QLD Options History — May 2020

In May 2020, QLD traded between $13.76 and $16.42. ATM implied volatility averaged 55.2%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 1.3% (HV 20d: 56.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2020-05-28: Highest Volume — 11,032 contracts
  • 2020-05-11: Largest IV spike — 39.3% change
  • 2020-05-04: Highest IV Rank — 34.3%
  • 2020-05-13: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.31$13.76$16.42$13.76$16.42
Max Pain$14.21$12.50$15.00$13.50$15.00
ATM IV55.2%41.9%68.0%56.5%45.6%
Expected Move15.9%13.1%19.0%16.2%13.1%
HV 20d56.5%42.7%77.3%77.3%42.7%
HV 60d102.1%97.4%104.2%102.6%97.4%
IV Rank24.8%14.9%34.3%25.8%17.6%
IV Percentile77.9%70.6%84.9%80.2%70.6%
Term Structure1.5%-5.2%9.7%9.7%6.7%
VWIV56.7%49.9%69.6%57.5%49.9%
Skew 25d18.4%6.6%26.0%26.0%7.5%
Skew 10d33.6%20.1%45.4%30.6%25.2%
Call IV 25d46.5%41.3%52.6%52.6%46.8%
Put IV 25d64.9%53.0%78.7%78.7%54.3%
Bid-Ask Spread %41.0414.7787.5587.5567.58
Gamma HHI0.110.090.320.120.11
Net GEX718.3K448.3K1.6M448.3K588.0K
Net DEX-34.5M-51.1M-12.8M-12.8M-44.3M
Net VEX-278.0K-289.1K-267.7K-271.7K-267.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.092.641.321.14
Total Volume4,710.81,29611,0323,8961,712
Total OI125,383.2115,200134,184115,312132,760

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$13.76$13.5056.5%16.2%77.3%25.8%57.5%26.0%9.7%448.3K-12.8M-271.7K1.3287.55N/AN/A1,6802,21659,10456,208
2020-05-04$14.05$12.5068.0%18.7%75.3%34.3%69.6%24.5%-0.6%489.2K-15.4M-270.5K0.3714.77N/AN/A1,68062458,59256,952
2020-05-05$14.36$12.5059.5%17.7%60.4%28.0%60.6%23.2%-0.7%608.7K-22.6M-272.3K0.2022.53N/AN/A8,0401,62458,98457,184
2020-05-06$14.61$12.5060.7%17.7%60.1%28.9%66.8%22.5%-1.6%705.9K-29.4M-284.0K0.2632.57N/AN/A2,17656064,63258,120
2020-05-07$14.91$13.0058.5%17.2%60.2%27.3%56.3%20.7%0.0%842.3K-35.3M-286.2K0.6919.85N/AN/A2,3121,60065,92858,496
2020-05-08$15.32$13.2541.9%15.2%60.5%14.9%53.8%18.7%3.1%962.1K-42.6M-281.5K0.6524.55N/AN/A2,1601,40867,15259,552
2020-05-11$15.68$14.3858.4%15.1%60.5%27.2%53.8%17.1%1.9%999.3K-51.1M-276.0K1.3329.23N/AN/A3,5364,72067,96860,160
2020-05-12$15.16$14.5057.2%16.0%55.3%26.3%57.7%20.2%2.5%900.2K-40.2M-282.0K1.5834.92N/AN/A1,6482,60868,87263,032
2020-05-13$14.42$14.6366.3%19.0%58.1%33.1%64.0%25.5%-5.2%823.1K-23.6M-276.7K0.8531.42N/AN/A3,2882,80069,32063,920
2020-05-14$14.79$14.5062.3%17.9%58.1%30.1%64.4%24.6%2.1%937.1K-29.4M-280.8K0.5428.55N/AN/A2,0321,10469,51264,480
2020-05-15$14.99$14.6359.7%17.1%58.0%28.2%61.5%17.0%-0.3%1.6M-35.5M-278.5K1.8027.24N/AN/A2,2324,01669,40864,776
2020-05-18$15.80$14.6350.7%14.5%60.2%21.4%49.9%18.1%2.8%481.0K-35.0M-271.0K0.2533.61N/AN/A5,4081,35257,73657,464
2020-05-19$15.81$14.6353.6%15.4%52.3%23.6%50.9%19.8%-0.1%601.7K-37.7M-278.8K1.6438.48N/AN/A2,7604,52060,75258,032
2020-05-20$16.23$15.0050.2%14.4%49.8%21.1%50.6%16.9%0.9%551.8K-42.3M-289.1K0.0947.97N/AN/A3,27229661,79262,952
2020-05-21$15.93$15.0054.8%15.7%50.6%24.5%53.2%16.4%0.3%537.1K-38.0M-288.5K1.5247.62N/AN/A9041,37661,86462,968
2020-05-22$15.95$15.0049.4%14.2%50.1%20.5%58.9%17.0%5.9%511.5K-37.3M-285.9K1.7047.51N/AN/A48081661,96064,352
2020-05-26$15.91$15.0053.6%15.4%50.1%23.6%51.7%10.8%-2.5%561.6K-37.1M-275.5K1.6164.44N/AN/A1,0161,64062,29664,848
2020-05-27$16.03$15.0047.9%13.7%48.1%19.4%51.7%14.6%1.4%578.4K-37.7M-271.8K0.3465.65N/AN/A2,67289662,20865,288
2020-05-28$16.08$15.0050.3%14.4%42.8%21.1%50.6%6.6%2.8%604.2K-43.1M-271.1K2.6454.87N/AN/A3,0328,00062,71265,328
2020-05-29$16.42$15.0045.6%13.1%42.7%17.6%49.9%7.5%6.7%588.0K-44.3M-267.7K1.1467.58N/AN/A80091263,78468,976