QLD Options History — December 2022

In December 2022, QLD traded between $16.70 and $21.57. ATM implied volatility averaged 60.5%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 5.4% (HV 20d: 55.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2022-12-13: Highest Volume — 5,142 contracts
  • 2022-12-14: Largest IV drop — 42.9% change
  • 2022-12-12: Highest IV Rank — 100.0%
  • 2022-12-28: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.04$16.70$21.57$21.57$17.34
Max Pain$18.50$17.50$20.00$17.50$17.50
ATM IV60.5%48.4%99.7%56.6%53.5%
Expected Move15.3%13.9%16.4%16.2%15.3%
HV 20d55.1%44.0%67.9%67.0%49.6%
HV 60d63.0%61.5%66.7%66.7%61.9%
IV Rank45.7%24.6%100.0%44.1%32.1%
IV Percentile46.7%15.9%100.0%39.7%26.6%
Term Structure1.0%-6.3%3.7%-6.3%1.8%
VWIV52.1%47.5%57.6%57.6%53.0%
Skew 25d8.9%6.1%11.0%8.1%8.0%
Skew 10d17.2%13.5%22.2%15.2%19.6%
Call IV 25d48.4%44.3%52.4%52.3%49.3%
Put IV 25d57.3%52.2%60.8%60.4%57.3%
Bid-Ask Spread %33.676.8965.4239.066.89
Gamma HHI0.090.070.100.090.09
Net GEX516.4K267.8K918.9K810.8K346.7K
Net DEX-11.8M-26.5M-2.3M-26.5M-5.4M
Net VEX-125.1K-163.8K-95.9K-163.8K-102.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.101.600.380.21
Total Volume2,543.3337745,1422,6502,130
Total OI54,877.61949,84658,95254,75454,528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$21.57$17.5056.6%16.2%67.0%44.1%57.6%8.1%-6.3%810.8K-26.5M-163.8K0.3839.06N/AN/A1,91873243,15011,604
2022-12-02$21.20$18.0055.4%15.9%64.7%41.9%54.5%6.1%-5.2%804.0K-23.5M-158.1K0.2428.50N/AN/A1,83644843,51411,778
2022-12-05$20.45$20.0063.0%14.7%66.6%55.3%51.5%10.4%1.5%672.8K-17.6M-145.3K0.3622.66N/AN/A1,48854043,37011,954
2022-12-06$19.73$20.0070.0%15.6%67.9%67.8%50.1%11.0%-0.1%586.7K-13.4M-138.2K0.5262.61N/AN/A1,21863844,44012,164
2022-12-07$19.54$20.0072.0%15.8%67.9%71.4%53.4%10.6%-0.2%548.0K-13.0M-134.6K1.6064.54N/AN/A29847644,30012,046
2022-12-08$19.98$20.0070.9%15.5%65.0%69.3%55.2%10.7%0.4%628.2K-16.2M-139.6K0.1556.54N/AN/A1,47422244,38812,056
2022-12-09$19.88$19.0070.2%15.5%46.6%68.0%53.4%9.7%1.6%650.1K-16.3M-138.9K0.2758.18N/AN/A1,00226645,48212,126
2022-12-12$20.11$19.0099.7%16.1%44.0%100.0%56.3%9.6%-1.0%715.1K-18.5M-138.1K0.1060.74N/AN/A1,48615245,91412,094
2022-12-13$20.75$19.0084.9%15.0%45.4%78.2%50.8%9.2%0.9%918.9K-24.5M-141.0K0.1360.68N/AN/A4,55458846,79612,156
2022-12-14$20.30$19.0048.4%13.9%45.5%24.6%48.0%8.4%3.5%832.8K-18.2M-134.7K0.1165.42N/AN/A4,58251845,65612,106
2022-12-15$18.94$19.0051.6%14.8%50.7%29.3%50.7%9.8%2.0%325.1K-5.6M-116.9K0.4015.43N/AN/A3,0501,22845,11012,326
2022-12-16$18.72$19.0051.2%14.7%50.7%28.7%49.9%9.4%3.7%370.0K-6.2M-114.9K0.8521.27N/AN/A2,6742,28246,21612,174
2022-12-19$18.02$18.5052.8%15.1%52.0%30.9%52.3%8.5%2.9%296.9K-5.2M-112.4K0.2916.04N/AN/A1,84053240,0009,846
2022-12-20$18.14$17.5051.7%14.8%51.8%29.4%51.2%8.6%3.3%329.1K-6.6M-112.8K0.6622.85N/AN/A76250240,6589,716
2022-12-21$18.58$17.5049.1%14.1%51.7%25.6%47.5%7.8%3.0%380.0K-8.5M-116.1K0.2915.90N/AN/A1,49843240,8829,708
2022-12-22$17.45$18.0053.7%15.4%54.9%32.4%52.2%9.3%1.5%286.7K-3.2M-104.2K0.2611.06N/AN/A3,26485640,8089,738
2022-12-23$17.64$17.5051.7%14.8%55.3%29.5%48.7%7.9%2.2%368.6K-6.0M-108.7K0.4818.93N/AN/A85841043,3229,928
2022-12-27$17.26$17.5053.6%15.4%54.8%32.2%52.1%8.3%2.8%321.5K-4.3M-102.0K0.2014.08N/AN/A1,01620843,15410,050
2022-12-28$16.70$17.5057.2%16.4%55.4%37.5%54.3%7.5%-0.1%267.8K-2.3M-95.9K0.1923.95N/AN/A2,54247643,2649,978
2022-12-29$17.63$17.5053.6%15.4%50.4%32.3%51.9%8.8%2.6%384.2K-7.0M-107.6K0.2721.81N/AN/A1,90850643,9729,958
2022-12-30$17.34$17.5053.5%15.3%49.6%32.1%53.0%8.0%1.8%346.7K-5.4M-102.8K0.216.89N/AN/A1,75437644,38410,144