QLD Options History — January 2021

In January 2021, QLD traded between $27.74 and $31.56. ATM implied volatility averaged 50.0%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 17.9% (HV 20d: 32.2%). Max pain ranged from $28.75 to $30.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.01.

Notable Days

  • 2021-01-15: Highest Volume — 8,468 contracts
  • 2021-01-07: Largest IV drop — 34.9% change
  • 2021-01-27: Highest IV Rank — 27.9%
  • 2021-01-27: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.54$27.74$31.56$27.96$28.98
Max Pain$29.07$28.75$30.00$30.00$29.00
ATM IV50.0%34.5%65.1%54.5%62.7%
Expected Move14.7%13.2%18.7%15.2%18.0%
HV 20d32.2%25.8%45.4%25.8%45.4%
HV 60d42.3%38.3%43.6%43.5%39.7%
IV Rank17.6%7.1%27.9%22.3%26.0%
IV Percentile37.1%9.1%75.8%51.2%70.6%
Term Structure1.4%-1.8%3.2%1.5%-1.5%
VWIV53.6%48.2%65.1%58.7%59.2%
Skew 25d16.9%13.3%23.6%19.3%23.6%
Skew 10d31.6%22.4%43.8%34.1%43.8%
Call IV 25d43.8%40.2%56.1%43.9%50.7%
Put IV 25d60.7%54.7%77.1%63.2%74.3%
Bid-Ask Spread %22.0715.7632.6015.7631.07
Gamma HHI0.090.070.210.070.07
Net GEX-79.2K-957.8K415.8K-140.6K-150.0K
Net DEX-36.2M-67.7M-8.3M-40.1M-8.3M
Net VEX-168.2K-189.4K-145.4K-153.0K-189.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.254.671.252.10
Total Volume3,874.9471,1448,4684,8165,416
Total OI74,207.57940,504103,02491,69651,500

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$27.96$30.0054.5%15.2%25.8%22.3%58.7%19.3%1.5%-140.6K-40.1M-153.0K1.2515.76N/AN/A2,1362,68033,67258,024
2021-01-05$28.37$29.0052.0%14.5%26.1%20.5%56.0%17.7%0.1%-103.6K-45.8M-155.5K0.6716.74N/AN/A1,5361,03234,28459,984
2021-01-06$27.74$29.0052.9%14.7%27.3%21.2%53.7%16.9%1.0%-231.5K-37.7M-155.1K1.0525.82N/AN/A1,6521,73635,11260,872
2021-01-07$29.08$29.0034.5%13.6%31.8%7.1%48.2%14.7%0.4%177.5K-59.3M-147.1K0.5717.07N/AN/A3,0761,76435,52861,340
2021-01-08$29.70$28.7537.9%13.5%26.8%9.6%51.8%15.5%2.0%415.8K-67.7M-145.4K0.7217.18N/AN/A2,7842,00036,29661,028
2021-01-11$28.90$28.7551.1%15.1%29.2%19.2%55.1%16.7%0.4%124.8K-56.2M-150.3K4.6717.76N/AN/A1,2125,66436,42062,364
2021-01-12$28.84$29.2545.7%14.6%28.6%14.6%52.8%16.4%1.0%-464.5K-44.8M-165.4K0.4019.09N/AN/A2,00881235,64467,264
2021-01-13$29.27$29.2549.3%14.1%28.3%17.4%55.2%16.6%2.3%-5.8K-56.2M-159.3K0.5022.19N/AN/A2,4201,21635,88867,020
2021-01-14$29.02$29.2550.4%14.5%28.2%18.3%50.9%16.5%1.9%-192.3K-48.6M-162.8K0.2519.82N/AN/A2,41659634,84867,552
2021-01-15$28.42$29.0051.0%14.6%28.8%18.8%51.4%18.4%2.1%-957.8K-37.2M-161.8K0.6119.07N/AN/A5,2723,19635,09267,932
2021-01-19$29.25$29.0048.5%13.9%30.4%16.9%50.2%16.2%1.8%-250.4K-10.3M-173.7K0.5919.41N/AN/A2,9681,74418,02422,480
2021-01-20$30.73$29.0046.2%13.3%34.0%13.9%49.0%14.5%3.2%-42.5K-23.0M-177.5K0.2622.27N/AN/A2,91276019,94023,864
2021-01-21$31.16$29.0045.9%13.2%34.2%13.4%49.3%14.2%3.0%105.8K-29.0M-182.3K0.6919.96N/AN/A1,37694421,80824,332
2021-01-22$31.07$29.0046.5%13.3%34.3%13.7%49.6%15.0%3.2%110.3K-28.4M-183.3K1.2022.69N/AN/A52062422,24424,804
2021-01-25$31.29$29.0049.6%14.2%34.3%15.6%52.0%13.7%0.5%63.9K-30.1M-176.3K0.3031.67N/AN/A3,32499622,23225,176
2021-01-26$31.56$29.0050.1%14.4%34.2%16.0%51.1%13.3%2.8%90.2K-30.6M-178.9K0.3522.17N/AN/A1,08038022,38025,880
2021-01-27$29.63$29.0065.1%18.7%41.5%27.9%65.1%20.9%-1.8%-68.9K-13.8M-189.4K1.9032.60N/AN/A1,1722,22422,89226,072
2021-01-28$30.30$29.0056.7%16.3%42.1%21.2%58.1%20.6%2.1%16.0K-20.5M-189.2K1.1526.99N/AN/A9201,05623,45626,696
2021-01-29$28.98$29.0062.7%18.0%45.4%26.0%59.2%23.6%-1.5%-150.0K-8.3M-189.1K2.1031.07N/AN/A1,7483,66823,98027,520