QLD Options History — May 2023

In May 2023, QLD traded between $23.86 and $29.09. ATM implied volatility averaged 37.4%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 4.2% (HV 20d: 33.2%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2023-05-18: Highest Volume — 8,468 contracts
  • 2023-05-05: Largest IV drop — 18.1% change
  • 2023-05-30: Highest IV Rank — 14.0%
  • 2023-05-30: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.03$23.86$29.09$24.85$28.86
Max Pain$22.41$20.00$25.00$22.50$25.00
ATM IV37.4%33.9%43.1%36.7%40.8%
Expected Move10.9%9.8%12.4%10.5%11.7%
HV 20d33.2%30.5%35.5%30.5%34.4%
HV 60d36.1%33.6%38.0%38.0%35.6%
IV Rank4.5%0.0%14.0%0.0%10.4%
IV Percentile3.8%0.0%15.5%0.0%10.3%
Term Structure0.2%-4.7%2.1%1.4%-3.2%
VWIV39.9%30.1%51.6%43.2%42.7%
Skew 25d10.7%5.2%14.3%8.7%5.2%
Skew 10d20.5%8.7%26.9%15.1%8.7%
Call IV 25d33.5%29.0%42.0%33.5%39.2%
Put IV 25d44.3%39.9%51.1%42.2%44.4%
Bid-Ask Spread %25.1413.2654.6242.0733.36
Gamma HHI0.160.110.240.120.18
Net GEX1.1M545.2K2.1M806.6K1.1M
Net DEX-33.6M-56.8M-19.5M-26.1M-55.1M
Net VEX-171.9K-200.2K-139.4K-143.4K-188.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.193.422.091.66
Total Volume2,614.4553128,4681,466830
Total OI44,354.72737,37251,83837,37248,140

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$24.85$22.5036.7%10.5%30.5%0.0%43.2%8.7%1.4%806.6K-26.1M-143.4K2.0942.07N/AN/A47499225,69011,682
2023-05-02$24.33$22.5039.7%11.4%31.5%4.8%42.8%10.2%0.3%692.3K-23.1M-142.2K0.8942.83N/AN/A59853425,81411,562
2023-05-03$24.11$22.5040.8%11.7%31.3%6.5%40.8%11.7%1.8%629.4K-22.1M-144.7K0.9054.62N/AN/A43639226,03011,806
2023-05-04$23.86$20.0042.2%12.3%31.1%8.7%51.6%14.3%0.3%545.2K-19.5M-139.4K3.2017.88N/AN/A4901,56826,21212,152
2023-05-05$24.91$20.0034.5%11.0%34.4%0.0%40.3%13.4%1.3%882.4K-26.9M-141.6K3.4213.26N/AN/A1,3944,76426,44412,744
2023-05-08$25.00$20.0033.9%11.0%34.3%0.0%37.5%13.0%1.4%915.7K-24.4M-170.4K0.6518.19N/AN/A56436627,25016,452
2023-05-09$24.66$20.0036.2%11.5%34.6%3.5%41.1%13.6%0.8%833.9K-22.5M-170.5K0.6817.78N/AN/A18612627,41016,346
2023-05-10$25.29$20.0036.8%10.5%34.9%4.3%38.1%12.5%1.6%1.1M-27.5M-171.0K0.6417.33N/AN/A1,08068627,39416,376
2023-05-11$25.35$21.5035.5%10.2%32.5%2.4%40.5%12.2%2.1%1.3M-28.2M-169.8K1.0515.83N/AN/A38840827,96016,528
2023-05-12$25.13$21.5036.6%10.5%32.6%4.1%43.1%12.8%1.8%1.2M-25.9M-167.1K0.9214.60N/AN/A94687228,01616,674
2023-05-15$25.40$21.5034.9%10.0%32.8%1.4%30.1%11.9%2.0%1.5M-28.3M-166.1K0.1919.47N/AN/A2,00037628,06016,900
2023-05-16$25.61$22.0035.8%10.3%32.8%2.8%37.1%11.6%1.4%1.8M-31.2M-169.4K0.5726.72N/AN/A1,21468629,55417,236
2023-05-17$26.13$22.0034.3%9.8%33.4%0.5%32.1%11.3%1.6%2.1M-36.6M-169.3K0.4719.00N/AN/A3,8241,80029,73417,434
2023-05-18$27.02$22.0034.1%9.8%33.7%0.3%33.7%9.2%-0.4%1.6M-46.8M-176.7K0.2215.23N/AN/A6,9381,53031,06817,780
2023-05-19$26.92$22.5034.4%9.9%33.9%0.7%37.8%10.0%2.1%1.7M-47.4M-186.9K0.6219.34N/AN/A2,5421,57433,73418,104
2023-05-22$27.10$23.5035.3%10.1%33.8%2.1%35.2%9.9%-0.9%1.1M-36.9M-188.1K0.4725.77N/AN/A1,42266228,84014,496
2023-05-23$26.53$24.0037.0%10.6%32.0%4.7%39.5%10.5%-0.2%1.0M-32.5M-192.1K3.2826.71N/AN/A13845229,89615,122
2023-05-24$26.16$25.0040.0%11.5%32.8%9.3%42.3%12.1%-1.6%845.0K-28.8M-195.8K2.1820.10N/AN/A18039230,09216,538
2023-05-25$27.52$25.0039.4%11.3%32.3%8.3%41.2%10.3%-1.7%1.0M-40.9M-200.2K0.3923.45N/AN/A1,62263430,40016,802
2023-05-26$28.85$25.0041.0%11.8%35.5%10.8%43.3%6.8%-3.3%985.5K-52.1M-199.9K1.9628.74N/AN/A2,6105,10630,74416,918
2023-05-30$29.09$25.0043.1%12.4%35.5%14.0%44.7%5.3%-4.7%1.1M-56.8M-189.4K0.8340.85N/AN/A2,0381,68431,85215,818
2023-05-31$28.86$25.0040.8%11.7%34.4%10.4%42.7%5.2%-3.2%1.1M-55.1M-188.6K1.6633.36N/AN/A31251832,01416,126