QLD Options History — September 2022 In September 2022, QLD traded between $18.59 and $24.86. ATM implied volatility averaged 65.5%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 6.8% (HV 20d: 58.7%). Max pain ranged from $21.00 to $24.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.13.
Notable Days 2022-09-16 : Highest Volume — 13,388 contracts2022-09-12 : Largest IV spike — 28.4% change2022-09-13 : Highest IV Rank — 86.5%2022-09-30 : Largest Expected Move — 21.0%Monthly Statistics Metric Avg Min Max Open Close Price $21.52 $18.59 $24.86 $22.91 $18.59 Max Pain $22.40 $21.00 $24.50 $24.50 $21.00 ATM IV 65.5% 54.0% 80.2% 62.6% 73.4% Expected Move 18.2% 15.4% 21.0% 17.9% 21.0% HV 20d 58.7% 48.1% 64.9% 50.2% 64.0% HV 60d 57.9% 55.5% 62.4% 62.3% 57.7% IV Rank 61.9% 42.1% 86.5% 59.0% 75.0% IV Percentile 78.6% 54.4% 98.8% 74.6% 94.8% Term Structure -1.9% -5.3% 0.7% -1.9% -5.3% VWIV 60.9% 52.4% 71.6% 60.6% 62.1% Skew 25d 13.9% 10.5% 16.3% 11.8% 13.6% Skew 10d 24.4% 15.4% 28.9% 21.0% 22.9% Call IV 25d 56.7% 47.3% 65.8% 57.2% 63.5% Put IV 25d 70.6% 61.2% 81.9% 69.0% 77.1% Bid-Ask Spread % 54.30 29.73 72.70 36.57 51.82 Gamma HHI 0.11 0.08 0.17 0.11 0.08 Net GEX 379.2K 47.6K 1.3M 400.8K 229.4K Net DEX 4.7M -14.6M 11.8M 3.9M 8.9M Net VEX -171.9K -207.7K -144.1K -189.5K -144.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.17 3.49 0.92 1.77 Total Volume 6,980.857 1,042 13,388 3,182 12,110 Total OI 63,531.81 55,098 70,874 61,778 64,708
Daily Data (21 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 2022-09-01 $22.91 $24.50 62.6% 17.9% 50.2% 59.0% 60.6% 11.8% -1.9% 400.8K 3.9M -189.5K 0.92 36.57 N/A N/A 1,660 1,522 40,334 21,444 2022-09-02 $22.35 $24.00 62.7% 18.0% 50.5% 59.1% 61.5% 10.5% -1.9% 331.8K 8.2M -184.6K 0.27 29.73 N/A N/A 1,066 290 40,624 22,376 2022-09-06 $22.25 $22.50 68.2% 17.6% 50.5% 68.0% 57.3% 16.0% -3.5% 317.0K 9.0M -174.7K 1.72 70.31 N/A N/A 4,020 6,916 40,806 22,206 2022-09-07 $23.16 $22.50 62.9% 17.0% 53.1% 57.6% 54.8% 14.7% -2.2% 443.4K 3.2M -189.5K 1.53 72.29 N/A N/A 3,852 5,900 41,238 22,264 2022-09-08 $23.13 $22.50 61.3% 16.9% 48.1% 54.5% 52.4% 14.0% -2.6% 441.8K 3.2M -185.8K 0.28 63.55 N/A N/A 814 228 41,596 22,110 2022-09-09 $24.39 $22.50 54.0% 15.4% 52.8% 42.1% 54.1% 13.9% 0.7% 919.8K -7.9M -203.2K 0.17 52.64 N/A N/A 3,506 608 43,630 22,170 2022-09-12 $24.86 $22.50 69.3% 15.7% 51.1% 68.1% 53.6% 12.6% -1.3% 1.3M -14.6M -207.7K 0.31 36.36 N/A N/A 3,318 1,024 45,788 22,492 2022-09-13 $22.09 $22.50 80.2% 18.1% 63.6% 86.5% 61.2% 15.6% -4.3% 372.0K 8.9M -176.3K 1.42 49.35 N/A N/A 5,078 7,198 47,462 22,666 2022-09-14 $22.57 $22.50 60.4% 17.3% 64.7% 53.0% 62.4% 14.1% -2.6% 344.9K 4.6M -181.5K 3.49 51.71 N/A N/A 494 1,724 47,530 22,336 2022-09-15 $21.85 $22.50 60.7% 17.4% 64.9% 53.4% 61.8% 14.2% -0.7% 222.3K 10.9M -168.6K 2.15 51.00 N/A N/A 908 1,956 47,726 23,148 2022-09-16 $21.40 $22.50 61.8% 17.7% 64.6% 55.4% 61.3% 14.5% -0.7% 47.6K 11.8M -163.2K 1.47 61.92 N/A N/A 5,426 7,962 48,034 22,840 2022-09-19 $21.77 $22.50 60.9% 17.5% 64.5% 53.8% 56.4% 13.5% -0.8% 281.2K 4.0M -168.8K 0.33 41.94 N/A N/A 3,650 1,212 35,996 19,102 2022-09-20 $21.61 $22.50 64.9% 18.6% 62.0% 60.6% 61.1% 12.6% -2.6% 363.3K 4.2M -174.1K 0.18 33.03 N/A N/A 1,762 310 38,828 19,782 2022-09-21 $20.79 $22.50 65.1% 18.7% 62.8% 60.9% 62.9% 13.1% -2.0% 305.6K 7.1M -166.5K 0.19 66.00 N/A N/A 1,656 312 39,542 19,900 2022-09-22 $20.57 $22.50 63.9% 18.3% 62.3% 58.9% 59.1% 13.0% -2.3% 291.2K 4.2M -159.5K 0.64 68.36 N/A N/A 2,264 1,446 40,014 17,506 2022-09-23 $19.53 $22.50 65.7% 18.8% 62.3% 61.9% 64.1% 12.8% -0.4% 202.3K 8.2M -147.5K 0.55 52.91 N/A N/A 2,980 1,636 40,454 17,966 2022-09-26 $19.50 $22.00 69.5% 19.9% 57.7% 68.3% 66.1% 14.0% -1.8% 267.4K 5.4M -150.9K 1.40 68.78 N/A N/A 5,466 7,668 42,504 17,342 2022-09-27 $19.34 $22.00 71.3% 20.5% 57.7% 71.5% 71.6% 16.1% -2.0% 270.2K 6.8M -155.8K 1.36 52.97 N/A N/A 5,616 7,616 43,608 18,346 2022-09-28 $20.26 $21.00 67.0% 19.2% 60.8% 64.1% 65.2% 16.3% -1.6% 378.5K 1.8M -169.6K 1.88 56.31 N/A N/A 4,292 8,068 45,032 18,416 2022-09-29 $18.95 $21.00 69.4% 19.9% 64.2% 68.2% 69.3% 15.9% 0.6% 261.9K 7.6M -149.3K 1.76 72.70 N/A N/A 4,738 8,326 45,594 18,708 2022-09-30 $18.59 $21.00 73.4% 21.0% 64.0% 75.0% 62.1% 13.6% -5.3% 229.4K 8.9M -144.1K 1.77 51.82 N/A N/A 4,370 7,740 45,790 18,918
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