QLD Options History — August 2021

In August 2021, QLD traded between $37.65 and $41.20. ATM implied volatility averaged 30.4%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 7.5% (HV 20d: 23.0%). Max pain ranged from $35.00 to $38.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2021-08-23: Highest Volume — 6,224 contracts
  • 2021-08-27: Largest IV drop — 22.2% change
  • 2021-08-18: Highest IV Rank — 21.5%
  • 2021-08-18: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.95$37.65$41.20$37.81$41.09
Max Pain$37.50$35.00$38.50$35.00$38.00
ATM IV30.4%24.8%37.9%32.6%27.0%
Expected Move9.0%7.1%10.9%9.4%7.7%
HV 20d23.0%18.1%27.6%27.4%20.0%
HV 60d24.6%22.1%30.5%30.5%22.2%
IV Rank7.7%0.0%21.5%9.8%4.0%
IV Percentile7.2%0.0%27.8%7.1%1.6%
Term Structure3.8%2.0%6.9%4.3%4.4%
VWIV33.8%25.6%38.4%35.9%32.6%
Skew 25d12.2%8.7%16.4%11.4%9.4%
Skew 10d25.6%19.3%33.4%28.3%21.1%
Call IV 25d26.7%21.7%31.1%28.6%23.8%
Put IV 25d38.9%30.8%47.5%40.0%33.2%
Bid-Ask Spread %22.2114.6735.0033.2028.01
Gamma HHI0.110.070.540.070.07
Net GEX1.5M90.1K3.4M1.3M979.5K
Net DEX-53.2M-67.7M-41.7M-47.4M-66.8M
Net VEX-138.8K-155.6K-125.5K-150.8K-134.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.113.051.550.44
Total Volume2,814.1821,0866,2242,3042,678
Total OI42,196.54533,85651,84039,22242,598

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$37.81$35.0032.6%9.4%27.4%9.8%35.9%11.4%4.3%1.3M-47.4M-150.8K1.5533.20N/AN/A9041,40024,62414,598
2021-08-03$38.29$35.0029.3%8.4%27.5%3.6%30.7%10.6%5.4%1.6M-52.0M-145.3K0.2327.02N/AN/A1,73239224,93014,668
2021-08-04$38.54$35.0029.5%8.5%27.6%3.9%31.3%11.3%5.7%1.7M-55.0M-139.1K1.1335.00N/AN/A1,5401,74225,22015,306
2021-08-05$38.87$36.5028.1%9.5%26.8%1.2%35.1%12.6%3.2%1.9M-57.9M-144.9K0.3514.67N/AN/A95833425,72415,542
2021-08-06$38.56$36.5026.9%9.5%26.6%0.0%35.6%12.2%2.6%1.9M-55.9M-143.6K3.0515.83N/AN/A30091626,31415,910
2021-08-09$38.76$36.5026.2%9.2%26.6%0.0%33.2%11.7%3.4%2.2M-59.2M-130.6K1.0616.77N/AN/A77882826,50415,890
2021-08-10$38.31$36.5028.2%9.5%27.0%3.6%34.5%12.3%2.3%1.9M-54.1M-135.6K1.9717.54N/AN/A6621,30226,63816,332
2021-08-11$38.19$37.5033.8%9.7%27.0%14.0%34.3%12.1%2.0%1.8M-53.6M-125.5K0.6516.27N/AN/A1,22680226,03616,540
2021-08-12$38.52$38.5032.4%9.3%26.0%11.4%30.5%12.3%2.8%1.9M-54.7M-130.3K0.7115.91N/AN/A65246226,04817,796
2021-08-13$38.71$38.5031.3%9.0%25.3%9.3%32.7%10.3%3.5%2.6M-58.3M-129.8K0.6421.67N/AN/A66242426,61418,162
2021-08-16$38.66$38.5032.3%9.3%22.7%11.3%34.7%12.0%3.2%2.4M-55.5M-126.7K0.2616.62N/AN/A3,17483226,54018,406
2021-08-17$37.90$38.5035.1%10.1%20.0%16.4%36.6%14.3%3.0%1.6M-46.2M-130.0K2.0824.59N/AN/A9501,98026,66618,404
2021-08-18$37.65$38.5037.9%10.9%20.2%21.5%37.1%14.6%2.4%1.3M-45.4M-135.3K0.8023.71N/AN/A2,1441,70827,52418,742
2021-08-19$37.78$38.5037.0%10.6%19.4%19.9%37.3%16.4%4.1%1.0M-44.4M-138.3K0.2718.36N/AN/A4,1781,14427,86621,444
2021-08-20$38.55$38.5032.6%9.3%18.5%11.8%32.7%15.2%3.6%3.4M-54.8M-145.0K0.2222.50N/AN/A4,12092228,66423,176
2021-08-23$39.71$38.5030.3%8.7%21.4%7.5%35.5%12.0%2.9%90.1K-41.7M-143.7K0.5821.20N/AN/A3,9302,29418,87814,978
2021-08-24$39.90$38.5028.8%8.3%18.8%4.9%37.0%11.7%4.8%313.0K-45.8M-143.4K0.1122.43N/AN/A1,96220820,30415,580
2021-08-25$40.04$38.0028.0%8.0%18.1%3.4%38.4%12.7%4.9%399.5K-48.8M-150.4K0.4021.30N/AN/A1,55862821,48416,442
2021-08-26$39.52$38.0031.8%9.1%18.9%10.3%31.9%14.8%2.5%329.7K-46.3M-155.6K0.5123.09N/AN/A1,57280622,26816,536
2021-08-27$40.33$38.0024.8%7.1%19.1%0.0%25.6%10.7%6.9%624.2K-59.8M-137.3K0.1432.36N/AN/A2,48035823,61016,474
2021-08-30$41.20$38.0025.6%7.4%20.1%1.6%29.6%8.7%5.2%1.0M-67.7M-137.8K0.2320.59N/AN/A3,47479624,93417,410
2021-08-31$41.09$38.0027.0%7.7%20.0%4.0%32.6%9.4%4.4%979.5K-66.8M-134.9K0.4428.01N/AN/A1,86281625,05417,544