QLD Options History — November 2022

In November 2022, QLD traded between $17.27 and $21.23. ATM implied volatility averaged 60.1%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 8.6% (HV 20d: 68.7%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2022-11-10: Highest Volume — 13,534 contracts
  • 2022-11-28: Largest IV spike — 10.2% change
  • 2022-11-08: Highest IV Rank — 69.0%
  • 2022-11-02: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.61$17.27$21.23$19.18$21.23
Max Pain$16.62$15.00$18.00$18.00$17.50
ATM IV60.1%50.7%70.7%67.8%57.6%
Expected Move16.9%14.5%19.5%19.4%16.5%
HV 20d68.7%61.0%77.5%63.3%71.2%
HV 60d64.4%60.5%67.8%60.5%67.1%
IV Rank50.4%33.5%69.0%65.5%45.8%
IV Percentile52.2%25.0%88.1%77.4%42.5%
Term Structure-2.8%-7.0%-0.2%-5.4%-6.5%
VWIV59.0%50.8%66.3%64.4%57.7%
Skew 25d8.6%5.7%10.4%6.4%8.4%
Skew 10d16.1%9.4%19.8%12.6%19.8%
Call IV 25d54.7%46.5%64.1%64.0%53.0%
Put IV 25d63.3%55.8%70.4%70.4%61.4%
Bid-Ask Spread %24.2413.9245.8715.1736.40
Gamma HHI0.090.060.150.060.09
Net GEX609.7K209.9K1.0M407.3K728.2K
Net DEX-16.2M-31.2M-590.1K-6.3M-23.6M
Net VEX-152.4K-173.9K-125.8K-158.5K-161.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.171.701.190.34
Total Volume9,719.04845813,53411,7523,050
Total OI58,321.71450,37463,71259,61054,070

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$19.18$18.0067.8%19.4%63.3%65.5%64.4%6.4%-5.4%407.3K-6.3M-158.5K1.1915.17N/AN/A5,3686,38442,44817,162
2022-11-02$18.06$18.0067.9%19.5%66.1%65.7%66.3%5.7%-6.0%280.8K-2.9M-144.1K1.1020.87N/AN/A5,6626,22042,63815,902
2022-11-03$17.27$15.0066.4%17.7%67.3%63.1%62.3%7.6%-1.5%209.9K-590.1K-125.8K1.1520.45N/AN/A5,4566,29243,17614,672
2022-11-04$17.63$15.0065.0%17.7%61.3%58.9%62.7%7.5%-2.9%254.6K-3.6M-129.2K1.2524.50N/AN/A5,9287,40844,44214,410
2022-11-07$18.09$15.0067.9%17.6%62.0%64.0%62.5%6.9%-2.3%363.0K-7.3M-138.6K1.0816.95N/AN/A5,6466,11845,41414,250
2022-11-08$18.45$15.0070.7%17.9%61.0%69.0%63.0%8.1%-4.2%458.1K-10.7M-148.1K1.1016.31N/AN/A5,3705,90646,62414,276
2022-11-09$17.52$15.0064.2%18.4%63.9%57.5%63.0%7.9%-3.1%338.3K-5.3M-133.9K1.0422.99N/AN/A5,5485,79247,34814,250
2022-11-10$19.92$15.0059.9%17.2%77.5%49.8%61.1%8.2%-2.7%720.9K-22.0M-167.0K1.1518.45N/AN/A6,2987,23647,35214,380
2022-11-11$20.80$15.0056.9%16.3%74.9%44.6%60.3%8.9%-1.9%922.8K-29.5M-173.9K1.0813.92N/AN/A6,3566,85647,65014,274
2022-11-14$20.59$16.0057.7%16.5%72.3%46.0%58.6%9.3%-1.4%938.3K-27.6M-168.4K1.1721.24N/AN/A5,5806,53447,71214,664
2022-11-15$20.98$16.5056.9%16.3%72.5%44.5%58.1%10.4%-1.9%1.0M-31.2M-171.2K1.4818.86N/AN/A4,6146,84847,84614,678
2022-11-16$20.39$17.5057.2%16.4%73.2%45.1%57.8%10.3%-1.9%922.1K-24.8M-162.2K1.7018.92N/AN/A3,9886,76048,04415,084
2022-11-17$20.17$17.5057.8%16.6%73.3%46.2%57.3%9.5%-1.0%900.2K-23.2M-157.3K1.6422.30N/AN/A4,2066,89848,28214,992
2022-11-18$20.32$17.5055.6%16.0%71.4%42.4%55.7%9.1%-0.9%920.0K-24.7M-158.1K0.9516.03N/AN/A6,2725,93848,46015,252
2022-11-21$19.88$17.5056.5%16.2%71.5%43.8%56.5%8.5%-2.0%497.4K-14.3M-149.4K1.6623.13N/AN/A3,3825,59839,57410,800
2022-11-22$20.39$17.5053.8%15.4%70.7%39.0%53.6%9.6%-1.5%553.0K-16.7M-154.6K1.3122.40N/AN/A4,2925,63839,97211,100
2022-11-23$20.77$17.5050.7%14.5%69.2%33.5%50.8%9.3%-0.2%652.0K-20.1M-157.5K1.4133.79N/AN/A4,1025,78841,36011,172
2022-11-25$20.59$17.5052.6%15.1%67.6%36.9%52.4%9.6%-0.6%648.4K-18.9M-154.9K0.8945.87N/AN/A24221641,93611,480
2022-11-28$19.90$17.5058.0%16.6%66.2%46.5%56.3%9.4%-4.6%563.9K-14.3M-144.8K0.1734.59N/AN/A2,33439641,93811,672
2022-11-29$19.60$18.0060.4%17.3%66.0%50.7%58.6%9.0%-7.0%523.8K-12.5M-142.0K0.7645.83N/AN/A90068042,22611,774
2022-11-30$21.23$17.5057.6%16.5%71.2%45.8%57.7%8.4%-6.5%728.2K-23.6M-161.8K0.3436.40N/AN/A2,28476642,34611,724