QLD Options History — October 2019 In October 2019, QLD traded between $11.50 and $13.19. ATM implied volatility averaged 34.4%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 1.9% (HV 20d: 32.5%). Max pain ranged from $11.25 to $12.25. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.88.
Notable Days 2019-10-11 : Highest Volume — 11,136 contracts2019-10-11 : Largest IV drop — 12.7% change2019-10-02 : Highest IV Rank — 40.0%2019-10-02 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $12.42 $11.50 $13.19 $11.92 $13.06 Max Pain $11.71 $11.25 $12.25 $11.88 $12.25 ATM IV 34.4% 27.6% 44.7% 39.8% 29.7% Expected Move 9.8% 7.9% 12.8% 11.4% 8.5% HV 20d 32.5% 27.4% 35.7% 30.4% 27.4% HV 60d 38.4% 35.8% 39.6% 36.9% 35.8% IV Rank 18.4% 4.3% 40.0% 29.8% 8.7% IV Percentile 35.1% 4.4% 68.7% 57.1% 17.5% Term Structure 1.5% -1.5% 6.5% -1.0% 2.4% VWIV 34.8% 23.9% 46.9% 35.0% 31.1% Skew 25d 11.9% 5.7% 17.2% 14.8% 8.3% Skew 10d 22.5% 12.6% 33.7% 32.5% 15.3% Call IV 25d 28.9% 24.4% 36.9% 33.1% 25.8% Put IV 25d 40.9% 30.6% 51.6% 47.9% 34.1% Bid-Ask Spread % 39.57 22.21 68.93 63.42 46.23 Gamma HHI 0.13 0.06 0.70 0.08 0.07 Net GEX 928.8K -132.7K 4.9M 112.0K 1.1M Net DEX -17.5M -32.4M 1.4M -5.0M -27.4M Net VEX -137.4K -152.0K -126.7K -142.1K -152.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.18 2.88 0.21 1.13 Total Volume 4,549.217 1,072 11,136 3,128 1,072 Total OI 104,730.087 82,120 120,736 101,808 106,232
Daily Data (23 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 2019-10-01 $11.92 $11.88 39.8% 11.4% 30.4% 29.8% 35.0% 14.8% -1.0% 112.0K -5.0M -142.1K 0.21 63.42 N/A N/A 2,576 552 40,520 61,288 2019-10-02 $11.50 $11.88 44.7% 12.8% 31.5% 40.0% 46.9% 14.9% -1.5% -132.7K 1.4M -137.5K 1.50 49.39 N/A N/A 2,456 3,688 41,112 61,664 2019-10-03 $11.70 $11.25 41.0% 10.8% 29.2% 32.2% 39.6% 12.6% 6.5% 7.4K -1.4M -140.5K 0.78 58.80 N/A N/A 1,560 1,216 41,392 61,760 2019-10-04 $12.08 $11.25 36.7% 10.7% 31.8% 23.3% 38.8% 15.6% 0.4% 295.7K -9.3M -138.5K 0.34 22.25 N/A N/A 3,336 1,128 42,088 62,328 2019-10-07 $12.05 $11.25 40.9% 11.2% 31.7% 32.1% 38.7% 14.3% -0.6% 335.5K -10.1M -135.6K 0.69 22.21 N/A N/A 1,680 1,160 44,200 62,480 2019-10-08 $11.70 $11.25 41.2% 12.5% 33.1% 32.6% 44.2% 14.2% 1.3% 149.7K -4.6M -139.2K 2.88 40.07 N/A N/A 864 2,488 45,256 63,336 2019-10-09 $11.91 $11.25 41.2% 11.8% 32.7% 32.7% 39.6% 15.1% -0.6% 201.2K -7.0M -136.3K 0.40 31.65 N/A N/A 2,616 1,048 45,296 64,352 2019-10-10 $12.03 $11.50 39.8% 11.4% 32.2% 29.9% 38.6% 16.6% -0.7% 287.0K -8.7M -133.8K 0.88 25.41 N/A N/A 928 816 45,344 64,304 2019-10-11 $12.46 $11.50 34.8% 10.0% 34.6% 19.3% 35.7% 17.2% 1.1% 764.4K -20.2M -126.7K 0.50 41.44 N/A N/A 7,440 3,696 45,544 64,688 2019-10-14 $12.37 $11.63 35.6% 10.2% 34.5% 21.0% 39.5% 14.4% 0.3% 996.4K -19.3M -132.6K 0.63 53.90 N/A N/A 1,944 1,232 50,200 66,360 2019-10-15 $12.68 $11.63 31.9% 9.1% 35.5% 13.3% 34.4% 11.3% 2.0% 1.5M -29.3M -128.9K 0.59 31.32 N/A N/A 4,400 2,584 50,968 66,384 2019-10-16 $12.59 $11.38 31.4% 9.0% 35.6% 12.2% 36.8% 11.5% 2.8% 1.5M -27.7M -131.1K 0.57 32.06 N/A N/A 2,544 1,456 51,944 66,488 2019-10-17 $12.68 $11.50 31.3% 9.0% 35.7% 12.1% 31.5% 10.9% 3.1% 1.5M -31.4M -129.8K 1.06 36.22 N/A N/A 3,360 3,568 52,832 66,864 2019-10-18 $12.49 $11.75 31.9% 9.1% 35.3% 13.2% 32.9% 11.6% 3.0% 4.9M -23.4M -129.4K 1.05 33.95 N/A N/A 3,776 3,952 52,792 67,944 2019-10-21 $12.63 $11.88 30.6% 8.8% 35.5% 10.5% 30.9% 10.7% 2.5% 715.4K -16.6M -131.1K 0.45 37.33 N/A N/A 3,480 1,552 35,792 46,328 2019-10-22 $12.46 $12.00 31.7% 9.1% 33.7% 12.9% 31.2% 10.5% 1.5% 830.0K -15.8M -133.6K 0.39 30.25 N/A N/A 2,440 952 39,176 47,736 2019-10-23 $12.47 $12.00 31.1% 8.9% 32.4% 11.7% 31.0% 10.7% 2.6% 808.9K -14.9M -139.8K 1.00 28.90 N/A N/A 1,928 1,928 40,728 50,192 2019-10-24 $12.70 $12.00 29.3% 8.4% 32.7% 7.9% 28.8% 9.4% 2.1% 899.2K -19.2M -139.0K 0.18 40.15 N/A N/A 1,840 328 40,888 51,632 2019-10-25 $12.91 $12.00 28.0% 8.0% 31.0% 5.1% 30.3% 8.2% 2.7% 1.1M -23.9M -139.7K 0.23 22.45 N/A N/A 5,344 1,224 42,536 51,720 2019-10-28 $13.19 $12.00 27.6% 7.9% 31.1% 4.3% 30.7% 8.1% 2.6% 1.2M -32.4M -144.1K 1.75 47.84 N/A N/A 1,920 3,360 47,184 51,752 2019-10-29 $12.99 $12.13 29.7% 8.5% 31.3% 8.8% 31.2% 8.0% 1.9% 1.2M -27.6M -149.8K 2.31 45.86 N/A N/A 1,352 3,120 47,792 54,256 2019-10-30 $13.10 $12.25 30.3% 8.7% 27.5% 10.0% 23.9% 5.7% 1.0% 1.1M -28.4M -148.7K 0.77 68.93 N/A N/A 2,672 2,056 48,360 56,760 2019-10-31 $13.06 $12.25 29.7% 8.5% 27.4% 8.7% 31.1% 8.3% 2.4% 1.1M -27.4M -152.0K 1.13 46.23 N/A N/A 504 568 47,792 58,440
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