QLD Options History — November 2019

In November 2019, QLD traded between $13.30 and $14.28. ATM implied volatility averaged 26.5%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 7.9% (HV 20d: 18.6%). Max pain ranged from $12.25 to $13.38. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2019-11-13: Highest Volume — 8,064 contracts
  • 2019-11-11: Largest IV spike — 11.7% change
  • 2019-11-13: Highest IV Rank — 12.4%
  • 2019-11-05: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.75$13.30$14.28$13.30$14.17
Max Pain$12.81$12.25$13.38$12.25$13.38
ATM IV26.5%23.5%29.7%25.9%26.5%
Expected Move7.9%7.0%8.7%7.4%7.6%
HV 20d18.6%14.4%26.1%26.0%14.9%
HV 60d29.4%25.0%35.1%35.1%25.0%
IV Rank5.0%0.0%12.4%0.7%6.0%
IV Percentile4.6%0.0%20.6%0.8%6.3%
Term Structure1.7%0.5%3.9%3.9%2.1%
VWIV29.8%25.9%34.6%29.6%28.0%
Skew 25d9.0%6.4%11.4%6.4%8.7%
Skew 10d17.4%12.7%27.0%12.7%17.7%
Call IV 25d24.1%21.0%26.3%23.1%23.1%
Put IV 25d33.1%29.0%37.5%29.6%31.7%
Bid-Ask Spread %33.1319.9752.4252.4245.29
Gamma HHI0.080.070.110.070.08
Net GEX1.1M709.7K1.4M1.2M977.5K
Net DEX-37.9M-49.0M-27.6M-33.1M-36.9M
Net VEX-147.1K-161.8K-140.0K-144.7K-146.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.106.380.246.38
Total Volume3,533.21,0888,0645,5282,304
Total OI109,717.297,208118,032106,816110,656

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$13.30$12.2525.9%7.4%26.0%0.7%29.6%6.4%3.9%1.2M-33.1M-144.7K0.2452.42N/AN/A4,4401,08847,97658,840
2019-11-04$13.51$12.5027.2%8.5%26.1%3.5%32.4%9.2%0.7%1.2M-39.0M-140.0K0.3435.84N/AN/A2,84097649,83259,360
2019-11-05$13.55$12.3827.7%8.7%22.6%4.4%32.6%9.3%0.5%1.1M-39.8M-143.9K0.1019.97N/AN/A1,99220850,53659,336
2019-11-06$13.44$12.3826.1%8.6%22.9%1.2%30.8%9.0%0.7%1.3M-37.8M-145.8K0.3720.14N/AN/A2,64097651,11259,448
2019-11-07$13.51$12.3826.2%8.5%22.9%1.5%32.3%11.4%0.9%1.4M-40.3M-146.2K0.2330.35N/AN/A4,24897652,54459,376
2019-11-08$13.63$12.3823.5%8.2%20.2%0.0%34.6%8.8%1.7%1.4M-43.0M-143.8K1.2838.18N/AN/A68888052,92859,064
2019-11-11$13.60$12.3826.2%8.3%19.9%5.5%29.4%8.9%1.3%1.3M-43.2M-143.5K1.0528.02N/AN/A1,3121,37653,03259,792
2019-11-12$13.67$12.3827.2%8.4%18.4%7.4%29.2%8.8%1.1%1.2M-45.6M-142.8K0.1526.70N/AN/A2,98445654,13660,656
2019-11-13$13.68$12.3829.7%8.5%18.0%12.4%29.0%9.0%0.9%1.1M-45.3M-142.6K0.3127.50N/AN/A6,1361,92854,16061,016
2019-11-14$13.68$12.3828.7%8.2%18.0%10.5%32.6%8.7%1.8%1.1M-45.0M-144.8K1.0229.39N/AN/A2,0562,09655,00061,480
2019-11-15$13.81$12.6326.1%7.5%16.7%5.2%27.6%7.9%1.7%1.3M-49.0M-141.2K0.6230.28N/AN/A2,9681,84055,80862,224
2019-11-18$13.89$12.8826.5%7.6%16.5%6.0%27.6%8.1%1.9%998.1K-33.7M-144.0K4.0731.30N/AN/A1,1844,82443,64853,560
2019-11-19$13.96$13.3826.1%7.5%15.0%5.3%29.5%8.6%2.1%794.0K-32.8M-153.5K1.5926.21N/AN/A9681,54444,45658,080
2019-11-20$13.73$13.3828.0%8.0%16.9%8.9%29.5%10.3%1.8%709.7K-27.6M-156.0K0.7537.78N/AN/A1,5601,17644,41659,496
2019-11-21$13.70$13.3826.2%7.5%16.4%5.4%25.9%10.8%1.8%741.0K-28.3M-155.4K0.3052.04N/AN/A3,14494445,22460,168
2019-11-22$13.70$13.3827.1%7.8%15.7%7.1%32.1%10.2%2.6%796.6K-27.8M-161.8K1.8328.47N/AN/A38470448,11260,912
2019-11-25$14.03$13.3825.8%7.4%15.9%4.6%28.6%9.0%2.4%927.5K-34.4M-153.6K0.9635.75N/AN/A1,6881,61648,08861,536
2019-11-26$14.12$13.3824.7%7.1%14.4%2.4%27.9%8.4%2.7%922.5K-35.6M-146.3K0.6643.43N/AN/A76850447,68061,112
2019-11-27$14.28$13.3824.5%7.0%14.5%2.1%26.9%8.0%2.0%1.0M-39.4M-144.6K1.7023.52N/AN/A8321,41648,07261,472
2019-11-29$14.17$13.3826.5%7.6%14.9%6.0%28.0%8.7%2.1%977.5K-36.9M-146.6K6.3845.29N/AN/A3121,99248,42462,232