QLD Options History — November 2021

In November 2021, QLD traded between $42.38 and $46.15. ATM implied volatility averaged 37.3%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 14.2% (HV 20d: 23.1%). Max pain ranged from $39.00 to $42.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2021-11-23: Highest Volume — 9,222 contracts
  • 2021-11-26: Largest IV spike — 17.6% change
  • 2021-11-30: Highest IV Rank — 47.9%
  • 2021-11-30: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.37$42.38$46.15$42.38$43.85
Max Pain$40.71$39.00$42.50$39.00$42.50
ATM IV37.3%29.1%47.8%31.3%47.8%
Expected Move10.8%8.3%13.7%9.0%13.7%
HV 20d23.1%19.4%32.0%23.4%32.0%
HV 60d30.0%29.0%32.3%29.0%32.3%
IV Rank25.8%9.0%47.9%11.7%47.9%
IV Percentile41.4%6.7%79.4%15.1%79.4%
Term Structure1.3%-1.6%4.1%3.5%-1.6%
VWIV41.4%33.7%52.4%33.8%48.6%
Skew 25d11.7%7.9%19.5%8.4%17.9%
Skew 10d24.6%20.8%36.9%21.2%32.0%
Call IV 25d33.0%26.8%40.6%28.1%40.6%
Put IV 25d44.7%34.7%58.6%36.5%58.6%
Bid-Ask Spread %23.2715.1942.6315.6427.74
Gamma HHI0.090.060.210.080.09
Net GEX1.3M148.1K2.4M1.4M222.2K
Net DEX-83.3M-117.6M-49.3M-71.8M-52.5M
Net VEX-243.8K-281.3K-228.3K-239.1K-276.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.351.420.730.55
Total Volume6,738.4764,8749,2225,6444,874
Total OI55,752.85744,51263,88651,49655,118

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$42.38$39.0031.3%9.0%23.4%11.7%33.8%8.4%3.5%1.4M-71.8M-239.1K0.7315.64N/AN/A3,2602,38430,62220,874
2021-11-02$42.98$39.0030.7%8.8%21.6%10.6%33.7%8.5%4.1%1.5M-78.9M-232.0K0.6316.20N/AN/A4,4362,80030,82821,026
2021-11-03$43.80$39.0029.1%8.3%21.8%9.0%34.7%7.9%2.8%1.6M-88.4M-228.9K0.7919.50N/AN/A3,8223,00231,25220,802
2021-11-04$44.80$40.0032.6%10.0%21.6%16.4%40.4%10.0%1.5%1.4M-97.9M-228.8K0.5817.17N/AN/A4,3802,53431,82222,458
2021-11-05$45.05$40.0034.0%10.4%20.4%19.2%42.7%9.9%2.0%1.4M-100.2M-228.3K0.5721.39N/AN/A4,1662,38632,17022,702
2021-11-08$44.84$40.0034.4%10.5%19.6%20.1%39.9%9.4%1.8%1.5M-97.0M-229.7K0.7924.86N/AN/A3,0442,40432,58422,882
2021-11-09$44.23$40.0037.6%11.2%19.4%26.6%43.4%11.9%1.1%1.5M-90.6M-233.5K0.6425.08N/AN/A3,9322,52833,29823,234
2021-11-10$42.82$40.0039.9%11.4%24.4%31.3%41.4%11.8%0.9%1.3M-72.0M-243.9K1.0221.50N/AN/A4,3984,50233,22023,590
2021-11-11$43.24$41.0038.8%11.1%22.0%29.2%39.5%11.3%0.3%1.3M-74.0M-245.8K0.6315.19N/AN/A4,1342,59233,53425,802
2021-11-12$44.09$41.0036.3%10.4%22.4%23.9%41.4%10.4%2.5%1.6M-87.3M-239.8K0.6720.21N/AN/A4,2082,84033,84426,050
2021-11-15$43.97$41.0037.3%10.7%21.9%26.0%40.8%10.5%2.2%1.9M-89.0M-233.8K0.6217.91N/AN/A4,2242,61234,90826,432
2021-11-16$44.80$40.5035.6%10.2%22.2%22.5%37.8%10.6%2.1%2.1M-100.3M-233.3K0.7422.20N/AN/A3,5702,65235,25026,850
2021-11-17$44.88$40.5035.4%10.2%22.2%22.2%38.7%10.6%2.7%2.4M-102.1M-232.9K0.5322.36N/AN/A4,0942,18835,80426,718
2021-11-18$45.74$40.5036.5%10.5%22.6%24.5%40.9%10.8%0.5%2.1M-111.4M-234.5K0.4621.44N/AN/A4,8442,22635,91427,212
2021-11-19$46.15$40.5037.5%10.8%21.1%26.5%39.0%11.6%0.8%1.4M-117.6M-241.5K0.3520.85N/AN/A6,4322,26636,53827,348
2021-11-22$45.80$41.0038.6%11.1%21.1%28.7%41.4%10.4%-0.1%750.9K-74.4M-238.9K0.8129.96N/AN/A3,6282,92627,16817,344
2021-11-23$44.57$42.0040.6%11.6%24.1%32.8%45.7%14.9%-0.2%557.9K-63.7M-259.5K1.4228.47N/AN/A3,8065,41628,05618,858
2021-11-24$44.94$42.5039.7%11.4%24.1%30.9%48.4%13.3%1.5%333.1K-65.1M-270.5K1.1522.32N/AN/A3,2683,74629,25822,810
2021-11-26$43.56$42.5046.7%13.4%27.0%45.4%52.4%19.5%-0.8%148.1K-49.3M-281.3K0.6336.08N/AN/A3,2522,05229,55023,408
2021-11-29$45.22$42.5042.4%12.2%29.7%36.7%44.2%16.0%-0.5%290.4K-65.6M-267.4K0.5642.63N/AN/A3,6302,05029,73623,936
2021-11-30$43.85$42.5047.8%13.7%32.0%47.9%48.6%17.9%-1.6%222.2K-52.5M-276.5K0.5527.74N/AN/A3,1361,73830,90224,216