QLD Options History — February 2021

In February 2021, QLD traded between $28.48 and $32.77. ATM implied volatility averaged 46.9%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 3.7% (HV 20d: 43.2%). Max pain ranged from $28.75 to $32.25. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.29.

Notable Days

  • 2021-02-16: Highest Volume — 8,480 contracts
  • 2021-02-25: Largest IV spike — 31.0% change
  • 2021-02-25: Highest IV Rank — 26.4%
  • 2021-02-25: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.37$28.48$32.77$30.36$29.30
Max Pain$30.58$28.75$32.25$29.00$31.75
ATM IV46.9%34.8%66.6%55.6%57.1%
Expected Move13.9%12.4%19.1%15.9%16.4%
HV 20d43.2%37.8%48.2%48.2%42.6%
HV 60d34.5%32.5%39.5%39.5%37.2%
IV Rank12.0%3.9%26.4%20.4%18.6%
IV Percentile25.1%4.4%77.4%52.0%56.7%
Term Structure2.1%-4.9%7.2%2.0%-0.2%
VWIV50.9%44.8%66.0%55.5%63.4%
Skew 25d16.7%12.4%23.2%21.0%22.8%
Skew 10d31.8%24.2%40.4%40.1%40.4%
Call IV 25d41.4%36.3%55.5%45.4%46.9%
Put IV 25d58.1%51.6%78.6%66.4%69.7%
Bid-Ask Spread %25.4315.0538.1628.0238.16
Gamma HHI0.110.060.210.060.09
Net GEX113.1K-845.3K861.4K-54.6K-845.3K
Net DEX-26.9M-52.7M19.1M-19.1M14.0M
Net VEX-184.3K-202.8K-160.3K-198.9K-202.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.204.520.471.73
Total Volume3,544.2111,3248,4801,8202,788
Total OI57,369.68442,45669,75254,34051,700

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$30.36$29.0055.6%15.9%48.2%20.4%55.5%21.0%2.0%-54.6K-19.1M-198.9K0.4728.02N/AN/A1,24058024,21630,124
2021-02-02$31.33$29.0046.4%13.3%48.1%13.0%48.0%15.7%4.7%134.1K-30.6M-190.7K0.4727.32N/AN/A2,08497224,55230,188
2021-02-03$31.20$29.0043.1%12.4%48.1%10.4%44.8%12.8%7.2%197.6K-31.4M-191.1K0.5134.28N/AN/A1,39270825,42430,532
2021-02-04$31.55$28.7540.6%12.7%47.0%8.5%46.5%12.4%2.7%344.9K-37.1M-187.1K0.6916.28N/AN/A1,36894025,92430,728
2021-02-05$31.88$28.7534.8%12.9%44.6%3.9%47.1%13.6%2.6%471.5K-40.7M-183.8K1.4015.05N/AN/A2,2043,09226,58031,372
2021-02-08$32.20$28.7536.3%12.7%44.2%4.0%51.0%14.4%2.6%530.8K-45.2M-172.9K1.2317.03N/AN/A1,2921,58826,70032,340
2021-02-09$32.45$28.7536.4%12.6%42.6%4.0%44.9%14.5%3.1%522.4K-45.3M-176.5K0.4116.45N/AN/A1,09244426,90032,956
2021-02-10$32.09$28.7545.9%13.2%43.0%11.7%46.5%14.4%2.3%553.6K-43.9M-173.5K1.6722.22N/AN/A1,1041,84426,98033,040
2021-02-11$32.42$31.2544.6%12.8%42.9%10.6%47.5%15.7%3.3%448.0K-42.6M-177.9K2.3422.03N/AN/A42499227,09634,476
2021-02-12$32.77$31.7543.2%12.4%42.6%9.3%46.3%15.5%4.0%861.4K-52.7M-162.2K4.5223.33N/AN/A2401,08427,25235,316
2021-02-16$32.72$31.7550.4%14.4%41.5%15.1%50.8%15.6%-2.1%832.4K-51.5M-160.3K1.0323.54N/AN/A4,1844,29627,39636,224
2021-02-17$32.39$32.2546.0%13.2%41.1%11.1%49.4%17.1%3.1%556.8K-43.0M-176.2K0.2023.92N/AN/A4,46889227,88839,856
2021-02-18$32.21$32.0044.5%12.8%37.8%9.9%46.6%16.3%2.8%624.9K-39.6M-176.0K2.0027.29N/AN/A1,5883,16827,38440,112
2021-02-19$31.88$32.2544.6%12.8%37.8%8.3%48.8%16.6%2.7%-446.2K-30.3M-190.1K0.6125.69N/AN/A2,3321,43227,17242,580
2021-02-22$30.30$32.0052.0%14.9%42.0%14.4%53.1%19.4%1.9%-478.1K1.6M-188.4K1.8726.28N/AN/A2,0163,77618,08824,368
2021-02-23$30.19$31.7551.8%14.8%41.9%14.2%56.4%18.5%0.7%-686.3K4.6M-197.9K1.0529.05N/AN/A1,8241,91619,02427,896
2021-02-24$30.38$31.7550.8%14.6%41.8%13.5%54.7%17.0%0.9%-741.5K3.1M-201.6K1.7730.37N/AN/A7561,33619,29228,968
2021-02-25$28.48$31.7566.6%19.1%42.1%26.4%66.0%23.2%-4.9%-677.1K19.1M-192.9K0.5436.89N/AN/A3,8322,05219,50429,876
2021-02-26$29.30$31.7557.1%16.4%42.6%18.6%63.4%22.8%-0.2%-845.3K14.0M-202.8K1.7338.16N/AN/A1,0201,76820,03231,668