QLD Options History — March 2020 In March 2020, QLD traded between $8.95 and $15.53. ATM implied volatility averaged 107.3%, placing in the 77.8% IV rank vs the trailing year. The 30-day expected move averaged 29.9%. IV traded below realized volatility by 2.3% (HV 20d: 109.6%). Max pain ranged from $13.13 to $16.25. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2020-03-17 : Highest Volume — 47,696 contracts2020-03-05 : Largest IV spike — 43.7% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 44.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.73 $8.95 $15.53 $15.13 $11.23 Max Pain $14.14 $13.13 $16.25 $16.25 $13.13 ATM IV 107.3% 61.7% 156.0% 67.2% 89.9% Expected Move 29.9% 17.7% 44.7% 19.3% 25.8% HV 20d 109.6% 69.1% 148.0% 69.8% 140.9% HV 60d 69.7% 43.9% 91.1% 43.9% 91.1% IV Rank 77.8% 50.7% 100.0% 63.0% 50.7% IV Percentile 98.3% 92.9% 100.0% 99.2% 92.9% Term Structure -20.1% -48.3% -3.0% -3.1% -3.0% VWIV 98.6% 62.1% 143.9% 71.6% 97.2% Skew 25d 38.7% 22.1% 55.0% 43.9% 33.2% Skew 10d 63.9% 21.5% 91.4% 52.5% 84.1% Call IV 25d 83.2% 46.1% 118.1% 47.2% 78.3% Put IV 25d 121.9% 75.4% 167.6% 91.1% 111.4% Bid-Ask Spread % 54.39 37.54 75.71 70.75 61.42 Gamma HHI 0.09 0.05 0.12 0.05 0.09 Net GEX -37.4K -173.2K 203.9K -77.4K -17.2K Net DEX 25.5M -8.3M 46.8M 3.8M 21.0M Net VEX -244.3K -338.6K -140.3K -282.4K -227.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.09 3.30 0.62 0.18 Total Volume 12,017.091 3,456 47,696 13,256 4,072 Total OI 154,919.636 131,824 180,776 133,992 147,144
Daily Data (22 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 2020-03-02 $15.13 $16.25 67.2% 19.3% 69.8% 63.0% 71.6% 43.9% -3.1% -77.4K 3.8M -282.4K 0.62 70.75 N/A N/A 8,168 5,088 58,184 75,808 2020-03-03 $14.77 $16.25 77.3% 22.1% 69.1% 77.0% 69.6% 26.8% -14.2% -145.7K 8.0M -296.9K 0.12 64.75 N/A N/A 17,864 2,152 58,840 79,120 2020-03-04 $15.53 $16.13 61.7% 17.7% 69.5% 55.3% 62.1% 29.3% -9.4% 203.9K -8.3M -338.6K 0.14 58.39 N/A N/A 15,448 2,112 71,840 79,960 2020-03-05 $14.72 $14.38 88.7% 20.4% 71.4% 92.9% 67.6% 28.6% -13.3% -83.0K 5.6M -314.8K 0.90 46.28 N/A N/A 2,952 2,648 63,528 80,368 2020-03-06 $14.11 $14.38 94.6% 22.4% 71.8% 100.0% 73.1% 35.8% -13.4% -128.8K 18.2M -300.8K 0.52 60.73 N/A N/A 5,296 2,776 64,232 80,816 2020-03-09 $12.73 $14.38 118.6% 29.0% 78.7% 100.0% 85.6% 37.9% -30.6% -173.2K 29.9M -269.4K 1.92 45.19 N/A N/A 10,624 20,440 65,968 81,272 2020-03-10 $13.42 $14.38 103.6% 26.1% 81.7% 84.5% 89.8% 33.3% -21.3% -118.5K 25.1M -313.8K 0.12 45.38 N/A N/A 11,560 1,392 74,984 86,968 2020-03-11 $12.50 $14.38 96.0% 27.5% 83.7% 76.6% 80.7% 31.8% -23.1% 6.7K 28.3M -299.6K 0.55 47.15 N/A N/A 8,104 4,456 81,488 86,792 2020-03-12 $10.54 $14.38 120.7% 34.6% 98.3% 100.0% 101.8% 33.0% -36.7% -88.1K 42.0M -229.7K 3.30 50.40 N/A N/A 3,512 11,600 86,528 85,504 2020-03-13 $11.32 $14.38 106.9% 30.7% 104.1% 86.0% 123.1% 42.0% -30.2% -150.3K 46.8M -265.7K 2.43 51.78 N/A N/A 4,272 10,384 87,928 92,848 2020-03-16 $9.86 $14.38 148.8% 42.7% 111.1% 100.0% 130.2% 47.5% -48.3% -103.5K 44.9M -226.3K 1.25 54.77 N/A N/A 5,488 6,872 89,952 89,648 2020-03-17 $10.33 $13.75 131.6% 37.7% 113.7% 86.5% 128.0% 54.7% -37.7% -112.6K 44.3M -226.6K 0.74 50.09 N/A N/A 27,472 20,224 90,944 87,288 2020-03-18 $9.01 $13.75 156.0% 44.7% 118.5% 100.0% 143.9% 49.5% -39.0% -12.2K 38.6M -179.2K 0.64 58.57 N/A N/A 4,984 3,176 100,400 77,584 2020-03-19 $10.23 $13.75 127.6% 36.6% 132.1% 78.8% 123.0% 55.0% -27.9% 60.9K 35.5M -213.1K 0.42 50.61 N/A N/A 3,200 1,352 102,088 77,632 2020-03-20 $9.30 $13.75 113.3% 32.5% 134.2% 68.2% 92.9% 35.8% -22.9% 90.3K 41.9M -163.6K 0.77 74.54 N/A N/A 3,848 2,952 103,080 76,032 2020-03-23 $8.95 $13.75 113.0% 32.4% 133.6% 67.9% 98.0% 42.7% -11.9% -100.9K 32.8M -140.3K 0.36 75.71 N/A N/A 3,728 1,336 69,640 62,184 2020-03-24 $10.37 $13.13 106.1% 30.4% 147.2% 62.8% 107.0% 22.1% -9.0% -27.2K 25.8M -189.0K 0.42 47.63 N/A N/A 3,064 1,280 71,984 62,400 2020-03-25 $10.66 $13.13 110.3% 31.6% 148.0% 65.9% 111.9% 31.6% -6.2% 24.3K 19.8M -213.2K 0.60 48.91 N/A N/A 4,016 2,392 73,152 62,776 2020-03-26 $11.07 $13.13 108.8% 31.2% 147.2% 64.8% 106.4% 47.9% -15.0% 25.8K 20.4M -224.9K 0.66 51.97 N/A N/A 2,600 1,704 74,096 64,760 2020-03-27 $10.88 $13.13 117.1% 33.6% 146.2% 71.0% 100.9% 47.5% -13.5% 30.0K 18.9M -225.7K 0.09 43.95 N/A N/A 3,176 280 74,632 65,368 2020-03-30 $11.39 $13.13 103.1% 29.6% 140.9% 60.6% 105.9% 41.0% -12.3% 74.0K 17.6M -233.9K 2.55 37.54 N/A N/A 1,776 4,536 76,776 65,696 2020-03-31 $11.23 $13.13 89.9% 25.8% 140.9% 50.7% 97.2% 33.2% -3.0% -17.2K 21.0M -227.9K 0.18 61.42 N/A N/A 3,456 616 77,384 69,760
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