QLD Options History — July 2021

In July 2021, QLD traded between $35.52 and $38.69. ATM implied volatility averaged 33.6%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 10.9% (HV 20d: 22.8%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2021-07-20: Highest Volume — 8,164 contracts
  • 2021-07-08: Largest IV spike — 29.3% change
  • 2021-07-19: Highest IV Rank — 29.7%
  • 2021-07-19: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.32$35.52$38.69$35.85$37.84
Max Pain$34.69$32.50$35.00$32.50$35.00
ATM IV33.6%27.5%43.2%28.0%32.1%
Expected Move9.9%7.9%12.4%8.0%9.2%
HV 20d22.8%18.2%28.5%20.0%28.5%
HV 60d31.1%30.1%32.0%31.5%30.5%
IV Rank11.6%0.0%29.7%0.0%8.8%
IV Percentile9.4%0.0%31.7%0.0%6.3%
Term Structure3.5%0.7%6.3%6.0%3.9%
VWIV35.8%28.4%43.5%30.8%29.3%
Skew 25d11.4%6.7%15.5%9.0%10.2%
Skew 10d24.3%19.2%29.2%20.6%26.4%
Call IV 25d29.8%24.3%35.8%26.2%28.3%
Put IV 25d41.2%31.0%51.4%35.2%38.5%
Bid-Ask Spread %19.2912.1033.0228.9228.27
Gamma HHI0.140.060.440.180.07
Net GEX1.4M604.9K2.5M1.3M1.3M
Net DEX-52.7M-70.4M-27.3M-48.9M-47.4M
Net VEX-143.1K-158.2K-125.0K-136.6K-155.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.101.080.420.17
Total Volume3,468.2869948,1641,036998
Total OI40,417.04829,58649,25641,43038,702

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$35.85$32.5028.0%8.0%20.0%0.0%30.8%9.0%6.0%1.3M-48.9M-136.6K0.4228.92N/AN/A73230425,40616,024
2021-07-02$36.73$32.5027.5%7.9%18.3%0.0%28.4%6.7%6.3%1.6M-56.6M-131.8K0.2233.02N/AN/A1,73837425,55816,110
2021-07-06$37.09$33.5030.0%10.1%18.2%4.8%34.8%11.2%3.8%1.4M-58.5M-128.0K1.0812.10N/AN/A1,3721,48625,68216,146
2021-07-07$37.20$35.0031.6%10.4%18.3%7.8%38.7%10.6%2.9%1.4M-61.8M-125.0K0.2912.87N/AN/A2,45270825,94416,858
2021-07-08$36.61$35.0040.8%11.5%19.9%25.2%41.6%12.9%1.8%1.3M-53.8M-139.4K0.1613.72N/AN/A5,11482626,65016,898
2021-07-09$37.21$35.0030.6%10.3%19.8%5.8%39.8%10.7%2.4%1.8M-64.9M-140.3K0.7414.76N/AN/A96271428,47817,448
2021-07-12$37.44$35.0031.8%10.0%19.8%8.3%35.5%10.9%4.2%1.9M-67.3M-133.1K0.1013.38N/AN/A2,54625028,63417,746
2021-07-13$37.58$35.0036.2%10.5%19.5%16.4%38.6%11.6%3.1%2.0M-68.8M-133.8K0.3915.87N/AN/A3,8581,50829,23817,764
2021-07-14$37.76$35.0035.2%10.1%19.0%14.6%39.2%11.1%4.4%2.0M-70.4M-134.4K0.3916.41N/AN/A1,94074829,88218,442
2021-07-15$37.03$35.0036.7%10.5%20.7%17.4%40.4%11.5%2.3%2.3M-58.4M-136.8K0.1616.35N/AN/A6,2081,01229,07218,842
2021-07-16$36.49$35.0036.9%10.6%20.4%17.8%38.7%13.0%2.4%2.5M-57.9M-135.3K0.2715.51N/AN/A4,4961,22429,72419,532
2021-07-19$35.52$35.0043.2%12.4%22.4%29.7%43.5%15.5%0.7%604.9K-27.3M-146.2K0.3112.68N/AN/A3,8221,20218,80810,778
2021-07-20$36.96$35.0035.6%10.2%26.0%15.4%37.7%13.6%2.8%682.8K-34.7M-149.0K0.3016.37N/AN/A6,2881,87619,10611,828
2021-07-21$37.11$35.0034.5%9.9%25.1%13.2%33.6%12.5%3.0%950.1K-38.3M-158.2K0.1516.41N/AN/A86812621,61013,180
2021-07-22$37.71$35.0033.9%9.7%25.5%12.2%32.1%12.9%3.3%1.0M-42.9M-157.5K0.1316.38N/AN/A2,10226821,75213,402
2021-07-23$38.69$35.0030.9%8.8%26.5%6.4%30.0%10.3%4.2%1.2M-51.5M-153.2K0.1117.55N/AN/A3,94843022,25013,444
2021-07-26$38.66$35.0032.7%9.4%26.4%9.8%33.4%10.0%3.6%1.2M-51.1M-149.8K0.2427.95N/AN/A1,34232622,25013,444
2021-07-27$37.66$35.0036.3%10.4%27.6%16.7%37.3%12.8%2.7%1.2M-44.2M-155.7K0.2917.84N/AN/A4,6421,33823,26213,408
2021-07-28$38.29$35.0031.6%9.0%28.0%7.7%37.2%10.7%4.3%1.3M-49.6M-152.7K1.0031.48N/AN/A52652823,47213,418
2021-07-29$38.37$35.0030.3%8.7%28.0%5.4%31.1%11.4%5.1%1.4M-51.9M-152.4K0.2427.26N/AN/A1,32031224,17614,390
2021-07-30$37.84$35.0032.1%9.2%28.5%8.8%29.3%10.2%3.9%1.3M-47.4M-155.2K0.1728.27N/AN/A85214624,25414,448