QLD Options History — January 2020

In January 2020, QLD traded between $15.51 and $16.96. ATM implied volatility averaged 30.0%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 11.3% (HV 20d: 18.7%). Max pain ranged from $13.50 to $15.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-01-27: Highest Volume — 14,224 contracts
  • 2020-01-24: Largest IV spike — 15.6% change
  • 2020-01-31: Highest IV Rank — 42.9%
  • 2020-01-31: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.28$15.51$16.96$15.67$16.09
Max Pain$15.11$13.50$15.50$13.50$15.50
ATM IV30.0%25.3%39.9%25.7%39.9%
Expected Move8.8%7.4%11.4%7.4%11.4%
HV 20d18.7%15.3%26.4%16.3%26.4%
HV 60d18.7%17.3%20.7%20.5%20.7%
IV Rank19.3%7.9%42.9%8.9%42.9%
IV Percentile33.5%4.8%86.1%5.2%86.1%
Term Structure1.1%-1.4%3.1%3.1%-1.1%
VWIV32.8%29.0%42.2%29.1%42.2%
Skew 25d10.8%6.9%14.9%6.9%14.9%
Skew 10d20.2%12.8%30.2%12.8%30.2%
Call IV 25d26.3%22.8%32.9%22.8%32.9%
Put IV 25d37.1%29.7%47.8%29.7%47.8%
Bid-Ask Spread %32.214.3676.3971.1040.20
Gamma HHI0.090.060.180.110.06
Net GEX779.7K403.5K1.7M529.4K534.7K
Net DEX-54.1M-79.1M-27.6M-53.9M-28.7M
Net VEX-172.1K-216.6K-145.8K-145.8K-216.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.142.250.240.71
Total Volume6,587.4291,23214,2246,8007,720
Total OI120,798.09581,472150,552125,800103,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$15.67$13.5025.7%7.4%16.3%8.9%29.1%6.9%3.1%529.4K-53.9M-145.8K0.2471.10N/AN/A5,4641,33648,90476,896
2020-01-03$15.51$13.5027.4%7.8%17.1%13.0%29.5%8.9%3.0%693.3K-53.5M-157.9K0.3876.39N/AN/A5,0001,88052,34477,416
2020-01-06$15.60$15.1328.6%8.8%17.0%15.9%32.9%10.2%1.3%751.2K-56.3M-160.2K0.684.36N/AN/A3,8962,64854,77679,024
2020-01-07$15.68$15.1328.1%8.8%15.9%14.6%31.6%11.4%1.8%711.7K-57.5M-158.0K0.1419.87N/AN/A5,70479254,81680,320
2020-01-08$15.98$15.1325.6%8.3%15.9%8.8%30.5%10.4%0.7%935.1K-66.2M-154.1K0.2416.90N/AN/A4,4641,08057,08880,600
2020-01-09$16.12$15.1325.3%8.2%15.3%7.9%33.0%10.3%1.4%902.7K-68.7M-152.6K0.4718.50N/AN/A5,4082,53657,83281,912
2020-01-10$16.05$15.1326.2%8.6%15.7%10.1%29.0%10.6%0.7%1.0M-67.8M-158.2K0.1725.61N/AN/A8,2881,37659,51283,600
2020-01-13$16.38$15.1328.0%8.4%16.1%14.3%31.2%10.4%2.2%1.7M-79.1M-154.6K0.1720.70N/AN/A6,3681,11264,36084,232
2020-01-14$16.34$15.1329.2%8.6%16.4%17.3%33.1%10.6%1.8%978.0K-73.5M-153.6K2.2519.43N/AN/A2,0004,50460,57684,728
2020-01-15$16.25$15.1329.7%8.5%16.3%18.6%31.2%10.4%1.9%904.7K-70.7M-160.6K0.7329.58N/AN/A3,3922,48061,64887,248
2020-01-16$16.57$15.1328.0%8.0%17.0%14.4%31.2%9.3%0.9%928.3K-75.3M-160.1K0.6433.24N/AN/A4,1442,64861,44089,112
2020-01-17$16.74$15.1326.8%7.7%17.1%11.5%30.0%8.3%2.8%784.2K-74.8M-154.8K0.5331.54N/AN/A5,9843,16859,62490,024
2020-01-21$16.78$15.2528.4%8.2%17.1%15.5%31.4%9.1%2.3%699.9K-42.1M-168.5K0.8632.93N/AN/A3,6883,16840,85640,616
2020-01-22$16.87$15.3828.9%8.3%17.1%16.7%33.3%8.9%1.8%749.9K-44.6M-176.7K1.5427.85N/AN/A1,7922,76043,51242,864
2020-01-23$16.96$15.5029.0%8.3%17.1%16.9%29.4%8.9%0.9%736.7K-45.5M-181.5K1.7627.09N/AN/A1,3122,30444,30444,728
2020-01-24$16.64$15.5033.5%9.6%19.1%27.7%37.1%11.8%-0.1%661.5K-38.6M-193.5K0.7433.20N/AN/A3,0082,21644,94446,960
2020-01-27$16.01$15.5038.0%10.9%24.1%38.5%36.6%14.9%-1.4%474.7K-27.6M-198.9K0.7224.85N/AN/A8,2885,93645,04048,440
2020-01-28$16.50$15.5034.6%9.9%26.0%30.3%36.6%13.6%-0.3%403.5K-34.4M-197.7K0.3135.92N/AN/A4,2081,32044,12853,472
2020-01-29$16.55$15.5034.9%10.0%25.3%31.0%34.4%13.9%-0.2%574.6K-38.6M-203.7K0.9340.57N/AN/A1,9281,78447,32054,088
2020-01-30$16.58$15.5034.8%10.0%25.4%30.7%35.9%12.6%0.1%704.4K-37.7M-205.6K0.6046.55N/AN/A76846448,53654,928
2020-01-31$16.09$15.5039.9%11.4%26.4%42.9%42.2%14.9%-1.1%534.7K-28.7M-216.6K0.7140.20N/AN/A4,5203,20048,80855,184