QLD Options History — November 2020

In November 2020, QLD traded between $21.22 and $26.13. ATM implied volatility averaged 52.1%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 8.9% (HV 20d: 61.0%). Max pain ranged from $23.75 to $25.75. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2020-11-05: Highest Volume — 7,464 contracts
  • 2020-11-04: Largest IV drop — 15.5% change
  • 2020-11-02: Highest IV Rank — 43.7%
  • 2020-11-02: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.66$21.22$26.13$21.22$26.13
Max Pain$25.32$23.75$25.75$23.75$25.25
ATM IV52.1%41.4%80.5%80.5%45.1%
Expected Move14.8%11.9%23.1%23.1%12.9%
HV 20d61.0%45.4%65.3%55.8%45.4%
HV 60d61.2%56.6%62.4%58.5%56.6%
IV Rank22.5%14.5%43.7%43.7%17.3%
IV Percentile43.8%23.4%89.7%89.7%27.8%
Term Structure0.7%-10.4%6.1%-10.4%2.8%
VWIV52.9%43.6%73.7%73.7%48.0%
Skew 25d14.0%9.2%21.5%21.4%9.6%
Skew 10d26.5%18.7%40.3%40.3%18.7%
Call IV 25d45.8%38.5%68.7%68.7%42.6%
Put IV 25d59.7%48.2%90.1%90.1%52.2%
Bid-Ask Spread %27.4217.4745.1845.1828.59
Gamma HHI0.090.040.540.050.05
Net GEX303.0K-122.7K2.0M-94.9K65.6K
Net DEX-43.1M-58.9M-5.5M-5.5M-54.6M
Net VEX-181.2K-203.5K-161.0K-189.5K-170.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.151.550.150.61
Total Volume3,5481,4487,4642,2242,324
Total OI101,578.286,096111,98494,64893,752

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$21.22$23.7580.5%23.1%55.8%43.7%73.7%21.4%-10.4%-94.9K-5.5M-189.5K0.1545.18N/AN/A1,93628839,32055,328
2020-11-03$22.34$23.7573.2%21.0%57.8%38.3%70.0%21.5%-9.9%-81.6K-15.1M-188.6K0.4645.01N/AN/A2,10496839,32055,328
2020-11-04$24.10$23.7561.9%17.7%62.6%29.8%58.9%16.4%-2.2%9.7K-35.2M-188.1K0.2234.87N/AN/A5,4561,20440,24456,492
2020-11-05$25.22$25.7557.5%16.1%64.5%26.6%56.8%15.4%-2.2%350.1K-53.3M-194.9K0.7121.88N/AN/A4,3723,09243,52856,920
2020-11-06$25.54$25.7551.3%15.3%63.9%21.9%60.1%14.6%0.5%536.7K-58.9M-203.5K0.3917.47N/AN/A1,04040846,48057,652
2020-11-09$24.91$25.7553.8%14.9%60.4%23.7%53.5%13.4%0.1%503.5K-50.5M-193.1K1.5119.11N/AN/A1,5802,39246,56857,704
2020-11-10$23.61$25.7560.5%15.8%63.1%28.8%59.1%15.8%-2.0%137.7K-28.3M-188.4K1.3621.41N/AN/A2,2523,05246,85258,880
2020-11-11$24.56$25.7552.4%15.0%64.8%22.7%51.9%14.0%0.2%338.4K-44.1M-189.5K0.3020.49N/AN/A1,80853647,00060,052
2020-11-12$24.23$25.7554.8%15.7%64.7%24.5%54.4%12.8%5.0%319.3K-39.1M-194.7K0.8035.20N/AN/A1,20095648,01660,152
2020-11-13$24.82$25.7550.4%14.5%65.3%21.2%53.6%15.2%0.7%392.7K-48.2M-190.7K0.2921.41N/AN/A2,09261648,26860,980
2020-11-16$24.98$25.7547.4%13.6%63.4%19.0%47.4%14.0%2.6%494.8K-50.2M-179.3K0.2520.87N/AN/A2,54863647,96461,100
2020-11-17$24.98$25.7545.2%13.0%63.3%17.3%49.3%13.6%6.1%362.5K-51.1M-168.4K0.6731.50N/AN/A2,2361,49248,76061,280
2020-11-18$24.78$25.7546.8%13.4%63.4%18.5%49.8%12.9%2.2%454.1K-48.3M-167.7K0.2425.84N/AN/A2,61662849,11261,676
2020-11-19$25.00$25.2545.1%12.9%63.4%17.3%45.7%13.8%3.9%511.8K-53.2M-167.8K0.2325.77N/AN/A2,15249649,57261,964
2020-11-20$24.82$25.2544.5%12.8%63.5%16.8%44.3%12.3%2.4%2.0M-47.5M-161.0K1.5522.35N/AN/A2,7924,33249,68462,300
2020-11-23$24.71$25.5044.5%12.8%61.8%16.8%46.8%13.4%2.6%-102.9K-35.4M-168.1K1.3527.06N/AN/A1,3961,88435,22850,868
2020-11-24$25.36$25.5043.1%12.4%61.8%15.8%44.9%10.2%3.3%-122.7K-43.2M-167.1K0.5127.84N/AN/A2,8521,46035,91652,672
2020-11-25$25.74$25.5041.4%11.9%55.4%14.5%43.6%9.7%5.0%-14.2K-48.0M-178.3K0.5728.25N/AN/A1,34476038,09253,704
2020-11-27$26.08$25.5042.5%12.2%54.6%15.3%47.1%9.2%4.2%8.4K-52.2M-175.4K0.1728.33N/AN/A1,42024038,43654,400
2020-11-30$26.13$25.2545.1%12.9%45.4%17.3%48.0%9.6%2.8%65.6K-54.6M-170.6K0.6128.59N/AN/A1,44488039,29254,460