QLD Options History — October 2021

In October 2021, QLD traded between $35.28 and $42.05. ATM implied volatility averaged 36.6%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 0.3% (HV 20d: 36.9%). Max pain ranged from $37.50 to $41.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2021-10-26: Highest Volume — 9,658 contracts
  • 2021-10-04: Largest IV spike — 23.9% change
  • 2021-10-04: Highest IV Rank — 52.4%
  • 2021-10-04: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.63$35.28$42.05$36.89$42.05
Max Pain$39.57$37.50$41.00$37.50$39.00
ATM IV36.6%29.6%53.9%43.5%31.5%
Expected Move10.4%8.5%13.9%12.5%9.0%
HV 20d36.9%30.2%42.5%33.3%30.2%
HV 60d29.2%27.6%30.1%27.6%29.1%
IV Rank21.2%8.7%52.4%33.7%12.1%
IV Percentile31.4%9.5%83.3%52.8%15.5%
Term Structure2.2%-1.5%3.9%-0.4%3.2%
VWIV37.3%30.3%55.4%41.4%32.7%
Skew 25d13.5%9.3%19.8%15.2%9.7%
Skew 10d26.9%20.6%34.4%25.0%33.0%
Call IV 25d30.4%25.8%39.2%35.4%27.5%
Put IV 25d43.9%36.4%59.0%50.5%37.2%
Bid-Ask Spread %20.9914.1728.8419.6117.69
Gamma HHI0.090.060.330.080.07
Net GEX359.6K-312.9K1.2M-39.1K1.1M
Net DEX-24.1M-66.4M13.2M-3.1M-66.4M
Net VEX-207.2K-244.7K-172.6K-207.1K-244.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.080.800.080.58
Total Volume5,214.8571,6309,6584,4026,096
Total OI53,992.85737,80664,82658,21450,502

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$36.89$37.5043.5%12.5%33.3%33.7%41.4%15.2%-0.4%-39.1K-3.1M-207.1K0.0819.61N/AN/A4,06234031,25426,960
2021-10-04$35.28$41.0053.9%13.9%35.7%52.4%55.4%19.8%-1.5%-106.9K13.2M-181.7K0.4923.96N/AN/A3,8221,87831,21627,036
2021-10-05$36.48$41.0043.5%12.6%38.5%33.7%44.1%18.1%0.8%-87.6K1.5M-192.0K0.2621.76N/AN/A2,07053831,41427,074
2021-10-06$36.54$41.0043.9%12.7%38.5%34.4%41.3%18.7%0.6%-35.7K-871.7K-197.5K0.6617.74N/AN/A98464632,52628,588
2021-10-07$37.46$40.5037.5%11.4%40.0%22.8%38.8%16.9%1.9%-128.2K-11.6M-201.4K0.3020.03N/AN/A3,02492032,46428,736
2021-10-08$37.06$40.5038.1%11.4%39.8%23.9%41.0%16.6%1.5%-120.8K-6.1M-193.8K0.0820.19N/AN/A2,69621832,96828,940
2021-10-11$36.66$40.5043.9%11.9%39.9%34.3%44.2%17.4%2.1%-202.2K-1.1M-178.4K0.5526.88N/AN/A1,9841,09633,22229,222
2021-10-12$36.13$40.5048.1%12.0%40.1%41.8%38.9%16.6%0.6%-300.2K7.0M-172.6K0.5625.59N/AN/A1,67493833,02429,214
2021-10-13$36.72$40.0038.9%11.2%39.8%25.4%40.5%15.1%2.2%-312.9K520.6K-173.0K0.4028.84N/AN/A1,36854633,99029,892
2021-10-14$38.09$40.0033.0%9.5%42.5%14.8%34.0%12.6%3.3%310.7K-18.2M-190.9K0.2619.83N/AN/A5,9821,58034,08030,746
2021-10-15$38.53$40.0031.6%9.1%42.0%12.3%30.3%12.6%3.3%1.2M-20.5M-190.0K0.1322.80N/AN/A4,10654233,33830,830
2021-10-18$39.40$39.5031.6%9.0%37.8%12.2%35.0%11.9%3.4%196.3K-28.2M-201.8K0.4621.06N/AN/A3,3681,55620,81816,988
2021-10-19$39.88$39.0030.8%8.8%37.5%10.8%32.7%10.6%3.2%416.1K-35.6M-206.8K0.1617.96N/AN/A2,95048222,36617,062
2021-10-20$39.84$38.5030.8%8.8%37.1%10.9%32.7%11.0%3.2%647.8K-39.5M-217.9K0.5821.60N/AN/A4,5982,67625,32418,254
2021-10-21$40.28$38.5029.6%8.5%36.8%8.7%32.3%11.5%3.7%663.6K-43.3M-228.3K0.8019.38N/AN/A3,6322,91826,10819,160
2021-10-22$39.67$38.5031.5%9.0%37.2%12.1%32.0%10.9%3.9%751.3K-37.8M-229.3K0.5825.11N/AN/A4,6762,69027,22619,320
2021-10-25$40.52$38.5030.3%8.7%37.4%9.9%33.7%9.3%3.4%817.6K-47.3M-233.2K0.5322.30N/AN/A5,1862,75427,71619,920
2021-10-26$40.94$39.0030.9%8.9%30.5%11.1%32.4%9.3%3.5%889.7K-51.4M-231.4K0.4317.00N/AN/A6,7402,91827,88220,070
2021-10-27$41.20$39.0033.0%9.5%30.4%14.8%35.4%9.8%2.1%893.5K-55.1M-241.5K0.5514.17N/AN/A4,5002,48428,54020,328
2021-10-28$41.63$39.0032.1%9.2%30.2%13.3%34.1%9.6%2.7%967.4K-61.2M-238.4K0.4417.34N/AN/A5,7642,51029,04020,492
2021-10-29$42.05$39.0031.5%9.0%30.2%12.1%32.7%9.7%3.2%1.1M-66.4M-244.7K0.5817.69N/AN/A3,8482,24829,85820,644