QLD Options History — May 2021

In May 2021, QLD traded between $28.89 and $32.44. ATM implied volatility averaged 43.1%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 5.9% (HV 20d: 37.3%). Max pain ranged from $31.25 to $42.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2021-05-12: Highest Volume — 6,004 contracts
  • 2021-05-10: Largest IV spike — 24.1% change
  • 2021-05-12: Highest IV Rank — 47.9%
  • 2021-05-12: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.88$28.89$32.44$32.44$31.95
Max Pain$32.56$31.25$42.50$31.25$32.00
ATM IV43.1%33.7%56.5%39.1%33.7%
Expected Move12.3%9.7%16.2%11.2%9.7%
HV 20d37.3%26.0%43.3%26.0%42.9%
HV 60d44.2%41.1%46.3%42.1%41.1%
IV Rank18.9%0.0%47.9%9.9%0.0%
IV Percentile21.2%0.0%72.6%6.3%0.0%
Term Structure0.5%-2.8%3.1%2.0%1.3%
VWIV43.7%35.5%56.6%38.6%35.5%
Skew 25d14.2%9.0%18.6%13.0%9.0%
Skew 10d25.4%20.7%32.7%21.5%20.7%
Call IV 25d36.8%30.1%47.2%34.1%30.1%
Put IV 25d51.0%39.2%65.8%47.0%39.2%
Bid-Ask Spread %30.6519.8342.6040.8719.83
Gamma HHI0.110.060.260.150.06
Net GEX-206.2K-1.1M489.7K437.8K489.7K
Net DEX-2.2M-20.6M17.1M-20.6M-16.4M
Net VEX-155.8K-191.4K-19.7K-191.4K-158.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.159.430.990.67
Total Volume3,223.48446,0048441,018
Total OI61,616.73,58275,00065,95644,470

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$32.44$31.2539.1%11.2%26.0%9.9%38.6%13.0%2.0%437.8K-20.6M-191.4K0.9940.87N/AN/A42442027,16838,788
2021-05-04$30.94$31.2546.1%13.2%31.2%25.3%43.3%15.4%-0.6%-166.9K-4.2M-186.6K0.6635.93N/AN/A3,1042,06027,30438,788
2021-05-05$31.14$31.2544.7%12.8%31.3%22.3%41.2%13.5%-0.8%-127.3K-6.8M-183.5K0.2842.02N/AN/A1,75249227,31239,056
2021-05-06$31.24$32.5043.0%12.4%30.5%18.6%46.0%16.1%0.6%-141.5K-6.8M-183.7K0.5527.65N/AN/A1,04857627,63639,460
2021-05-07$32.09$32.5036.9%11.4%31.9%5.2%37.7%13.4%0.3%196.2K-17.3M-181.2K2.3526.12N/AN/A1,4043,30427,40839,596
2021-05-10$30.63$32.5045.7%12.6%35.7%24.4%43.5%14.8%-1.1%-443.9K649.3K-167.1K0.3025.63N/AN/A1,69250427,56042,104
2021-05-11$30.31$32.5052.4%13.8%34.5%38.9%49.1%16.6%-1.0%-546.0K4.1M-166.3K0.5827.02N/AN/A3,1001,79627,96442,208
2021-05-12$28.89$32.5056.5%16.2%37.0%47.9%56.4%18.6%-2.8%-672.9K17.1M-157.0K1.1824.41N/AN/A2,7483,25627,94442,644
2021-05-13$29.48$32.2548.6%13.9%35.6%30.6%56.6%16.8%-2.2%-704.8K14.0M-160.6K1.4627.41N/AN/A1,0321,50828,37644,536
2021-05-14$30.52$32.2543.3%12.4%38.4%19.1%44.1%15.0%1.1%-653.4K2.8M-162.3K0.1527.74N/AN/A3,33250428,48844,948
2021-05-17$30.01$32.0045.3%13.0%38.2%23.6%43.0%15.0%-0.1%-640.9K8.4M-151.0K0.3928.00N/AN/A81232029,08844,992
2021-05-18$30.02$32.0044.6%12.8%38.2%22.0%42.9%14.5%0.6%-694.9K8.4M-147.1K0.3534.33N/AN/A1,45251229,04845,180
2021-05-19$29.50$32.0047.5%13.6%37.8%28.2%50.0%15.6%-0.7%-546.1K14.9M-143.7K1.3838.04N/AN/A2,1282,93629,39645,420
2021-05-20$31.00$32.0042.7%12.2%42.1%17.8%44.5%14.0%0.8%-1.1M-5.4M-148.3K0.9929.14N/AN/A2,5442,50829,16045,840
2021-05-21$30.57$32.0042.2%12.1%40.9%16.8%46.2%14.4%2.2%409.1K2.3M-142.4K1.0437.91N/AN/A2,5322,64429,78445,012
2021-05-24$31.71$32.0037.9%10.9%43.2%7.4%37.1%12.6%3.1%-3.4K-13.5M-146.7K0.2130.20N/AN/A4,07284418,00818,036
2021-05-25$31.65$42.5039.2%11.3%43.2%10.3%39.3%12.3%2.2%-12.3K3.7M-19.7K0.6342.60N/AN/A8405281,3122,270
2021-05-26$31.84$32.0037.4%10.7%43.3%6.4%38.3%11.6%3.0%383.4K-14.5M-158.7K0.2321.94N/AN/A1,94044622,38819,842
2021-05-27$31.70$32.0036.0%10.3%43.2%3.2%41.0%11.6%2.7%451.1K-14.3M-159.2K9.4326.11N/AN/A2242,11223,57020,230
2021-05-28$31.95$32.0033.7%9.7%42.9%0.0%35.5%9.0%1.3%489.7K-16.4M-158.5K0.6719.83N/AN/A60841023,73620,734