QLD Options History — January 2023

In January 2023, QLD traded between $16.93 and $21.64. ATM implied volatility averaged 51.5%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 4.4% (HV 20d: 47.1%). Max pain ranged from $17.00 to $18.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2023-01-20: Highest Volume — 5,320 contracts
  • 2023-01-30: Largest IV spike — 12.5% change
  • 2023-01-03: Highest IV Rank — 39.2%
  • 2023-01-03: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.24$16.93$21.64$17.25$21.05
Max Pain$17.68$17.00$18.50$17.50$18.00
ATM IV51.5%45.3%58.4%58.4%54.9%
Expected Move14.7%13.0%16.7%16.7%15.7%
HV 20d47.1%39.7%53.6%49.6%40.7%
HV 60d57.6%54.8%61.7%61.7%54.8%
IV Rank17.5%6.0%39.2%39.2%21.1%
IV Percentile19.4%1.6%42.9%42.9%30.6%
Term Structure-2.1%-6.0%0.7%-1.0%-5.7%
VWIV51.2%46.0%56.3%56.3%54.7%
Skew 25d8.7%7.1%10.3%7.6%8.7%
Skew 10d15.0%6.1%18.6%6.1%14.2%
Call IV 25d46.6%40.9%53.3%53.3%50.1%
Put IV 25d55.3%50.0%60.9%60.9%58.8%
Bid-Ask Spread %25.9611.8538.6411.8521.78
Gamma HHI0.130.070.470.090.10
Net GEX555.3K280.5K926.9K353.2K478.7K
Net DEX-15.3M-23.3M-4.9M-5.4M-19.9M
Net VEX-113.1K-130.7K-98.2K-101.4K-126.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.141.040.320.15
Total Volume2,713.47725,3202,2462,274
Total OI49,882.630,82061,64454,98236,528

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$17.25$17.5058.4%16.7%49.6%39.2%56.3%7.6%-1.0%353.2K-5.4M-101.4K0.3211.85N/AN/A1,70654044,72010,262
2023-01-04$17.17$17.0057.0%16.3%48.6%36.5%54.1%8.6%0.7%356.1K-5.9M-99.8K0.3630.26N/AN/A1,14641045,3809,880
2023-01-05$16.93$17.5057.3%16.0%47.7%34.4%53.8%8.4%-1.6%343.2K-4.9M-98.2K0.2222.51N/AN/A1,15025846,0589,968
2023-01-06$17.89$17.5051.1%15.0%52.6%17.8%52.8%8.9%-1.4%502.9K-10.1M-106.7K0.4336.76N/AN/A1,61469046,36810,024
2023-01-09$18.11$17.5055.3%15.6%52.0%24.8%54.4%8.9%-1.9%554.6K-11.8M-107.5K0.3127.89N/AN/A3,08494246,87210,352
2023-01-10$18.23$17.5056.4%15.4%52.2%26.6%53.1%8.2%-2.1%591.4K-12.5M-111.4K0.6724.20N/AN/A63442647,50210,548
2023-01-11$18.84$17.5052.5%15.1%53.6%18.5%52.4%9.2%-1.8%692.3K-16.4M-114.6K0.1428.90N/AN/A3,27446047,47610,780
2023-01-12$19.05$17.5048.4%13.9%52.3%11.5%48.2%7.8%-0.1%806.0K-18.1M-113.4K0.5931.37N/AN/A1,6901,00447,88610,998
2023-01-13$19.39$17.5045.3%13.0%52.5%6.0%47.7%9.1%0.7%926.9K-21.3M-113.2K0.4823.15N/AN/A2,00496248,81610,994
2023-01-17$19.45$17.0046.9%13.4%46.0%7.1%48.2%10.3%-1.5%921.2K-23.3M-111.7K0.6815.18N/AN/A1,24084849,75611,094
2023-01-18$19.05$17.0048.9%14.0%46.5%10.5%49.0%10.1%-1.3%835.8K-19.3M-109.5K0.9614.76N/AN/A2,2522,16449,97211,224
2023-01-19$18.70$17.5048.5%13.9%44.8%9.8%49.9%9.6%-0.5%698.7K-15.2M-104.7K1.0424.63N/AN/A2,1102,20450,00211,642
2023-01-20$19.55$17.5046.9%13.4%47.3%7.0%46.0%8.8%-1.1%703.9K-21.9M-108.4K0.2832.72N/AN/A4,1601,16049,31812,126
2023-01-23$20.41$18.0048.0%13.8%48.9%9.0%47.4%8.6%-2.9%280.5K-13.8M-116.9K0.3727.99N/AN/A2,7121,01222,0488,772
2023-01-24$20.25$18.0049.8%14.3%42.2%12.1%50.2%8.6%-3.3%356.3K-14.5M-119.9K0.8138.64N/AN/A42634623,9709,024
2023-01-25$20.21$18.5049.3%14.1%42.3%11.3%48.5%8.7%-3.3%355.2K-14.3M-119.8K0.4435.47N/AN/A82036024,0949,168
2023-01-26$20.94$18.5049.5%14.2%42.0%11.7%50.4%8.6%-4.2%405.0K-17.4M-123.9K0.3421.68N/AN/A1,92465024,2649,294
2023-01-27$21.64$18.5049.7%14.3%39.7%12.1%50.8%7.1%-3.8%496.1K-21.6M-130.7K0.6620.04N/AN/A2,5821,70425,1029,422
2023-01-30$20.70$18.0056.0%16.0%41.6%23.0%55.4%8.9%-6.0%447.8K-18.1M-124.7K0.5729.36N/AN/A84448226,2629,686
2023-01-31$21.05$18.0054.9%15.7%40.7%21.1%54.7%8.7%-5.7%478.7K-19.9M-126.4K0.1521.78N/AN/A1,97829626,50810,020