QLD Options History — September 2020 In September 2020, QLD traded between $20.82 and $27.48. ATM implied volatility averaged 64.7%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 1.2% (HV 20d: 65.9%). Max pain ranged from $21.88 to $23.13. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.95.
Notable Days 2020-09-03 : Highest Volume — 17,108 contracts2020-09-03 : Largest IV spike — 29.3% change2020-09-03 : Highest IV Rank — 42.4%2020-09-03 : Largest Expected Move — 21.9%Monthly Statistics Metric Avg Min Max Open Close Price $22.72 $20.82 $27.48 $26.82 $22.90 Max Pain $22.53 $21.88 $23.13 $23.13 $22.50 ATM IV 64.7% 55.3% 78.8% 56.7% 55.3% Expected Move 18.5% 15.9% 21.9% 16.3% 15.9% HV 20d 65.9% 32.0% 76.4% 32.0% 75.3% HV 60d 50.4% 41.5% 53.8% 41.5% 53.3% IV Rank 31.9% 24.9% 42.4% 26.0% 24.9% IV Percentile 78.4% 61.9% 90.1% 73.4% 61.9% Term Structure 3.0% -2.4% 10.6% 3.9% 10.6% VWIV 63.7% 56.6% 77.7% 59.0% 56.6% Skew 25d 14.3% 6.3% 19.9% 9.2% 13.7% Skew 10d 26.2% 19.7% 33.2% 20.1% 24.5% Call IV 25d 56.3% 49.6% 67.1% 53.8% 49.6% Put IV 25d 70.6% 60.7% 87.1% 63.0% 63.3% Bid-Ask Spread % 50.85 35.35 70.15 65.06 70.15 Gamma HHI 0.07 0.04 0.12 0.07 0.07 Net GEX -296.0K -1.3M 344.4K 321.8K 344.4K Net DEX -24.4M -92.3M 13.9M -86.9M -39.9M Net VEX -225.4K -281.8K -203.8K -209.8K -211.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.16 3.52 0.39 0.74 Total Volume 6,809.524 2,552 17,108 2,552 3,972 Total OI 114,687.048 93,016 129,400 106,540 107,704
Daily Data (21 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 2020-09-01 $26.82 $23.13 56.7% 16.3% 32.0% 26.0% 59.0% 9.2% 3.9% 321.8K -86.9M -209.8K 0.39 65.06 N/A N/A 1,840 712 45,568 60,972 2020-09-02 $27.48 $23.13 61.0% 17.5% 32.3% 29.1% 64.0% 13.1% 5.9% 318.9K -92.3M -211.0K 0.77 67.43 N/A N/A 5,172 3,972 46,152 61,052 2020-09-03 $24.45 $21.88 78.8% 21.9% 55.1% 42.4% 77.7% 19.9% -2.0% 45.0K -53.0M -256.6K 3.52 35.35 N/A N/A 3,784 13,324 47,368 64,064 2020-09-04 $24.19 $22.50 70.2% 20.2% 54.6% 36.0% 73.5% 18.4% 0.9% -522.0K -35.2M -281.8K 0.70 40.40 N/A N/A 4,772 3,356 47,708 76,084 2020-09-08 $21.82 $22.50 76.1% 20.9% 66.4% 40.4% 71.2% 11.3% -0.2% -690.1K -2.9M -259.4K 0.39 51.30 N/A N/A 2,624 1,024 48,092 76,928 2020-09-09 $23.00 $22.50 69.6% 20.0% 67.9% 35.6% 70.6% 18.4% -2.4% -600.8K -18.4M -257.7K 1.72 35.35 N/A N/A 3,384 5,820 48,276 77,084 2020-09-10 $22.11 $22.50 72.4% 20.7% 67.7% 37.6% 67.3% 11.9% -2.0% -591.4K -4.9M -244.7K 0.60 56.07 N/A N/A 7,324 4,404 49,496 76,268 2020-09-11 $21.64 $22.50 65.3% 18.7% 68.1% 32.4% 63.6% 15.2% -2.1% -762.0K 4.7M -233.8K 0.40 43.11 N/A N/A 3,780 1,524 48,648 77,312 2020-09-14 $22.55 $22.50 61.1% 17.5% 69.7% 29.2% 60.1% 15.2% 0.9% -653.1K -10.0M -224.5K 0.58 44.76 N/A N/A 5,032 2,932 49,708 77,572 2020-09-15 $22.93 $22.50 61.8% 17.7% 69.2% 29.7% 61.6% 10.3% 0.5% -534.2K -18.9M -226.2K 2.86 55.83 N/A N/A 1,836 5,260 51,252 78,148 2020-09-16 $22.52 $22.50 63.9% 18.3% 69.1% 31.3% 63.6% 15.5% -1.1% -537.7K -12.8M -217.6K 1.17 51.54 N/A N/A 1,404 1,648 51,980 76,648 2020-09-17 $21.52 $22.50 67.2% 19.3% 70.8% 33.8% 64.3% 15.6% 2.4% -1.1M 9.0M -213.5K 0.71 45.68 N/A N/A 5,052 3,608 51,920 76,808 2020-09-18 $21.16 $22.50 63.7% 18.3% 70.1% 31.2% 64.1% 14.8% 4.0% -1.3M 13.9M -205.9K 1.49 47.51 N/A N/A 4,116 6,144 52,024 76,852 2020-09-21 $21.07 $22.50 64.9% 18.6% 69.9% 32.1% 60.8% 16.8% 5.9% -159.1K -13.5M -203.8K 0.32 41.12 N/A N/A 4,920 1,564 37,148 55,868 2020-09-22 $22.13 $22.50 61.3% 17.6% 72.4% 29.3% 60.4% 6.3% 5.5% 4.4K -26.5M -205.1K 0.81 63.44 N/A N/A 3,292 2,680 40,292 56,792 2020-09-23 $20.82 $22.50 67.1% 19.2% 74.6% 33.7% 61.6% 16.6% 2.9% -83.0K -14.2M -216.2K 0.47 41.93 N/A N/A 3,836 1,820 42,260 58,824 2020-09-24 $20.98 $22.50 66.1% 18.9% 72.6% 32.9% 64.7% 15.7% 3.3% -99.1K -14.5M -214.1K 0.83 46.12 N/A N/A 1,592 1,320 42,600 59,456 2020-09-25 $21.84 $22.50 59.5% 17.0% 74.7% 28.0% 58.3% 14.6% 8.6% -10.6K -25.5M -218.5K 0.16 48.38 N/A N/A 2,976 480 43,292 59,832 2020-09-28 $22.70 $22.50 57.3% 16.4% 76.4% 26.4% 57.7% 13.8% 9.4% 132.2K -35.4M -209.7K 0.70 55.27 N/A N/A 4,696 3,264 44,208 59,968 2020-09-29 $22.57 $22.50 59.2% 17.0% 75.6% 27.8% 57.9% 13.1% 8.5% 256.8K -35.9M -210.9K 0.56 62.11 N/A N/A 1,756 984 46,520 59,680 2020-09-30 $22.90 $22.50 55.3% 15.9% 75.3% 24.9% 56.6% 13.7% 10.6% 344.4K -39.9M -211.7K 0.74 70.15 N/A N/A 2,288 1,684 47,352 60,352
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