QLD Options History — June 2021

In June 2021, QLD traded between $31.07 and $36.01. ATM implied volatility averaged 32.8%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.1% (HV 20d: 29.8%). Max pain ranged from $31.25 to $32.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-06-18: Highest Volume — 8,508 contracts
  • 2021-06-04: Largest IV drop — 14.7% change
  • 2021-06-09: Highest IV Rank — 9.7%
  • 2021-06-03: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.57$31.07$36.01$31.70$36.01
Max Pain$31.66$31.25$32.50$32.00$32.50
ATM IV32.8%28.2%38.0%36.5%28.7%
Expected Move9.5%8.1%11.1%10.5%8.2%
HV 20d29.8%21.3%43.0%43.0%21.7%
HV 60d34.7%31.4%40.6%40.6%31.4%
IV Rank2.8%0.0%9.7%6.1%1.1%
IV Percentile1.8%0.0%8.3%4.8%0.4%
Term Structure4.6%1.7%6.7%1.7%6.3%
VWIV35.1%30.5%49.9%35.7%31.7%
Skew 25d10.4%8.3%14.0%10.6%8.5%
Skew 10d22.3%18.1%28.2%20.0%20.9%
Call IV 25d29.5%26.5%33.2%32.8%27.1%
Put IV 25d39.9%35.0%46.0%43.4%35.6%
Bid-Ask Spread %37.4515.5063.5632.0425.25
Gamma HHI0.120.050.510.060.17
Net GEX1.2M-20.4K4.4M414.3K1.4M
Net DEX-35.4M-58.1M-7.1M-16.5M-51.9M
Net VEX-140.8K-152.8K-127.3K-146.8K-141.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.092.882.880.17
Total Volume3,221.9091,1188,5082,0022,512
Total OI45,432.90933,12853,78843,94242,236

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$31.70$32.0036.5%10.5%43.0%6.1%35.7%10.6%1.7%414.3K-16.5M-146.8K2.8832.04N/AN/A5161,48623,91420,028
2021-06-02$31.67$32.0035.1%10.1%39.4%3.0%36.5%11.1%3.1%198.2K-13.4M-148.1K1.0240.95N/AN/A81282824,17821,368
2021-06-03$31.07$31.2538.0%11.1%39.9%9.3%37.1%12.8%3.5%-20.4K-7.1M-148.9K0.8829.00N/AN/A61053624,84022,034
2021-06-04$32.19$31.2532.4%9.9%41.9%0.0%49.9%11.7%5.7%194.6K-18.8M-152.8K0.7925.50N/AN/A1,5421,22224,91422,888
2021-06-07$32.26$31.2534.4%10.3%40.8%4.1%35.4%12.0%4.7%431.5K-21.5M-145.4K1.6515.50N/AN/A56092625,66822,294
2021-06-08$32.40$31.2534.6%10.2%36.8%4.5%40.0%11.1%4.6%466.2K-22.6M-147.1K0.1435.94N/AN/A1,92027225,90622,936
2021-06-09$32.40$31.2537.1%10.6%36.5%9.7%37.2%11.1%3.7%517.2K-22.8M-147.4K0.6331.66N/AN/A79450026,60422,908
2021-06-10$32.97$31.2534.4%9.9%31.4%4.2%34.7%10.0%4.6%1.0M-32.5M-141.4K0.9933.71N/AN/A1,6501,63426,67823,146
2021-06-11$33.12$31.2533.1%9.5%31.0%1.4%35.4%9.7%4.9%1.4M-36.3M-140.3K0.7026.12N/AN/A65646227,37822,536
2021-06-14$33.66$31.2532.9%9.4%29.4%1.0%33.4%10.0%5.7%1.8M-44.9M-127.3K0.2627.13N/AN/A2,28058827,31022,764
2021-06-15$33.45$31.2534.0%9.8%28.6%3.3%36.1%10.3%5.2%1.7M-41.4M-134.2K0.2539.31N/AN/A3,67691228,31222,702
2021-06-16$33.30$31.2533.2%9.5%28.7%1.6%34.9%9.7%6.1%1.9M-40.6M-135.3K0.2763.56N/AN/A4,0781,10229,13422,956
2021-06-17$34.16$31.2532.8%9.4%28.3%0.7%34.0%9.9%3.3%3.1M-58.1M-128.9K0.2036.44N/AN/A4,22086029,85423,252
2021-06-18$33.69$31.2535.0%10.0%24.5%5.4%34.7%14.0%4.0%4.4M-50.6M-131.1K0.1149.14N/AN/A7,65285630,29023,498
2021-06-21$33.81$31.2534.0%9.7%23.5%3.3%34.9%11.5%2.5%824.2K-32.2M-130.1K0.2140.03N/AN/A2,75857020,80612,322
2021-06-22$34.56$31.2529.5%8.5%21.3%0.0%32.9%10.1%5.6%1.1M-39.7M-136.2K0.5555.07N/AN/A3,0661,69422,47812,742
2021-06-23$34.58$32.5029.5%8.5%21.3%0.0%31.3%9.3%4.8%1.2M-41.6M-140.2K0.7048.56N/AN/A2,6301,85024,34613,788
2021-06-24$34.97$32.5030.4%8.7%21.4%1.8%31.2%9.8%4.2%1.2M-43.2M-143.4K0.3025.43N/AN/A2,29667824,62814,254
2021-06-25$34.87$32.5028.9%8.3%21.3%0.0%30.5%8.3%4.6%1.3M-43.2M-145.6K1.2436.72N/AN/A54067225,45414,412
2021-06-28$35.71$32.5028.2%8.1%22.4%0.0%31.6%8.6%6.7%1.4M-49.1M-142.8K0.0957.84N/AN/A2,24219825,61614,978
2021-06-29$35.98$32.5029.3%8.4%21.8%2.1%33.8%8.3%5.5%1.5M-51.8M-142.7K0.8849.04N/AN/A3,2062,82026,08215,092
2021-06-30$36.01$32.5028.7%8.2%21.7%1.1%31.7%8.5%6.3%1.4M-51.9M-141.4K0.1725.25N/AN/A2,14237026,14416,092