QLD Options History — October 2022

In October 2022, QLD traded between $17.40 and $20.54. ATM implied volatility averaged 69.7%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 4.9% (HV 20d: 64.8%). Max pain ranged from $17.50 to $20.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2022-10-07: Highest Volume — 17,288 contracts
  • 2022-10-12: Largest IV drop — 8.2% change
  • 2022-10-11: Highest IV Rank — 86.5%
  • 2022-10-11: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.04$17.40$20.54$19.27$19.62
Max Pain$18.60$17.50$20.50$20.50$18.00
ATM IV69.7%63.6%80.2%66.3%66.1%
Expected Move19.7%18.2%21.3%19.0%19.0%
HV 20d64.8%55.9%69.1%65.8%65.5%
HV 60d59.8%58.2%61.6%58.2%60.4%
IV Rank68.7%58.3%86.5%62.9%62.7%
IV Percentile84.2%71.8%98.4%80.6%73.8%
Term Structure-4.5%-8.2%-0.5%-0.5%-5.2%
VWIV66.9%61.3%72.5%65.4%63.7%
Skew 25d11.9%7.0%15.0%12.4%7.0%
Skew 10d22.3%13.3%28.8%23.7%14.3%
Call IV 25d63.0%58.2%66.1%61.5%61.8%
Put IV 25d74.9%68.7%80.4%73.9%68.7%
Bid-Ask Spread %34.3711.2873.9770.5519.97
Gamma HHI0.060.050.090.080.06
Net GEX302.1K160.9K474.5K277.7K457.8K
Net DEX609.9K-12.0M10.9M4.6M-9.1M
Net VEX-155.9K-182.5K-129.9K-149.0K-165.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.331.081.901.901.33
Total Volume14,153.52411,23817,28813,89611,238
Total OI66,906.09554,02275,81464,37459,582

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$19.27$20.5066.3%19.0%65.8%62.9%65.4%12.4%-0.5%277.7K4.6M-149.0K1.9070.55N/AN/A4,7869,11046,39817,976
2022-10-04$20.27$20.5063.6%18.2%69.0%58.3%61.6%12.9%-0.8%372.8K688.6K-168.2K1.1035.11N/AN/A7,7308,47646,40219,220
2022-10-05$20.54$20.5064.9%18.6%67.4%60.6%61.3%14.1%-1.0%377.2K-754.2K-174.2K1.4273.97N/AN/A5,9588,48446,25419,612
2022-10-06$20.09$20.0068.1%18.9%67.6%66.0%64.5%14.7%-4.6%371.7K935.5K-167.3K1.8721.69N/AN/A4,4428,31847,70419,512
2022-10-07$18.45$19.5072.7%19.8%69.1%73.8%67.3%14.3%-7.3%166.7K9.7M-138.4K1.1726.00N/AN/A7,9549,33447,43419,670
2022-10-10$18.23$20.0078.2%20.8%68.0%83.1%67.3%15.0%-6.1%171.1K10.4M-137.5K1.0830.79N/AN/A7,5788,20048,66820,190
2022-10-11$17.61$19.5080.2%21.3%56.8%86.5%70.6%14.2%-7.4%160.9K10.9M-129.9K1.3336.09N/AN/A6,7629,00449,87419,674
2022-10-12$17.73$18.0073.6%21.1%55.9%75.3%70.6%13.7%-7.9%191.9K8.4M-136.0K1.6241.21N/AN/A5,2248,48451,18619,776
2022-10-13$18.46$17.5072.0%20.7%58.3%72.7%72.5%14.1%-8.2%268.4K4.5M-147.7K1.3232.56N/AN/A6,9549,17852,17219,782
2022-10-14$17.40$17.5071.1%20.4%60.9%71.1%70.0%12.3%-5.4%217.3K8.6M-134.3K1.0833.85N/AN/A7,8388,44653,98820,074
2022-10-17$18.54$17.5070.2%20.1%65.7%69.5%69.8%13.0%-5.8%284.8K2.4M-151.8K1.1334.40N/AN/A7,1348,04654,75820,370
2022-10-18$18.74$17.5069.7%20.0%66.0%68.7%69.2%11.7%-6.1%290.7K1.0M-154.1K1.1736.23N/AN/A6,9408,10255,20020,580
2022-10-19$18.48$18.0070.1%20.1%65.0%69.4%67.1%11.7%-6.6%249.6K1.8M-152.8K1.5035.65N/AN/A5,2607,87454,89820,400
2022-10-20$18.36$18.0068.7%19.7%65.0%67.1%67.2%12.7%-2.6%245.2K2.7M-146.2K1.5040.71N/AN/A5,5768,33654,91420,460
2022-10-21$19.30$18.0068.5%19.6%65.4%66.6%67.4%12.3%-2.7%280.6K-2.4M-160.9K1.1811.31N/AN/A7,7089,10855,47420,340
2022-10-24$19.73$18.0070.3%20.2%65.9%69.7%69.0%9.8%-3.3%333.0K-7.1M-173.1K1.2931.87N/AN/A5,1086,59237,33216,690
2022-10-25$20.51$18.0067.3%19.3%67.1%64.7%66.8%8.8%-2.9%427.3K-12.0M-182.5K1.2711.28N/AN/A5,4146,87438,79816,748
2022-10-26$19.68$18.0067.4%19.3%66.8%64.8%66.2%8.3%-2.7%392.1K-7.5M-171.6K1.4134.92N/AN/A5,0347,08439,87216,756
2022-10-27$18.93$18.0068.6%19.7%63.8%66.8%64.6%8.0%-4.5%332.4K-3.7M-157.9K1.1623.13N/AN/A5,5066,37040,55017,042
2022-10-28$20.00$18.0065.3%18.7%66.2%61.3%62.4%8.3%-3.0%474.5K-11.3M-174.8K1.1340.44N/AN/A5,4666,19441,75616,942
2022-10-31$19.62$18.0066.1%19.0%65.5%62.7%63.7%7.0%-5.2%457.8K-9.1M-165.6K1.3319.97N/AN/A4,8146,42442,43017,152