QLD Options History — July 2020 In July 2020, QLD traded between $19.07 and $21.45. ATM implied volatility averaged 54.9%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 12.8% (HV 20d: 42.1%). Max pain ranged from $14.38 to $20.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.12.
Notable Days 2020-07-06 : Highest Volume — 19,600 contracts2020-07-13 : Largest IV spike — 42.2% change2020-07-14 : Highest IV Rank — 41.0%2020-07-14 : Largest Expected Move — 18.7%Monthly Statistics Metric Avg Min Max Open Close Price $20.33 $19.07 $21.45 $19.07 $21.05 Max Pain $19.01 $14.38 $20.00 $14.38 $20.00 ATM IV 54.9% 43.0% 77.0% 45.3% 48.1% Expected Move 15.7% 12.3% 18.7% 13.0% 13.8% HV 20d 42.1% 33.0% 52.1% 52.1% 41.4% HV 60d 46.0% 42.8% 50.1% 49.8% 43.0% IV Rank 24.6% 15.7% 41.0% 17.4% 19.5% IV Percentile 70.6% 58.3% 89.3% 62.7% 58.3% Term Structure -0.3% -4.8% 6.2% 5.8% 3.5% VWIV 56.7% 46.5% 72.7% 46.8% 49.6% Skew 25d 16.0% 12.0% 19.3% 13.7% 16.5% Skew 10d 30.3% 23.7% 41.8% 24.8% 28.5% Call IV 25d 47.5% 38.9% 59.1% 39.8% 38.9% Put IV 25d 63.5% 51.2% 74.8% 53.5% 55.4% Bid-Ask Spread % 42.53 22.75 89.78 87.94 55.37 Gamma HHI 0.13 0.10 0.34 0.14 0.10 Net GEX 351.6K -552.0K 1.3M 814.5K -391.0K Net DEX -65.5M -116.8M -9.5M -84.1M -28.8M Net VEX -214.9K -241.8K -186.4K -211.7K -224.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.22 6.11 0.22 0.42 Total Volume 6,069.455 1,096 19,600 5,016 4,768 Total OI 125,008.727 77,984 161,976 141,816 98,552
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 2020-07-01 $19.07 $14.38 45.3% 13.0% 52.1% 17.4% 46.8% 13.7% 5.8% 814.5K -84.1M -211.7K 0.22 87.94 N/A N/A 4,112 904 66,120 75,696 2020-07-02 $19.28 $14.38 43.0% 12.3% 51.0% 15.7% 46.5% 12.0% 6.2% 966.1K -88.6M -212.1K 0.41 89.78 N/A N/A 2,488 1,024 67,208 76,168 2020-07-06 $20.07 $16.88 44.5% 15.6% 50.8% 16.8% 57.2% 13.1% -4.8% 993.9K -104.1M -186.4K 0.69 40.87 N/A N/A 11,600 8,000 67,928 76,480 2020-07-07 $20.00 $17.75 52.0% 15.8% 50.9% 22.4% 55.7% 16.4% -1.2% 872.7K -101.1M -201.4K 0.56 22.75 N/A N/A 2,376 1,320 68,800 77,544 2020-07-08 $20.28 $17.75 52.2% 15.6% 50.7% 22.6% 56.5% 16.5% -1.1% 970.7K -107.5M -195.8K 0.89 24.26 N/A N/A 1,696 1,504 69,696 79,144 2020-07-09 $20.67 $17.75 56.2% 16.2% 50.4% 25.6% 61.3% 19.3% -0.7% 996.4K -114.9M -190.5K 1.97 27.63 N/A N/A 2,640 5,200 70,864 79,624 2020-07-10 $20.95 $19.38 50.8% 15.5% 33.0% 21.5% 58.7% 17.6% -0.2% 829.9K -116.8M -195.1K 1.24 28.39 N/A N/A 1,960 2,440 71,168 83,696 2020-07-13 $20.44 $20.00 72.2% 18.5% 35.1% 37.5% 65.3% 14.2% -3.2% 734.7K -103.4M -211.6K 2.38 37.45 N/A N/A 4,352 10,352 71,800 85,408 2020-07-14 $20.25 $20.00 77.0% 18.7% 35.4% 41.0% 72.7% 18.4% -4.8% 882.2K -100.4M -221.8K 0.48 26.61 N/A N/A 3,904 1,864 72,336 89,640 2020-07-15 $20.49 $20.00 61.1% 17.5% 34.2% 29.2% 68.4% 17.8% -2.4% 1.1M -100.3M -214.1K 1.50 25.37 N/A N/A 7,848 11,736 69,200 90,240 2020-07-16 $20.24 $20.00 59.7% 17.1% 34.8% 28.1% 59.7% 17.0% -1.8% 1.3M -95.5M -213.1K 0.90 30.63 N/A N/A 1,960 1,768 68,504 91,040 2020-07-17 $20.30 $20.00 54.0% 15.5% 34.8% 23.9% 53.2% 16.3% -0.2% 1.1M -99.2M -206.5K 0.98 35.65 N/A N/A 1,664 1,624 68,704 92,304 2020-07-20 $21.45 $20.00 52.7% 15.1% 38.9% 22.9% 51.9% 15.6% -1.0% -278.9K -31.6M -194.9K 0.29 37.87 N/A N/A 4,864 1,400 28,072 49,912 2020-07-21 $21.03 $20.00 53.5% 15.3% 40.0% 23.5% 56.1% 15.4% 0.4% -73.5K -31.5M -211.3K 2.43 34.03 N/A N/A 2,008 4,872 32,744 50,592 2020-07-22 $21.09 $20.00 53.2% 15.3% 39.6% 23.3% 53.6% 18.0% 0.4% -262.0K -28.9M -221.8K 6.11 65.58 N/A N/A 368 2,248 32,760 54,616 2020-07-23 $20.02 $20.00 55.9% 16.0% 41.9% 25.3% 55.3% 16.8% 0.2% -429.4K -16.3M -232.1K 1.69 42.19 N/A N/A 1,752 2,968 32,904 56,944 2020-07-24 $19.56 $20.00 57.5% 16.5% 43.0% 26.5% 56.8% 17.2% -0.6% -552.0K -9.5M -240.4K 0.24 41.19 N/A N/A 4,032 952 33,488 59,704 2020-07-27 $20.33 $20.00 53.7% 15.4% 42.5% 23.7% 55.4% 15.3% 0.9% -416.6K -20.2M -241.8K 0.22 42.17 N/A N/A 3,112 672 36,048 60,208 2020-07-28 $19.90 $20.00 56.0% 16.0% 43.7% 25.4% 53.1% 14.5% -0.3% -453.1K -15.5M -236.4K 0.28 43.70 N/A N/A 1,160 320 37,144 60,720 2020-07-29 $20.29 $20.00 55.8% 16.0% 42.1% 25.3% 56.6% 14.5% -2.0% -518.2K -19.9M -231.0K 0.57 51.98 N/A N/A 696 400 36,752 61,400 2020-07-30 $20.46 $20.00 53.9% 15.5% 40.5% 23.9% 57.5% 15.7% 0.4% -450.4K -22.0M -233.5K 0.27 44.22 N/A N/A 2,048 552 36,792 61,528 2020-07-31 $21.05 $20.00 48.1% 13.8% 41.4% 19.5% 49.6% 16.5% 3.5% -391.0K -28.8M -224.8K 0.42 55.37 N/A N/A 3,368 1,400 36,608 61,944
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