QLD Options History — August 2020

In August 2020, QLD traded between $21.17 and $26.27. ATM implied volatility averaged 49.2%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 9.9% (HV 20d: 39.3%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2020-08-06: Highest Volume — 7,552 contracts
  • 2020-08-11: Largest IV spike — 17.6% change
  • 2020-08-31: Highest IV Rank — 25.1%
  • 2020-08-31: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.20$21.17$26.27$21.84$26.27
Max Pain$22.02$20.00$30.00$20.00$22.50
ATM IV49.2%44.0%55.6%49.7%55.6%
Expected Move14.3%12.6%15.9%14.2%15.9%
HV 20d39.3%32.0%45.6%41.1%32.0%
HV 60d42.0%41.2%43.4%43.4%41.4%
IV Rank20.3%16.5%25.1%20.7%25.1%
IV Percentile59.6%49.6%70.6%60.3%70.6%
Term Structure4.0%0.9%9.6%1.5%6.1%
VWIV51.6%42.7%60.3%49.9%60.2%
Skew 25d13.8%6.9%18.5%13.8%10.7%
Skew 10d26.7%20.7%32.8%26.4%20.7%
Call IV 25d44.3%40.2%51.1%44.0%50.9%
Put IV 25d58.1%52.1%64.1%57.8%61.6%
Bid-Ask Spread %39.7127.4862.1855.5544.98
Gamma HHI0.110.070.240.100.07
Net GEX498.7K-276.4K1.5M-254.3K350.7K
Net DEX-52.9M-81.9M14.9M-38.9M-81.9M
Net VEX-211.9K-247.8K-85.2K-211.0K-211.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.182.920.181.46
Total Volume4,511.2381,3847,5527,0563,324
Total OI104,654.85722,080132,35298,736104,872

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$21.84$20.0049.7%14.2%41.1%20.7%49.9%13.8%1.5%-254.3K-38.9M-211.0K0.1855.55N/AN/A5,9761,08036,57662,160
2020-08-04$21.80$20.0049.3%14.1%41.0%20.4%55.8%12.3%1.9%30.4K-41.3M-213.1K0.8262.18N/AN/A1,6081,31239,89662,432
2020-08-05$22.00$20.0046.5%13.3%40.9%18.3%51.0%12.1%3.4%152.5K-41.6M-214.4K0.3361.93N/AN/A4,5121,49639,25663,328
2020-08-06$22.60$21.0045.1%14.3%41.4%17.3%49.3%15.6%1.6%356.7K-51.7M-210.1K1.0727.48N/AN/A3,6563,89641,39264,160
2020-08-07$22.13$21.0048.8%14.9%42.2%20.0%50.8%18.1%5.3%441.8K-46.9M-219.9K2.3633.84N/AN/A1,3763,24843,88062,664
2020-08-10$21.80$21.8845.6%14.8%41.5%17.6%52.1%17.2%3.0%426.7K-42.9M-221.5K1.7831.43N/AN/A1,1922,12044,02465,160
2020-08-11$21.17$21.8853.6%15.7%42.9%23.6%51.9%18.5%0.9%52.9K-30.2M-233.7K2.4233.63N/AN/A5761,39244,16866,432
2020-08-12$22.17$21.8851.4%14.7%45.6%22.0%51.6%16.5%2.6%437.4K-46.2M-222.4K0.8728.71N/AN/A3,2482,84044,26467,584
2020-08-13$22.27$21.8851.6%14.8%45.2%22.1%50.2%15.2%2.6%558.0K-49.4M-220.8K0.2631.36N/AN/A5,2961,39245,28067,136
2020-08-14$22.09$22.0051.1%14.6%45.4%21.7%48.3%15.2%3.3%706.9K-47.2M-223.9K0.7827.89N/AN/A77660847,61668,368
2020-08-17$22.75$22.0048.9%14.0%42.4%20.1%42.7%15.7%3.4%1.5M-62.6M-201.9K0.2641.09N/AN/A4,3281,10447,80868,336
2020-08-18$23.18$30.0046.0%13.2%41.8%17.9%48.4%12.3%4.9%-276.4K14.9M-85.2K0.6438.01N/AN/A3,0641,9484,44017,640
2020-08-19$22.91$22.0047.3%13.6%42.2%18.9%48.1%15.1%3.5%1.4M-56.4M-247.8K0.5935.93N/AN/A1,8601,10053,02477,168
2020-08-20$23.52$22.0044.6%12.8%37.2%16.9%51.2%6.9%7.6%1.2M-66.6M-238.1K0.1853.29N/AN/A2,59245653,41277,608
2020-08-21$23.73$22.0044.0%12.6%35.4%16.5%48.5%10.5%9.6%854.2K-72.8M-239.1K0.5049.55N/AN/A2,5281,27254,74877,604
2020-08-24$24.00$22.0049.8%14.3%33.7%20.7%52.2%14.1%4.1%534.9K-59.8M-205.8K1.4132.30N/AN/A2,3083,24841,57251,300
2020-08-25$24.43$22.0047.3%13.6%32.0%18.9%50.5%13.9%4.6%514.9K-64.6M-197.3K1.4234.58N/AN/A1,2041,70841,97253,348
2020-08-26$25.44$22.0049.9%14.3%33.6%20.9%54.3%12.8%3.2%476.2K-74.0M-202.4K0.4135.53N/AN/A3,7641,54042,62454,084
2020-08-27$25.47$22.0054.1%15.5%33.8%24.0%60.3%10.6%4.1%490.3K-74.2M-214.0K0.6734.57N/AN/A2,5761,72443,98055,044
2020-08-28$25.68$22.5052.7%15.1%33.1%22.9%56.5%12.6%7.6%491.7K-77.6M-215.6K2.9239.98N/AN/A1,4004,08845,08456,308
2020-08-31$26.27$22.5055.6%15.9%32.0%25.1%60.2%10.7%6.1%350.7K-81.9M-211.6K1.4644.98N/AN/A1,3521,97245,14859,724