QLD Options History — January 2022

In January 2022, QLD traded between $32.97 and $45.34. ATM implied volatility averaged 51.8%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 10.0% (HV 20d: 41.8%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2022-01-24: Highest Volume — 18,192 contracts
  • 2022-01-21: Largest IV spike — 17.8% change
  • 2022-01-26: Highest IV Rank — 100.0%
  • 2022-01-26: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.62$32.97$45.34$45.34$36.53
Max Pain$40.27$35.00$43.00$40.00$35.00
ATM IV51.8%32.5%74.2%32.5%55.6%
Expected Move14.9%9.3%21.3%9.3%15.9%
HV 20d41.8%37.8%51.2%41.3%51.2%
HV 60d38.7%34.6%43.9%34.6%43.9%
IV Rank55.7%16.0%100.0%16.0%62.5%
IV Percentile78.5%22.2%100.0%22.2%93.7%
Term Structure-1.2%-9.8%4.3%4.3%-3.7%
VWIV49.8%35.6%67.2%39.2%53.5%
Skew 25d17.5%9.5%24.9%9.5%18.3%
Skew 10d30.6%19.6%42.4%19.9%33.5%
Call IV 25d44.1%28.9%59.7%28.9%47.3%
Put IV 25d61.6%38.4%84.5%38.4%65.6%
Bid-Ask Spread %30.2611.3556.9118.4939.13
Gamma HHI0.080.050.110.090.09
Net GEX71.3K-369.0K808.8K371.8K808.8K
Net DEX-1.7M-63.1M40.1M-63.1M-5.1M
Net VEX-223.3K-256.7K-175.1K-242.8K-255.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.641.901.361.18
Total Volume11,080.67,85618,1927,85611,538
Total OI59,268.239,84670,74057,32652,174

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$45.34$40.0032.5%9.3%41.3%16.0%39.2%9.5%4.3%371.8K-63.1M-242.8K1.3618.49N/AN/A3,3284,52830,09027,236
2022-01-04$44.38$41.2535.2%10.1%41.1%21.6%35.6%10.3%3.3%115.2K-50.5M-244.7K0.7311.87N/AN/A6,2564,54829,91028,384
2022-01-05$41.94$41.2540.9%11.7%41.6%33.5%40.4%13.4%3.6%-282.9K-20.3M-252.7K0.6434.16N/AN/A6,4124,09030,23028,810
2022-01-06$41.45$43.0044.5%12.9%41.4%41.1%43.6%16.6%1.4%-254.1K-15.4M-256.7K0.7213.96N/AN/A5,0923,67231,58629,360
2022-01-07$40.66$42.5040.7%13.2%41.4%33.0%42.3%15.7%1.1%-129.5K-8.8M-248.4K0.6915.89N/AN/A5,3743,69033,13029,532
2022-01-10$40.30$42.5046.8%13.2%41.1%45.7%45.2%16.1%0.4%-75.5K-4.1M-233.2K0.6416.82N/AN/A6,0363,85834,50429,668
2022-01-11$41.70$42.5042.6%12.4%43.0%37.0%42.4%15.3%1.1%2.1K-21.6M-248.4K0.7111.35N/AN/A5,3803,81034,41429,826
2022-01-12$42.23$42.5041.8%12.0%41.9%35.3%40.5%15.0%2.0%373.4K-30.9M-246.5K0.7519.98N/AN/A5,1923,88835,74230,054
2022-01-13$40.27$42.5046.9%13.4%42.8%45.9%45.4%17.0%-0.4%-97.9K-1.1M-230.4K0.9220.49N/AN/A4,4724,13234,86430,266
2022-01-14$40.58$42.5046.2%13.2%40.7%44.5%44.0%16.3%0.5%-113.6K-3.8M-228.5K0.8912.45N/AN/A4,6744,16435,09630,628
2022-01-18$38.50$42.5053.7%15.4%44.4%60.0%52.5%16.7%-2.5%-265.6K19.8M-193.8K0.9123.71N/AN/A5,1044,64035,43631,280
2022-01-19$38.12$42.0052.8%15.1%43.7%58.2%51.2%17.0%-2.3%-369.0K24.6M-191.0K1.0926.27N/AN/A5,0325,48636,12431,742
2022-01-20$37.02$41.0054.1%15.5%41.4%60.9%53.1%16.5%-0.8%-129.3K32.2M-182.6K1.0731.27N/AN/A7,6348,13637,07231,476
2022-01-21$35.02$40.5063.7%18.3%43.0%80.8%55.3%18.9%-4.1%105.6K40.1M-175.1K1.3743.14N/AN/A6,3388,71237,90832,832
2022-01-24$34.34$40.0067.3%19.3%40.7%88.1%66.9%24.1%-6.2%-9.2K17.4M-193.5K0.8848.73N/AN/A9,6988,49421,87217,974
2022-01-25$33.76$37.5067.4%19.3%38.3%88.4%67.2%24.3%-4.4%241.2K14.0M-205.4K0.9454.12N/AN/A7,2986,84626,79619,126
2022-01-26$33.17$36.5074.2%21.3%38.0%100.0%63.8%24.9%-9.8%341.3K14.0M-207.3K0.8756.30N/AN/A6,8225,95829,35619,644
2022-01-27$32.97$35.0069.7%20.0%37.8%90.9%59.0%22.8%-6.3%332.9K16.2M-199.6K1.9056.91N/AN/A3,7187,06029,86019,720
2022-01-28$34.07$35.0059.8%17.1%41.5%71.0%55.1%20.6%-2.2%459.8K12.2M-229.1K1.4250.08N/AN/A4,3366,16630,39221,250
2022-01-31$36.53$35.0055.6%15.9%51.2%62.5%53.5%18.3%-3.7%808.8K-5.1M-255.8K1.1839.13N/AN/A5,2966,24230,74621,428