QLD Options History — December 2021 In December 2021, QLD traded between $40.70 and $45.74. ATM implied volatility averaged 43.2%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 0.7% (HV 20d: 43.8%). Max pain ranged from $38.75 to $42.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.02.
Notable Days 2021-12-17 : Highest Volume — 11,684 contracts2021-12-13 : Largest IV spike — 29.9% change2021-12-03 : Highest IV Rank — 80.7%2021-12-03 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $43.59 $40.70 $45.74 $43.09 $44.79 Max Pain $39.83 $38.75 $42.50 $42.50 $40.00 ATM IV 43.2% 31.7% 63.7% 53.1% 31.7% Expected Move 12.1% 9.1% 18.3% 15.2% 9.1% HV 20d 43.8% 31.6% 50.6% 32.3% 46.6% HV 60d 35.7% 32.4% 37.7% 32.5% 34.9% IV Rank 38.2% 14.5% 80.7% 58.8% 14.5% IV Percentile 59.9% 19.0% 98.0% 92.5% 19.0% Term Structure 2.9% -7.9% 6.7% -3.0% 5.9% VWIV 45.5% 33.6% 58.2% 55.9% 34.1% Skew 25d 15.1% 8.6% 25.4% 19.3% 8.6% Skew 10d 29.3% 16.2% 45.2% 36.2% 16.2% Call IV 25d 36.2% 29.1% 52.1% 44.5% 29.1% Put IV 25d 51.3% 37.6% 77.5% 63.7% 37.6% Bid-Ask Spread % 40.13 20.05 64.43 37.72 33.39 Gamma HHI 0.09 0.07 0.16 0.08 0.09 Net GEX 164.0K -446.8K 1.2M 137.3K 200.6K Net DEX -48.1M -68.0M -20.0M -45.1M -57.0M Net VEX -249.9K -277.9K -225.6K -277.9K -245.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.51 2.19 0.75 0.86 Total Volume 7,017.364 4,432 11,684 4,432 7,054 Total OI 57,243.364 48,100 67,898 55,508 56,586
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-12-01 $43.09 $42.50 53.1% 15.2% 32.3% 58.8% 55.9% 19.3% -3.0% 137.3K -45.1M -277.9K 0.75 37.72 N/A N/A 2,528 1,904 30,842 24,666 2021-12-02 $43.15 $42.50 51.6% 14.8% 31.6% 55.6% 53.9% 20.8% -5.0% 108.5K -44.8M -277.3K 1.10 38.56 N/A N/A 2,450 2,692 31,052 25,070 2021-12-03 $40.78 $42.50 63.7% 18.3% 36.0% 80.7% 57.5% 25.4% -7.9% -30.4K -20.0M -271.0K 0.62 21.51 N/A N/A 4,082 2,544 31,084 25,282 2021-12-06 $42.08 $38.75 53.6% 14.1% 38.0% 59.8% 56.5% 20.5% 2.0% -29.6K -32.1M -267.8K 0.69 42.60 N/A N/A 3,352 2,300 31,858 25,796 2021-12-07 $44.38 $38.75 42.3% 12.0% 43.0% 36.4% 44.2% 17.7% 3.7% 301.0K -61.6M -258.9K 0.79 54.53 N/A N/A 4,044 3,184 32,148 26,074 2021-12-08 $44.85 $38.75 38.9% 11.7% 42.9% 29.4% 49.0% 15.4% 3.8% 297.5K -66.2M -262.6K 1.35 51.97 N/A N/A 2,456 3,310 32,488 26,800 2021-12-09 $44.00 $38.75 44.9% 12.6% 41.8% 41.8% 49.1% 16.6% 4.2% 72.5K -53.9M -265.8K 1.05 37.29 N/A N/A 2,354 2,466 32,514 27,850 2021-12-10 $44.49 $38.75 38.9% 11.2% 41.8% 29.2% 42.6% 15.5% 5.4% 97.1K -62.5M -254.8K 2.19 46.73 N/A N/A 2,102 4,604 32,686 28,192 2021-12-13 $43.73 $38.75 50.5% 12.1% 41.7% 53.3% 45.3% 15.8% 5.1% -224.1K -51.9M -246.0K 1.72 32.01 N/A N/A 3,402 5,868 32,932 30,706 2021-12-14 $42.37 $38.75 50.6% 12.9% 43.2% 53.6% 46.7% 15.7% 3.7% -446.8K -31.5M -246.6K 0.66 43.76 N/A N/A 6,282 4,168 33,386 31,020 2021-12-15 $43.94 $38.75 42.1% 12.1% 44.8% 36.1% 43.8% 14.2% 4.0% 12.3K -57.9M -248.4K 0.51 64.43 N/A N/A 5,334 2,718 34,170 30,920 2021-12-16 $42.18 $38.75 43.8% 12.5% 46.9% 39.4% 47.1% 15.6% 2.7% -37.0K -31.4M -241.7K 0.65 37.43 N/A N/A 6,460 4,220 34,242 30,878 2021-12-17 $41.80 $40.00 45.8% 13.1% 46.2% 43.7% 58.2% 15.8% 0.5% 1.2M -22.2M -243.2K 0.99 49.90 N/A N/A 5,876 5,808 35,768 32,130 2021-12-20 $40.70 $40.00 48.1% 13.8% 46.6% 48.3% 52.1% 16.2% 3.7% -23.6K -22.7M -240.2K 0.77 50.71 N/A N/A 3,714 2,868 25,630 22,470 2021-12-21 $42.39 $40.00 42.5% 12.2% 49.4% 36.9% 46.9% 14.6% 3.4% 58.0K -36.9M -246.1K 0.83 30.67 N/A N/A 3,226 2,692 26,520 23,012 2021-12-22 $43.49 $40.00 38.0% 10.9% 49.7% 27.4% 44.1% 13.4% 4.8% 137.2K -46.6M -242.7K 1.18 47.37 N/A N/A 2,128 2,502 26,928 23,298 2021-12-23 $44.65 $40.00 33.7% 9.6% 50.6% 18.5% 34.8% 11.5% 6.3% 258.2K -57.6M -228.1K 0.86 43.58 N/A N/A 3,752 3,212 26,810 23,296 2021-12-27 $45.74 $40.00 32.9% 9.4% 49.9% 16.8% 33.6% 10.5% 6.7% 439.9K -68.0M -225.6K 0.88 38.19 N/A N/A 3,830 3,366 27,628 24,084 2021-12-28 $45.62 $40.00 35.1% 10.1% 48.2% 21.4% 36.2% 10.7% 5.1% 429.7K -63.8M -234.2K 1.82 31.06 N/A N/A 2,492 4,530 28,208 24,694 2021-12-29 $45.53 $40.00 34.0% 9.7% 46.8% 19.1% 33.6% 9.6% 4.4% 341.3K -64.1M -232.3K 1.06 20.05 N/A N/A 2,998 3,182 28,318 25,946 2021-12-30 $45.20 $40.00 33.9% 9.7% 46.4% 18.9% 35.7% 9.3% 4.4% 274.3K -59.3M -242.2K 1.10 29.36 N/A N/A 3,020 3,308 28,824 26,548 2021-12-31 $44.79 $40.00 31.7% 9.1% 46.6% 14.5% 34.1% 8.6% 5.9% 200.6K -57.0M -245.0K 0.86 33.39 N/A N/A 3,794 3,260 29,518 27,068
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