QLD Options History — February 2020 In February 2020, QLD traded between $13.57 and $18.80. ATM implied volatility averaged 42.0%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 5.7% (HV 20d: 36.3%). Max pain ranged from $15.63 to $17.50. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.12.
Notable Days 2020-02-12 : Highest Volume — 19,856 contracts2020-02-28 : Largest IV spike — 28.0% change2020-02-27 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 26.9%Monthly Statistics Metric Avg Min Max Open Close Price $17.21 $13.57 $18.80 $16.57 $13.57 Max Pain $16.37 $15.63 $17.50 $15.63 $16.38 ATM IV 42.0% 29.9% 93.8% 37.3% 93.8% Expected Move 12.1% 8.9% 26.9% 10.7% 26.9% HV 20d 36.3% 27.9% 56.5% 27.9% 56.5% HV 60d 26.0% 21.4% 38.0% 21.4% 38.0% IV Rank 42.9% 19.0% 100.0% 36.7% 100.0% IV Percentile 69.4% 38.5% 100.0% 76.2% 100.0% Term Structure -2.7% -19.0% 1.9% -1.4% -19.0% VWIV 43.2% 31.1% 87.7% 43.1% 87.7% Skew 25d 14.9% 9.6% 35.0% 13.5% 35.0% Skew 10d 26.2% 18.2% 41.7% 18.2% 40.5% Call IV 25d 35.4% 26.5% 76.1% 30.1% 76.1% Put IV 25d 50.3% 37.0% 111.1% 43.5% 111.1% Bid-Ask Spread % 29.59 17.63 58.04 58.04 54.51 Gamma HHI 0.10 0.05 0.20 0.07 0.07 Net GEX 535.3K -216.9K 1.4M 765.5K -216.9K Net DEX -50.4M -85.7M 21.2M -41.0M 21.2M Net VEX -224.4K -282.7K -157.5K -214.5K -275.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.10 2.82 2.82 0.69 Total Volume 9,309.895 1,728 19,856 6,976 14,976 Total OI 129,035.789 109,240 155,952 109,240 129,608
Daily Data (19 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 2020-02-03 $16.57 $15.63 37.3% 10.7% 27.9% 36.7% 43.1% 13.5% -1.4% 765.5K -41.0M -214.5K 2.82 58.04 N/A N/A 1,824 5,152 51,736 57,504 2020-02-04 $17.36 $15.63 31.4% 9.0% 31.9% 22.6% 39.5% 10.9% 1.8% 748.2K -57.3M -192.7K 0.66 52.02 N/A N/A 5,008 3,328 51,784 60,424 2020-02-05 $17.47 $15.63 31.0% 8.9% 31.9% 21.6% 31.1% 9.6% 1.9% 668.3K -57.7M -187.9K 0.10 37.63 N/A N/A 10,264 1,024 51,232 62,496 2020-02-06 $17.71 $16.25 29.9% 9.4% 31.6% 19.0% 34.9% 11.1% 0.2% 1.4M -69.5M -194.0K 1.78 19.81 N/A N/A 2,744 4,872 58,944 63,008 2020-02-07 $17.62 $16.25 31.8% 9.7% 31.8% 23.5% 34.5% 11.8% 0.2% 1.3M -65.3M -201.2K 0.79 17.63 N/A N/A 968 760 59,624 65,872 2020-02-10 $17.95 $16.25 31.6% 9.6% 32.0% 23.2% 38.8% 12.0% -1.0% 1.3M -73.5M -187.9K 0.31 17.89 N/A N/A 5,720 1,768 59,392 65,824 2020-02-11 $18.05 $16.25 33.7% 9.8% 31.5% 28.0% 34.5% 11.8% -1.1% 806.6K -71.9M -178.4K 0.51 19.31 N/A N/A 3,120 1,592 56,464 67,008 2020-02-12 $18.36 $16.25 31.4% 9.0% 31.7% 22.5% 34.4% 9.9% 0.8% 806.5K -80.4M -157.5K 2.76 22.18 N/A N/A 5,280 14,576 56,912 67,856 2020-02-13 $18.30 $16.25 32.1% 9.2% 31.6% 24.3% 35.0% 9.9% 0.4% 396.8K -74.3M -215.2K 1.47 21.48 N/A N/A 2,176 3,192 57,888 82,072 2020-02-14 $18.37 $16.25 31.7% 9.1% 31.2% 23.2% 35.2% 11.3% 0.8% 369.7K -75.2M -216.8K 1.20 22.77 N/A N/A 1,856 2,224 58,160 82,696 2020-02-18 $18.47 $16.25 33.4% 9.6% 31.2% 27.3% 33.9% 11.3% -2.1% 308.8K -77.7M -212.4K 0.77 19.56 N/A N/A 3,048 2,336 58,728 84,160 2020-02-19 $18.80 $16.25 32.2% 9.2% 31.5% 24.5% 32.5% 10.8% -0.0% 391.6K -85.7M -213.5K 0.46 20.50 N/A N/A 7,344 3,376 60,328 86,112 2020-02-20 $18.43 $16.25 35.4% 10.2% 32.8% 32.2% 37.7% 12.3% -0.3% 184.4K -79.2M -237.4K 2.31 31.24 N/A N/A 3,440 7,936 64,944 87,704 2020-02-21 $17.70 $17.50 40.4% 11.6% 36.4% 44.0% 42.0% 15.5% -0.9% 1.2M -58.8M -260.9K 0.38 19.65 N/A N/A 7,296 2,760 66,072 89,880 2020-02-24 $16.55 $17.50 50.5% 14.5% 43.4% 68.2% 53.8% 19.9% -4.0% 126.6K -17.7M -273.2K 0.78 25.36 N/A N/A 9,848 7,640 49,520 65,792 2020-02-25 $15.59 $17.00 58.5% 16.8% 46.5% 87.2% 49.5% 21.1% -9.7% -67.9K -674.3K -281.3K 1.46 28.66 N/A N/A 5,952 8,704 52,408 70,040 2020-02-26 $15.67 $16.63 58.3% 16.7% 45.0% 86.8% 57.1% 18.6% -8.3% -34.9K -4.7M -282.7K 1.54 26.74 N/A N/A 3,080 4,744 51,944 70,448 2020-02-27 $14.41 $16.63 73.3% 21.0% 53.4% 100.0% 65.4% 27.2% -9.7% -208.5K 11.2M -281.5K 0.45 47.24 N/A N/A 4,784 2,176 53,056 74,040 2020-02-28 $13.57 $16.38 93.8% 26.9% 56.5% 100.0% 87.7% 35.0% -19.0% -216.9K 21.2M -275.4K 0.69 54.51 N/A N/A 8,840 6,136 54,896 74,712
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