QLD Options History — October 2020 In October 2020, QLD traded between $21.14 and $25.78. ATM implied volatility averaged 62.6%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 8.6% (HV 20d: 54.1%). Max pain ranged from $22.50 to $24.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2020-10-12 : Highest Volume — 10,816 contracts2020-10-12 : Largest IV spike — 42.0% change2020-10-28 : Highest IV Rank — 43.7%2020-10-28 : Largest Expected Move — 23.1%Monthly Statistics Metric Avg Min Max Open Close Price $23.67 $21.14 $25.78 $23.48 $21.14 Max Pain $23.70 $22.50 $24.50 $22.50 $23.75 ATM IV 62.6% 44.7% 80.5% 55.7% 78.2% Expected Move 18.8% 16.0% 23.1% 16.0% 22.4% HV 20d 54.1% 44.6% 75.3% 75.3% 57.3% HV 60d 55.3% 53.5% 58.6% 53.5% 58.6% IV Rank 30.3% 17.0% 43.7% 25.2% 42.0% IV Percentile 72.3% 39.3% 90.1% 62.7% 88.9% Term Structure -0.8% -7.8% 11.6% 11.6% -4.8% VWIV 66.0% 57.2% 74.9% 58.3% 73.9% Skew 25d 16.6% 9.1% 23.0% 10.0% 20.5% Skew 10d 28.2% 18.7% 35.6% 19.2% 33.5% Call IV 25d 56.9% 51.3% 67.1% 51.3% 67.0% Put IV 25d 73.6% 61.3% 88.3% 61.3% 87.5% Bid-Ask Spread % 24.88 11.16 73.60 70.08 46.00 Gamma HHI 0.08 0.05 0.20 0.07 0.05 Net GEX 333.9K -113.6K 1.6M 326.1K -105.5K Net DEX -43.5M -93.2M -4.8M -48.3M -4.8M Net VEX -201.3K -217.5K -168.4K -216.0K -196.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.26 2.99 0.34 0.45 Total Volume 3,971.273 692 10,816 3,912 3,320 Total OI 103,425.636 83,112 124,444 108,460 93,836
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 2020-10-01 $23.48 $22.50 55.7% 16.0% 75.3% 25.2% 58.3% 10.0% 11.6% 326.1K -48.3M -216.0K 0.34 70.08 N/A N/A 2,912 1,000 47,372 61,088 2020-10-02 $22.47 $22.50 58.3% 16.7% 65.2% 27.1% 57.2% 9.1% 10.6% 220.0K -34.1M -213.5K 1.30 73.60 N/A N/A 2,016 2,628 47,580 61,612 2020-10-05 $23.20 $23.75 54.4% 19.2% 66.3% 24.2% 68.3% 17.8% -1.4% 310.1K -44.8M -206.5K 1.13 11.16 N/A N/A 840 948 48,288 63,216 2020-10-06 $22.38 $23.50 58.4% 19.7% 56.3% 27.2% 67.1% 17.5% -1.7% 207.5K -35.4M -205.5K 0.65 17.86 N/A N/A 2,352 1,520 48,556 63,096 2020-10-07 $23.22 $23.50 52.6% 19.1% 54.7% 22.9% 70.3% 18.2% -1.2% 391.0K -43.0M -196.0K 0.35 11.38 N/A N/A 3,688 1,280 48,064 63,768 2020-10-08 $23.38 $23.50 48.2% 18.3% 52.6% 19.6% 61.6% 16.7% -1.2% 690.4K -46.4M -191.2K 1.31 11.45 N/A N/A 800 1,048 49,656 64,020 2020-10-09 $24.06 $23.75 44.7% 17.1% 52.6% 17.0% 61.2% 16.0% 1.0% 912.9K -59.3M -178.8K 2.05 11.24 N/A N/A 1,828 3,756 49,604 64,232 2020-10-12 $25.63 $23.75 63.5% 17.9% 55.1% 31.0% 64.6% 14.8% -0.3% 767.5K -87.9M -168.4K 0.26 15.86 N/A N/A 8,608 2,208 50,144 62,988 2020-10-13 $25.78 $23.75 61.2% 18.2% 54.9% 29.3% 65.8% 14.6% -1.2% 842.4K -93.2M -172.5K 0.39 16.11 N/A N/A 4,448 1,720 52,760 63,648 2020-10-14 $25.33 $23.75 62.7% 18.0% 54.9% 30.4% 63.1% 14.9% -1.6% 1.1M -85.2M -178.1K 2.99 13.20 N/A N/A 2,500 7,472 53,496 64,268 2020-10-15 $24.89 $24.50 63.4% 18.2% 52.3% 30.9% 69.7% 16.2% -0.6% 1.6M -71.6M -199.1K 1.42 15.43 N/A N/A 1,588 2,260 54,096 68,220 2020-10-16 $24.79 $24.50 61.7% 17.7% 51.7% 29.7% 65.9% 15.7% 3.0% 643.1K -67.3M -199.1K 1.43 26.12 N/A N/A 2,256 3,224 53,796 70,648 2020-10-19 $23.78 $24.50 67.3% 19.3% 54.5% 33.8% 68.4% 16.5% -1.6% -113.6K -27.4M -209.4K 0.36 18.37 N/A N/A 3,536 1,284 32,940 50,172 2020-10-20 $24.04 $23.75 64.9% 18.6% 52.1% 32.1% 65.2% 16.5% -1.6% -39.5K -31.6M -215.2K 0.44 20.34 N/A N/A 1,192 524 35,472 51,260 2020-10-21 $23.92 $23.75 64.1% 18.4% 46.2% 31.4% 62.8% 16.8% -2.0% -19.9K -31.3M -217.5K 0.86 21.44 N/A N/A 1,404 1,204 36,220 51,652 2020-10-22 $23.86 $23.75 63.0% 18.1% 46.3% 30.6% 62.9% 15.4% -1.7% -45.6K -31.0M -213.7K 1.28 21.12 N/A N/A 728 932 37,056 52,856 2020-10-23 $23.86 $23.75 62.0% 17.8% 44.6% 29.9% 62.5% 15.7% -0.6% -64.2K -30.1M -215.1K 0.90 22.28 N/A N/A 364 328 37,372 53,196 2020-10-26 $22.98 $23.75 71.4% 20.5% 45.1% 36.9% 70.0% 18.6% -4.9% -68.0K -22.8M -212.3K 0.67 23.00 N/A N/A 1,872 1,252 37,560 53,340 2020-10-27 $23.63 $23.75 67.0% 19.2% 46.0% 33.6% 66.3% 20.5% -3.1% -73.9K -28.0M -206.3K 0.54 19.98 N/A N/A 828 448 37,792 54,296 2020-10-28 $22.04 $23.75 80.5% 23.1% 52.3% 43.7% 74.9% 21.1% -7.8% -94.4K -14.3M -209.6K 0.42 29.14 N/A N/A 2,120 880 38,328 54,528 2020-10-29 $22.79 $23.75 74.3% 21.3% 53.0% 39.0% 71.5% 23.0% -6.1% -81.8K -19.6M -208.5K 0.85 32.12 N/A N/A 1,220 1,032 38,452 54,820 2020-10-30 $21.14 $23.75 78.2% 22.4% 57.3% 42.0% 73.9% 20.5% -4.8% -105.5K -4.8M -196.1K 0.45 46.00 N/A N/A 2,288 1,032 39,040 54,796
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