QLD Options History — April 2020

In April 2020, QLD traded between $10.18 and $14.69. ATM implied volatility averaged 74.3%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded below realized volatility by 36.5% (HV 20d: 110.8%). Max pain ranged from $10.25 to $13.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2020-04-08: Highest Volume — 27,992 contracts
  • 2020-04-02: Largest IV drop — 13.6% change
  • 2020-04-01: Highest IV Rank — 61.6%
  • 2020-04-01: Largest Expected Move — 30.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.96$10.18$14.69$10.18$14.52
Max Pain$11.96$10.25$13.50$13.13$13.50
ATM IV74.3%56.6%104.6%104.6%62.8%
Expected Move21.1%16.2%30.0%30.0%18.0%
HV 20d110.8%73.5%148.5%141.8%73.5%
HV 60d99.4%93.1%102.6%93.1%102.1%
IV Rank39.1%25.8%61.6%61.6%30.5%
IV Percentile88.3%81.0%94.8%94.8%83.3%
Term Structure-4.4%-14.6%8.9%-5.0%3.0%
VWIV73.0%60.0%92.1%92.1%62.1%
Skew 25d24.0%1.4%35.2%32.8%8.5%
Skew 10d42.6%14.9%71.0%71.0%20.6%
Call IV 25d60.9%51.3%96.2%96.2%51.3%
Put IV 25d84.8%58.9%129.0%129.0%59.8%
Bid-Ask Spread %49.8727.9774.0254.8773.03
Gamma HHI0.110.080.160.090.11
Net GEX205.1K-298.5K629.0K-90.0K541.4K
Net DEX-4.7M-34.1M30.5M28.9M-22.8M
Net VEX-260.0K-281.0K-192.5K-198.2K-281.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.148.430.360.96
Total Volume6,826.2861,06427,9929,2641,064
Total OI141,440102,808176,544149,112114,976

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$10.18$13.13104.6%30.0%141.8%61.6%92.1%32.8%-5.0%-90.0K28.9M-198.2K0.3654.87N/AN/A6,8242,44079,16069,952
2020-04-02$10.55$10.2590.3%25.0%142.7%51.0%80.6%35.2%-14.6%-20.4K28.2M-206.3K1.5044.01N/AN/A1,0961,64083,78470,296
2020-04-03$10.20$10.2587.0%23.9%142.5%48.5%80.1%30.5%-9.8%-60.2K30.5M-192.5K0.3952.36N/AN/A1,25649683,97670,248
2020-04-06$11.70$10.2576.6%21.0%148.5%40.8%69.2%31.3%-9.8%190.4K15.6M-234.9K2.3927.97N/AN/A4,44010,63284,12070,256
2020-04-07$12.04$10.6383.2%22.6%147.5%45.7%77.6%27.1%-9.5%77.4K10.8M-261.3K3.5647.42N/AN/A2,1767,73686,84077,552
2020-04-08$12.22$10.6373.8%21.2%145.5%38.7%79.0%31.6%-11.6%-97.5K8.0M-276.0K8.4349.74N/AN/A2,96825,02487,05684,888
2020-04-09$12.32$10.6371.6%20.5%131.1%37.0%64.2%17.6%-8.3%-298.5K11.7M-271.8K0.6167.67N/AN/A1,9681,20087,42488,768
2020-04-13$12.60$10.6372.3%20.7%129.1%37.6%74.9%25.8%-5.3%-227.9K4.7M-263.3K1.0135.90N/AN/A84885688,05688,200
2020-04-14$13.75$10.6368.5%19.6%120.4%34.8%71.2%26.3%-7.9%368.6K-23.6M-274.6K4.6138.44N/AN/A4,42420,37688,32088,224
2020-04-15$13.49$11.2569.9%20.0%120.5%35.8%75.3%20.9%-9.0%411.9K-20.8M-275.1K0.7464.65N/AN/A4,2803,16089,39283,264
2020-04-16$13.83$11.2574.1%21.2%106.6%38.9%72.2%22.3%-7.4%629.0K-27.8M-276.0K0.4641.84N/AN/A5,5842,58491,20882,360
2020-04-17$14.07$12.5069.2%19.8%98.9%35.3%69.9%25.3%-5.1%465.8K-34.1M-275.0K0.6748.72N/AN/A2,8881,93692,76082,488
2020-04-20$13.91$13.1373.2%21.0%90.4%38.2%74.2%17.7%8.9%260.0K-14.6M-276.1K0.3249.98N/AN/A4,1281,33652,48050,328
2020-04-21$12.92$13.2581.8%23.5%94.2%44.7%83.5%31.3%-1.1%193.9K-5.0M-261.4K1.1948.42N/AN/A1,9922,36853,75251,304
2020-04-22$13.66$13.1378.7%22.6%82.4%42.4%83.1%24.2%-4.0%249.0K-11.4M-276.0K0.7245.92N/AN/A1,4961,07253,36852,240
2020-04-23$13.61$13.2574.5%21.3%82.4%39.2%71.8%24.1%-1.5%232.5K-10.3M-272.4K0.5837.98N/AN/A88051253,76853,120
2020-04-24$13.98$13.2566.0%18.9%82.1%32.8%63.5%21.8%0.3%300.8K-14.4M-274.4K0.1434.34N/AN/A1,18416854,10453,456
2020-04-27$14.20$13.2561.9%17.8%81.4%29.8%60.8%22.1%-1.4%372.4K-16.6M-274.0K0.5845.60N/AN/A1,34478454,71253,608
2020-04-28$13.75$13.2564.3%18.4%82.0%31.6%67.6%26.1%3.4%331.7K-12.2M-267.9K1.0264.50N/AN/A78480055,56854,288
2020-04-29$14.69$13.2556.6%16.2%83.9%25.8%60.0%1.4%3.4%477.1K-23.7M-271.2K0.4574.02N/AN/A4,5522,05656,15254,424
2020-04-30$14.52$13.5062.8%18.0%73.5%30.5%62.1%8.5%3.0%541.4K-22.8M-281.0K0.9673.03N/AN/A54452058,89656,080