QLD Options History — September 2019

In September 2019, QLD traded between $11.71 and $12.71. ATM implied volatility averaged 34.4%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 2.6% (HV 20d: 37.0%). Max pain ranged from $11.50 to $11.88. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2019-09-16: Highest Volume — 7,912 contracts
  • 2019-09-05: Largest IV drop — 23.5% change
  • 2019-09-03: Highest IV Rank — 38.7%
  • 2019-09-03: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.31$11.71$12.71$11.71$12.09
Max Pain$11.69$11.50$11.88$11.88$11.88
ATM IV34.4%30.3%44.0%44.0%37.4%
Expected Move10.0%9.0%12.6%12.6%10.7%
HV 20d37.0%25.4%47.7%46.1%30.5%
HV 60d36.3%35.6%36.9%35.7%36.9%
IV Rank18.6%10.2%38.7%38.7%24.8%
IV Percentile39.3%26.6%67.5%67.5%48.0%
Term Structure1.9%-1.8%4.6%-1.8%0.2%
VWIV36.2%30.7%44.9%44.9%36.8%
Skew 25d12.8%7.6%20.0%15.6%11.4%
Skew 10d25.1%12.2%33.2%27.8%22.2%
Call IV 25d29.4%25.8%36.7%36.7%31.0%
Put IV 25d42.2%37.9%52.3%52.3%42.4%
Bid-Ask Spread %61.0443.2988.6744.9861.65
Gamma HHI0.140.070.310.070.09
Net GEX642.9K8.4K1.9M17.6K186.9K
Net DEX-16.3M-29.9M-2.8M-2.8M-8.1M
Net VEX-146.6K-161.3K-137.8K-156.2K-140.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.232.240.510.27
Total Volume4,092.82,0167,9122,0882,016
Total OI109,177.690,608122,984106,136101,048

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$11.71$11.8844.0%12.6%46.1%38.7%44.9%15.6%-1.8%17.6K-2.8M-156.2K0.5144.98N/AN/A1,38470443,67262,464
2019-09-04$12.03$11.7539.6%11.4%46.3%29.6%41.6%14.0%-1.2%223.7K-9.3M-161.3K0.6855.27N/AN/A2,0481,39244,24062,456
2019-09-05$12.46$11.5030.3%10.0%47.7%10.2%35.3%14.5%1.8%555.4K-19.1M-153.5K0.2364.20N/AN/A3,32076044,77661,704
2019-09-06$12.47$11.6330.4%9.5%45.6%10.3%33.8%13.1%2.7%637.1K-20.4M-153.8K0.8543.29N/AN/A1,1921,01646,13661,936
2019-09-09$12.36$11.6333.0%9.6%45.5%15.6%34.9%13.7%3.0%627.3K-17.4M-149.1K0.5146.79N/AN/A4,9682,55246,44062,120
2019-09-10$12.22$11.6334.8%10.6%44.3%19.5%37.1%13.1%-0.9%656.8K-15.6M-151.6K0.9545.60N/AN/A1,0801,02450,13664,280
2019-09-11$12.48$11.6332.9%9.4%42.6%15.5%33.0%11.9%2.4%937.1K-23.2M-150.9K0.5351.90N/AN/A1,85697650,24064,776
2019-09-12$12.71$11.6332.5%9.3%36.6%14.8%34.8%12.6%1.4%1.1M-29.9M-146.0K0.8264.83N/AN/A1,3441,09651,12865,008
2019-09-13$12.57$11.6332.5%9.3%37.0%14.6%35.0%11.7%1.7%1.1M-25.5M-146.7K0.5054.09N/AN/A2,6401,31251,32065,208
2019-09-16$12.43$11.5034.0%9.8%36.3%17.9%34.1%12.6%2.0%908.7K-21.7M-144.8K2.2454.79N/AN/A2,4405,47251,71266,144
2019-09-17$12.54$11.5033.8%9.7%34.9%17.4%37.5%11.6%2.2%1.1M-23.6M-152.7K1.8558.19N/AN/A1,0882,01652,13670,848
2019-09-18$12.54$11.5031.9%9.1%34.6%13.4%38.6%11.0%3.3%986.6K-23.4M-144.0K1.4288.67N/AN/A3,0484,33652,48870,184
2019-09-19$12.60$11.6331.8%9.1%34.5%13.2%30.7%10.7%3.1%1.9M-28.6M-139.4K0.2476.09N/AN/A5,0161,19252,26469,576
2019-09-20$12.34$11.6332.6%9.3%35.4%14.8%35.4%20.0%3.3%962.0K-16.6M-141.1K0.6972.06N/AN/A2,4641,71250,47269,976
2019-09-23$12.37$11.7531.5%9.0%25.4%12.6%32.8%11.3%3.9%358.0K-12.4M-137.9K1.3865.49N/AN/A1,9122,64835,92854,680
2019-09-24$11.96$11.8837.7%10.8%28.2%25.6%35.6%7.6%3.7%121.3K-6.0M-137.8K0.3072.30N/AN/A3,3121,00036,79257,096
2019-09-25$12.29$11.8832.2%9.2%29.5%14.1%39.2%14.4%4.6%290.9K-10.9M-141.0K2.1264.31N/AN/A1,2642,68037,80857,776
2019-09-26$12.19$11.8835.9%10.3%29.7%21.8%35.4%11.7%1.4%220.4K-9.6M-139.3K0.3169.05N/AN/A2,74484038,24060,192
2019-09-27$11.84$11.8838.9%11.2%29.8%28.1%38.0%14.0%0.9%8.4K-2.9M-144.8K0.4967.31N/AN/A2,6801,31239,32060,832
2019-09-30$12.09$11.8837.4%10.7%30.5%24.8%36.8%11.4%0.2%186.9K-8.1M-140.8K0.2761.65N/AN/A1,58443239,94461,104