QLD Options History — December 2020 In December 2020, QLD traded between $26.48 and $28.69. ATM implied volatility averaged 45.5%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 16.9% (HV 20d: 28.6%). Max pain ranged from $18.75 to $25.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2020-12-18 : Highest Volume — 8,396 contracts2020-12-09 : Largest IV spike — 27.3% change2020-12-11 : Highest IV Rank — 22.6%2020-12-11 : Largest Expected Move — 15.0%Monthly Statistics Metric Avg Min Max Open Close Price $27.63 $26.48 $28.69 $26.88 $28.66 Max Pain $21.51 $18.75 $25.50 $25.25 $25.00 ATM IV 45.5% 34.8% 52.3% 45.9% 44.1% Expected Move 13.4% 11.7% 15.0% 13.2% 12.6% HV 20d 28.6% 23.8% 45.7% 45.7% 23.8% HV 60d 48.6% 43.7% 56.8% 56.8% 43.7% IV Rank 17.2% 9.6% 22.6% 17.9% 14.4% IV Percentile 27.6% 15.9% 44.0% 31.0% 19.8% Term Structure 2.3% -1.1% 4.8% 2.5% 3.4% VWIV 49.6% 41.8% 57.3% 46.6% 52.0% Skew 25d 13.5% 5.2% 17.7% 7.1% 15.9% Skew 10d 25.6% 15.5% 31.7% 23.5% 29.0% Call IV 25d 41.2% 36.0% 45.0% 43.7% 38.1% Put IV 25d 54.7% 49.2% 60.3% 50.9% 54.0% Bid-Ask Spread % 75.90 26.53 85.63 30.39 85.04 Gamma HHI 0.07 0.04 0.16 0.04 0.07 Net GEX 455.8K -230.7K 1.9M 158.4K -9.6K Net DEX -61.5M -82.3M -45.7M -65.6M -49.8M Net VEX -157.9K -169.9K -144.5K -163.6K -159.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.14 2.59 0.14 1.93 Total Volume 3,479.636 820 8,396 5,984 1,876 Total OI 95,988.182 84,404 105,844 95,536 90,708
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 2020-12-01 $26.88 $25.25 45.9% 13.2% 45.7% 17.9% 46.6% 7.1% 2.5% 158.4K -65.6M -163.6K 0.14 30.39 N/A N/A 5,252 732 40,272 55,264 2020-12-02 $26.93 $25.50 44.6% 12.8% 43.4% 16.9% 45.0% 6.7% 3.7% 406.7K -68.8M -167.8K 0.40 26.53 N/A N/A 1,252 496 42,764 55,704 2020-12-03 $27.03 $18.75 43.5% 13.8% 35.6% 16.0% 50.0% 9.4% 1.1% 508.9K -65.2M -169.9K 0.24 75.75 N/A N/A 1,964 468 41,180 56,016 2020-12-04 $27.18 $18.75 34.8% 12.5% 32.3% 9.6% 49.8% 11.5% -0.9% 609.6K -66.8M -161.8K 1.40 83.30 N/A N/A 824 1,152 41,276 56,240 2020-12-07 $27.45 $18.75 42.0% 13.6% 32.3% 14.9% 47.7% 11.9% 2.0% 700.7K -71.3M -157.0K 0.38 76.63 N/A N/A 1,268 484 41,672 56,048 2020-12-08 $27.78 $18.75 40.5% 13.2% 30.6% 13.8% 47.3% 11.7% 2.9% 801.5K -76.3M -148.9K 0.34 77.20 N/A N/A 2,440 832 41,788 56,356 2020-12-09 $26.54 $18.75 51.5% 14.8% 28.6% 22.1% 52.7% 5.2% -0.7% 452.0K -57.0M -159.3K 1.40 79.65 N/A N/A 1,156 1,620 42,172 56,656 2020-12-10 $26.83 $18.75 50.2% 14.4% 25.7% 21.1% 51.2% 14.7% 1.7% 489.5K -60.5M -158.5K 0.42 76.70 N/A N/A 4,236 1,760 42,200 57,416 2020-12-11 $26.48 $20.00 52.3% 15.0% 25.7% 22.6% 57.3% 14.6% -1.1% 443.5K -56.0M -162.1K 2.59 77.57 N/A N/A 1,440 3,728 43,024 58,108 2020-12-14 $27.00 $20.00 51.0% 14.6% 25.3% 21.7% 53.3% 16.4% 1.4% 612.9K -63.4M -158.5K 0.82 79.88 N/A N/A 2,740 2,260 42,984 60,772 2020-12-15 $27.48 $20.63 48.7% 14.0% 25.8% 20.0% 52.6% 16.7% 2.1% 1.0M -71.1M -154.4K 0.35 80.03 N/A N/A 1,844 644 43,468 61,316 2020-12-16 $27.96 $20.63 46.7% 13.4% 26.1% 18.4% 49.1% 17.0% 4.5% 1.2M -79.5M -146.8K 0.41 79.49 N/A N/A 3,232 1,336 43,300 61,452 2020-12-17 $28.14 $20.63 47.0% 13.5% 25.5% 18.7% 50.9% 16.6% 0.0% 1.5M -82.3M -144.5K 0.20 80.58 N/A N/A 4,764 936 43,052 61,608 2020-12-18 $27.74 $20.63 49.0% 14.1% 26.5% 20.2% 48.0% 16.7% 4.1% 1.9M -76.4M -146.4K 1.62 82.45 N/A N/A 3,200 5,196 44,088 61,756 2020-12-21 $27.84 $22.50 48.0% 13.8% 26.1% 19.4% 54.4% 17.7% 2.7% -111.4K -47.5M -161.0K 1.74 80.34 N/A N/A 1,744 3,040 32,292 52,112 2020-12-22 $28.02 $22.50 47.8% 13.7% 25.8% 19.3% 53.6% 17.2% 2.2% -176.7K -48.2M -165.4K 1.38 80.88 N/A N/A 648 896 32,884 54,172 2020-12-23 $28.03 $22.50 44.4% 12.7% 24.8% 16.7% 52.0% 13.9% 3.8% -230.7K -45.7M -163.5K 0.41 80.77 N/A N/A 2,292 940 32,016 54,952 2020-12-24 $27.99 $22.50 43.7% 12.5% 24.6% 16.2% 46.4% 14.7% 3.8% -201.1K -47.2M -162.1K 0.77 83.20 N/A N/A 464 356 33,048 55,436 2020-12-28 $28.63 $23.75 40.7% 11.7% 25.3% 12.2% 41.8% 13.7% 4.2% -157.2K -51.3M -151.8K 0.65 82.79 N/A N/A 2,028 1,316 31,940 55,588 2020-12-29 $28.69 $24.38 42.2% 12.1% 25.3% 12.9% 44.9% 13.9% 4.8% -8.5K -51.7M -154.4K 0.36 85.06 N/A N/A 1,404 508 32,908 56,092 2020-12-30 $28.65 $24.38 42.7% 12.2% 23.8% 13.3% 43.9% 14.0% 3.6% 19.9K -50.5M -156.1K 1.28 85.63 N/A N/A 784 1,000 33,248 56,392 2020-12-31 $28.66 $25.00 44.1% 12.6% 23.8% 14.4% 52.0% 15.9% 3.4% -9.6K -49.8M -159.1K 1.93 85.04 N/A N/A 640 1,236 33,528 57,180
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