QLD Options History — December 2019

In December 2019, QLD traded between $13.61 and $15.37. ATM implied volatility averaged 27.1%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.0% (HV 20d: 19.1%). Max pain ranged from $13.13 to $13.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2019-12-19: Highest Volume — 11,144 contracts
  • 2019-12-30: Largest IV spike — 24.4% change
  • 2019-12-03: Highest IV Rank — 20.9%
  • 2019-12-03: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.56$13.61$15.37$13.90$15.22
Max Pain$13.26$13.13$13.50$13.38$13.50
ATM IV27.1%21.9%33.9%29.1%28.8%
Expected Move7.8%6.3%9.7%8.3%8.3%
HV 20d19.1%16.2%20.9%16.2%17.0%
HV 60d24.1%19.9%25.7%25.4%19.9%
IV Rank8.9%0.0%20.9%11.2%16.1%
IV Percentile16.8%0.0%48.8%21.0%23.4%
Term Structure4.1%0.5%7.4%1.7%1.3%
VWIV29.6%23.0%41.8%34.2%29.8%
Skew 25d9.6%5.7%12.3%10.9%9.1%
Skew 10d20.2%14.5%30.7%30.7%19.2%
Call IV 25d23.6%20.2%28.5%25.6%24.1%
Put IV 25d33.2%28.7%40.7%36.4%33.2%
Bid-Ask Spread %50.1426.5773.0626.5767.34
Gamma HHI0.150.060.760.070.10
Net GEX1.2M429.3K6.1M808.8K505.5K
Net DEX-42.8M-67.2M-21.5M-30.3M-44.8M
Net VEX-156.0K-167.6K-145.1K-152.2K-161.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.027.317.312.02
Total Volume5,344.76253611,1447,1121,208
Total OI127,955.048112,248147,632112,248125,392

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$13.90$13.3829.1%8.3%16.2%11.2%34.2%10.9%1.7%808.8K-30.3M-152.2K7.3126.57N/AN/A8566,25648,54463,704
2019-12-03$13.61$13.3833.9%9.7%17.3%20.9%36.0%12.2%0.5%429.3K-21.5M-166.5K1.6737.73N/AN/A3,2005,33649,05668,584
2019-12-04$13.82$13.3830.3%8.7%18.1%13.6%32.1%11.5%1.2%481.1K-25.2M-166.4K0.4344.26N/AN/A2,6241,13649,20072,832
2019-12-05$13.85$13.1330.8%9.2%17.7%14.6%41.8%11.8%3.0%591.8K-27.1M-167.6K0.1438.95N/AN/A4726450,60072,928
2019-12-06$14.15$13.1327.2%8.5%19.1%7.5%29.1%10.8%3.0%826.5K-35.1M-157.4K0.6939.15N/AN/A2,5201,74450,68072,920
2019-12-09$14.04$13.1331.8%9.0%19.3%16.6%33.0%11.8%4.0%800.5K-32.6M-155.2K0.5237.54N/AN/A1,49678451,02474,504
2019-12-10$13.96$13.1332.2%9.1%19.4%17.4%32.2%12.3%3.6%726.7K-30.7M-158.2K0.0236.49N/AN/A4,64011251,79275,104
2019-12-11$14.12$13.1330.1%8.6%19.7%13.3%31.0%11.9%2.9%922.6K-36.4M-156.0K4.6045.95N/AN/A1,2085,56053,01675,144
2019-12-12$14.34$13.1328.6%8.2%20.3%10.2%28.4%5.7%5.8%1.1M-42.1M-154.0K0.3564.01N/AN/A6,7202,35253,36880,536
2019-12-13$14.44$13.1326.1%7.5%20.3%5.2%26.1%6.5%5.9%1.5M-47.6M-150.6K0.6673.06N/AN/A3,6882,44855,44881,928
2019-12-16$14.71$13.1321.9%6.3%20.9%0.0%24.2%8.5%7.4%1.6M-54.8M-145.1K0.4434.65N/AN/A6,8243,03256,11283,440
2019-12-17$14.73$13.1322.4%6.4%20.9%0.9%23.0%8.6%7.0%1.7M-55.2M-152.6K0.6140.34N/AN/A2,4241,47258,16882,584
2019-12-18$14.79$13.1322.7%6.5%20.9%1.4%28.9%7.9%6.9%1.6M-56.8M-152.6K0.3737.68N/AN/A5,5042,04858,84082,680
2019-12-19$14.92$13.2523.1%6.6%19.7%2.3%27.2%8.8%6.6%2.7M-61.5M-153.7K0.1963.19N/AN/A9,3601,78462,46483,688
2019-12-20$15.04$13.3823.5%6.7%19.6%3.0%25.4%8.4%6.7%6.1M-67.2M-156.9K0.5955.79N/AN/A2,1201,25662,80884,824
2019-12-23$15.13$13.3824.3%7.0%19.5%4.6%26.6%8.1%3.6%751.1K-46.5M-148.2K2.1958.20N/AN/A1,1922,61646,76069,088
2019-12-24$15.13$13.3824.3%7.0%18.3%4.6%25.1%9.3%3.7%616.5K-43.5M-159.4K0.5253.74N/AN/A89646447,04071,440
2019-12-26$15.37$13.3822.0%6.3%18.7%0.1%24.8%8.5%5.5%596.1K-49.0M-146.6K0.5765.46N/AN/A1,29674447,24872,088
2019-12-27$15.35$13.3824.6%7.1%18.6%5.3%31.1%9.0%5.0%530.9K-47.4M-154.9K0.1368.74N/AN/A5,62472847,79272,616
2019-12-30$15.17$13.3830.7%8.8%19.0%19.0%32.3%10.2%1.1%546.1K-43.8M-159.0K1.1764.07N/AN/A3,8884,54447,88073,192
2019-12-31$15.22$13.5028.8%8.3%17.0%16.1%29.8%9.1%1.3%505.5K-44.8M-161.9K2.0267.34N/AN/A40080848,87276,520