%13.8%29.9%8.9%0.3%964.2K-32.9M-135.1K0.156.11N/AN/A3,00044846,32867,880
2019-07-16$12.82$12.1329.0%8.3%23.5%13.4%31.0%9.4%1.0%973.7K-30.7M-136.5K0.446.92N/AN/A5,7282,52047,03267,976
2019-07-17$12.73$12.1330.0%8.6%21.9%15.3%32.0%9.7%3.3%960.1K-29.6M-141.1K0.557.07N/AN/A4,9522,74449,13669,280
2019-07-18$12.69$12.2530.9%8.8%21.9%17.0%32.0%9.7%2.3%1.0M-28.7M-142.8K0.458.10N/AN/A6,3522,84048,56869,648
2019-07-19$12.56$12.2531.3%9.0%21.8%17.7%30.5%10.0%2.0%2.5M-27.0M-144.5K0.8710.06N/AN/A9,7528,46448,64070,096
2019-07-22$12.70$12.2530.3%8.7%22.1%15.9%31.4%9.1%1.0%294.7K-15.6M-150.7K0.5210.50N/AN/A3,2561,68035,02450,320
2019-07-23$12.86$12.3828.7%8.2%22.3%12.8%32.4%8.6%1.0%469.1K-19.0M-155.2K1.8113.50N/AN/A1,2242,21637,67251,584
2019-07-24$13.04$12.3827.8%8.0%17.5%11.0%30.6%7.9%1.7%539.3K-21.8M-153.9K1.6314.92N/AN/A1,9283,15237,81652,200
2019-07-25$12.82$12.3829.4%8.4%19.1%14.1%31.4%8.4%0.7%420.4K-18.0M-156.5K1.9611.20N/AN/A2,2324,38438,36053,720
2019-07-26$13.09$12.3826.5%7.6%19.9%8.5%29.3%7.5%2.2%539.3K-22.2M-157.0K1.8017.78N/AN/A2,9045,22438,46454,760
2019-07-29$12.99$12.5028.9%8.3%20.1%13.2%29.1%7.9%0.7%546.0K-20.8M-156.7K0.7516.64N/AN/A2,5521,90439,02455,200
2019-07-30$12.85$12.5031.1%8.9%18.4%17.5%31.7%8.8%-0.5%478.2K-18.1M-158.4K0.8617.27N/AN/A3,0242,60839,82455,840
2019-07-31$12.63$12.5030.2%8.7%19.6%15.7%31.1%6.7%5.0%301.8K-14.2M-161.8K1.0655.00N/AN/A3,2323,41640,73656,600