QLD Options History — August 2019 In August 2019, QLD traded between $11.20 and $12.45. ATM implied volatility averaged 43.2%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 0.2% (HV 20d: 43.1%). Max pain ranged from $11.75 to $12.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.05.
Notable Days 2019-08-13 : Highest Volume — 11,048 contracts2019-08-05 : Largest IV spike — 49.0% change2019-08-05 : Highest IV Rank — 74.6%2019-08-14 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $11.77 $11.20 $12.45 $12.45 $11.89 Max Pain $12.12 $11.75 $12.50 $12.50 $11.88 ATM IV 43.2% 34.3% 60.4% 34.3% 40.5% Expected Move 11.8% 9.8% 13.8% 9.8% 11.6% HV 20d 43.1% 19.6% 53.9% 19.6% 52.4% HV 60d 36.5% 33.7% 39.4% 33.7% 36.3% IV Rank 38.9% 22.4% 74.6% 23.7% 31.4% IV Percentile 66.0% 46.8% 94.4% 49.2% 59.9% Term Structure -0.4% -2.4% 2.3% -1.1% -0.8% VWIV 41.1% 34.1% 49.2% 36.1% 42.6% Skew 25d 15.5% 11.2% 25.5% 11.9% 15.3% Skew 10d 27.1% 19.2% 36.8% 24.9% 26.5% Call IV 25d 33.7% 28.0% 39.7% 33.6% 33.2% Put IV 25d 49.2% 43.0% 56.5% 45.4% 48.5% Bid-Ask Spread % 36.87 18.91 53.37 34.27 44.91 Gamma HHI 0.07 0.05 0.10 0.05 0.09 Net GEX -96.1K -401.6K 187.7K 139.8K 149.2K Net DEX -196.7K -9.7M 12.6M -9.7M -6.3M Net VEX -162.3K -167.6K -155.4K -163.4K -166.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.15 2.91 1.45 0.73 Total Volume 5,767.636 1,440 11,048 11,008 5,888 Total OI 104,628 90,656 119,464 98,896 106,496
Daily Data (22 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 2019-08-01 $12.45 $12.50 34.3% 9.8% 19.6% 23.7% 36.1% 11.9% -1.1% 139.8K -9.7M -163.4K 1.45 34.27 N/A N/A 4,496 6,512 41,056 57,840 2019-08-02 $12.01 $12.50 40.6% 11.6% 23.3% 35.9% 37.7% 12.4% -2.3% -177.6K -846.1K -161.2K 1.52 53.37 N/A N/A 3,320 5,048 40,712 59,840 2019-08-05 $11.20 $12.50 60.4% 13.5% 33.3% 74.6% 46.2% 15.0% -2.4% -369.7K 12.6M -156.8K 0.63 34.47 N/A N/A 6,432 4,064 40,808 62,344 2019-08-06 $11.46 $12.38 48.4% 12.3% 34.5% 51.1% 44.6% 15.3% -0.4% -401.6K 8.4M -155.4K 1.36 24.18 N/A N/A 2,776 3,784 40,696 63,072 2019-08-07 $11.59 $12.25 48.1% 12.1% 33.8% 50.5% 41.5% 16.1% -1.5% -376.7K 6.7M -163.4K 0.64 28.38 N/A N/A 3,376 2,160 41,640 64,592 2019-08-08 $12.08 $12.25 37.5% 10.5% 37.5% 29.9% 41.9% 14.4% 1.3% -247.7K -2.4M -166.2K 0.15 20.16 N/A N/A 5,696 864 42,992 65,480 2019-08-09 $11.96 $12.25 39.9% 11.0% 37.2% 34.7% 40.5% 14.7% 0.0% -225.2K -493.0K -161.0K 0.89 18.91 N/A N/A 2,016 1,800 43,688 65,752 2019-08-12 $11.61 $12.25 57.4% 12.8% 38.1% 67.0% 47.1% 25.5% -1.7% -321.7K 6.6M -157.7K 2.91 35.79 N/A N/A 1,080 3,144 44,072 65,792 2019-08-13 $12.09 $12.25 48.7% 11.2% 41.4% 49.2% 34.1% 22.4% 1.1% -86.8K -4.0M -157.3K 0.47 47.09 N/A N/A 7,496 3,552 43,976 66,576 2019-08-14 $11.40 $12.25 48.3% 13.8% 45.9% 48.3% 49.2% 22.4% -1.8% -341.1K 10.5M -162.5K 1.04 39.39 N/A N/A 4,752 4,928 48,504 68,520 2019-08-15 $11.39 $12.13 46.1% 13.2% 45.9% 43.9% 45.9% 17.7% -1.1% -237.5K 10.1M -160.6K 0.24 38.01 N/A N/A 5,792 1,368 50,048 68,664 2019-08-16 $11.72 $12.00 39.5% 11.3% 47.4% 30.2% 39.0% 14.8% 0.2% -75.7K 2.2M -160.9K 0.51 37.13 N/A N/A 3,816 1,952 50,688 68,776 2019-08-19 $12.09 $12.00 35.6% 10.2% 48.7% 22.4% 35.6% 14.1% 2.3% 45.4K -7.2M -161.6K 0.62 35.95 N/A N/A 4,496 2,792 34,936 55,720 2019-08-20 $11.97 $12.00 37.7% 10.8% 48.5% 26.6% 38.9% 11.7% 0.7% 73.1K -6.4M -167.6K 1.65 32.75 N/A N/A 960 1,584 38,184 57,368 2019-08-21 $12.09 $12.00 36.1% 10.3% 48.3% 23.3% 38.2% 12.8% 1.4% 145.1K -8.6M -165.9K 1.29 31.86 N/A N/A 664 856 38,784 57,920 2019-08-22 $12.07 $12.00 37.1% 10.6% 48.0% 25.3% 39.4% 14.4% 1.1% 132.3K -8.1M -166.1K 1.25 30.41 N/A N/A 640 800 39,048 58,288 2019-08-23 $11.31 $12.00 45.3% 13.0% 51.9% 42.2% 40.3% 14.6% -0.4% -118.3K 3.2M -160.0K 0.70 53.21 N/A N/A 2,808 1,968 39,528 58,648 2019-08-26 $11.50 $12.00 44.8% 12.8% 52.6% 41.1% 43.8% 11.2% -0.9% -68.3K 304.9K -159.8K 0.63 44.66 N/A N/A 3,832 2,400 40,048 58,768 2019-08-27 $11.58 $11.75 44.2% 12.7% 52.8% 40.0% 44.4% 15.4% -2.0% 40.7K -1.6M -165.5K 1.93 42.82 N/A N/A 568 1,096 43,008 60,048 2019-08-28 $11.62 $11.75 43.0% 12.3% 52.7% 37.5% 40.5% 14.8% -0.7% 21.2K -1.6M -165.3K 2.12 44.39 N/A N/A 672 1,424 42,904 60,744 2019-08-29 $11.98 $11.75 37.9% 10.9% 53.9% 27.1% 37.8% 13.9% 0.9% 187.7K -7.6M -166.3K 0.44 39.14 N/A N/A 2,240 976 43,232 62,016 2019-08-30 $11.89 $11.88 40.5% 11.6% 52.4% 31.4% 42.6% 15.3% -0.8% 149.2K -6.3M -166.8K 0.73 44.91 N/A N/A 3,400 2,488 44,064 62,432
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