QLD Options History — June 2020 In June 2020, QLD traded between $16.59 and $18.80. ATM implied volatility averaged 53.3%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 9.6% (HV 20d: 43.7%). Max pain ranged from $14.38 to $15.63. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.00.
Notable Days 2020-06-23 : Highest Volume — 18,416 contracts2020-06-11 : Largest IV spike — 25.7% change2020-06-11 : Highest IV Rank — 31.5%2020-06-11 : Largest Expected Move — 18.4%Monthly Statistics Metric Avg Min Max Open Close Price $17.60 $16.59 $18.80 $16.59 $18.39 Max Pain $14.49 $14.38 $15.63 $15.00 $14.38 ATM IV 53.3% 43.0% 64.2% 46.3% 52.4% Expected Move 15.3% 13.0% 18.4% 13.3% 15.0% HV 20d 43.7% 36.2% 51.3% 36.4% 51.3% HV 60d 73.3% 56.1% 96.8% 96.8% 56.1% IV Rank 23.4% 15.7% 31.5% 18.2% 22.7% IV Percentile 74.4% 67.1% 82.9% 71.0% 70.6% Term Structure 0.5% -5.8% 5.9% 5.9% 1.2% VWIV 55.5% 47.9% 67.0% 48.5% 52.0% Skew 25d 16.2% 6.7% 24.9% 6.7% 11.6% Skew 10d 32.8% 11.1% 41.5% 40.5% 32.4% Call IV 25d 46.7% 35.4% 56.8% 49.1% 44.5% Put IV 25d 62.8% 46.4% 77.3% 55.8% 56.0% Bid-Ask Spread % 66.70 49.85 84.04 73.13 79.34 Gamma HHI 0.11 0.09 0.16 0.10 0.12 Net GEX 536.2K 111.5K 771.8K 604.6K 566.2K Net DEX -65.0M -89.1M -42.4M -49.2M -66.8M Net VEX -253.0K -278.5K -228.4K -267.1K -228.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.19 3.15 0.28 0.25 Total Volume 6,409.818 1,496 18,416 1,496 3,464 Total OI 145,272.364 127,224 164,016 133,808 139,168
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 2020-06-01 $16.59 $15.00 46.3% 13.3% 36.4% 18.2% 48.5% 6.7% 5.9% 604.6K -49.2M -267.1K 0.28 73.13 N/A N/A 1,168 328 64,368 69,440 2020-06-02 $16.65 $15.00 47.5% 13.6% 36.2% 19.1% 48.2% 13.6% 0.7% 702.6K -52.0M -259.4K 1.17 76.53 N/A N/A 3,576 4,192 65,192 69,672 2020-06-03 $17.02 $15.63 45.4% 13.0% 36.2% 17.5% 48.0% 11.1% 1.0% 645.2K -59.3M -260.1K 0.53 81.23 N/A N/A 3,128 1,648 67,400 73,256 2020-06-04 $16.62 $14.38 44.6% 13.0% 37.8% 16.9% 59.4% 19.8% 5.8% 605.2K -50.6M -276.2K 1.10 52.57 N/A N/A 8,552 9,376 68,616 74,064 2020-06-05 $17.32 $14.38 43.0% 13.1% 39.5% 15.7% 50.5% 13.5% 1.0% 631.9K -65.5M -267.4K 0.51 70.18 N/A N/A 2,552 1,296 69,080 74,480 2020-06-08 $17.58 $14.38 45.2% 13.1% 38.9% 17.4% 47.9% 14.9% 0.7% 717.2K -74.1M -247.3K 0.31 53.71 N/A N/A 2,040 640 69,928 75,120 2020-06-09 $17.96 $14.38 50.7% 13.8% 38.8% 21.5% 52.3% 14.8% 0.8% 691.1K -81.7M -247.3K 0.41 58.77 N/A N/A 4,640 1,888 70,400 76,208 2020-06-10 $18.44 $14.38 51.1% 14.6% 36.2% 21.7% 51.4% 12.9% -0.8% 639.0K -89.0M -240.8K 0.19 84.04 N/A N/A 4,288 808 71,032 77,112 2020-06-11 $16.75 $14.38 64.2% 18.4% 48.1% 31.5% 65.0% 19.1% -5.8% 572.0K -51.6M -275.1K 3.15 62.37 N/A N/A 3,816 12,024 71,848 77,304 2020-06-12 $16.68 $14.38 62.0% 17.8% 47.8% 29.9% 67.0% 24.9% -2.6% 205.0K -42.4M -278.5K 1.33 59.55 N/A N/A 2,968 3,944 72,360 84,600 2020-06-15 $17.06 $14.38 59.5% 17.1% 48.0% 28.0% 58.2% 18.7% -2.9% 111.5K -54.5M -268.7K 1.57 49.85 N/A N/A 1,184 1,864 72,696 87,192 2020-06-16 $17.64 $14.38 58.5% 16.8% 46.0% 27.3% 57.9% 19.3% -3.3% 221.3K -71.1M -254.7K 0.43 67.74 N/A N/A 5,352 2,320 73,184 87,192 2020-06-17 $17.89 $14.38 56.3% 16.1% 46.1% 25.6% 62.5% 20.4% 0.4% 270.5K -82.5M -256.0K 1.99 58.60 N/A N/A 1,640 3,256 76,792 87,224 2020-06-18 $17.93 $14.38 54.6% 15.7% 45.5% 24.4% 56.4% 16.7% 3.0% 767.3K -86.2M -250.4K 1.27 53.35 N/A N/A 1,528 1,944 77,968 84,952 2020-06-19 $18.02 $14.38 54.2% 15.5% 44.7% 24.1% 54.1% 16.1% 2.5% 771.8K -89.1M -241.8K 1.00 69.95 N/A N/A 3,672 3,672 77,904 85,344 2020-06-22 $18.37 $14.38 54.2% 15.5% 44.9% 24.1% 53.1% 16.1% 1.1% 514.9K -65.6M -234.3K 0.56 59.37 N/A N/A 3,112 1,752 59,384 67,840 2020-06-23 $18.80 $14.38 51.7% 14.8% 45.1% 22.2% 55.7% 15.3% 2.0% 617.5K -72.6M -229.8K 1.03 70.05 N/A N/A 9,088 9,328 60,704 69,208 2020-06-24 $18.09 $14.38 57.6% 16.5% 48.0% 26.6% 58.8% 17.1% 0.3% 667.5K -63.1M -240.6K 2.83 70.47 N/A N/A 2,320 6,576 63,400 69,784 2020-06-25 $18.20 $14.38 55.6% 15.9% 48.0% 25.1% 54.5% 16.6% 0.2% 502.0K -61.0M -252.0K 0.30 72.56 N/A N/A 1,216 360 63,608 74,000 2020-06-26 $17.62 $14.38 60.4% 17.3% 49.6% 28.7% 61.3% 18.7% -0.8% 402.0K -50.7M -249.6K 1.08 70.85 N/A N/A 1,352 1,456 63,856 74,176 2020-06-29 $17.66 $14.38 58.4% 16.7% 49.5% 27.2% 58.6% 17.5% -0.2% 369.9K -52.2M -239.4K 0.62 73.15 N/A N/A 1,040 648 63,672 75,264 2020-06-30 $18.39 $14.38 52.4% 15.0% 51.3% 22.7% 52.0% 11.6% 1.2% 566.2K -66.8M -228.4K 0.25 79.34 N/A N/A 2,768 696 63,824 75,344
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