QLD Options History — July 2023

In July 2023, QLD traded between $31.48 and $35.09. ATM implied volatility averaged 34.6%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 2.3% (HV 20d: 32.3%). Max pain ranged from $25.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2023-07-13: Highest Volume — 4,804 contracts
  • 2023-07-10: Largest IV spike — 8.0% change
  • 2023-07-25: Highest IV Rank — 6.4%
  • 2023-07-10: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.25$31.48$35.09$32.27$34.33
Max Pain$28.10$25.00$31.00$26.50$31.00
ATM IV34.6%31.7%36.0%32.5%33.7%
Expected Move10.1%9.3%10.9%9.3%9.7%
HV 20d32.3%30.3%34.5%33.5%31.9%
HV 60d33.0%32.2%34.7%32.9%32.9%
IV Rank4.1%0.0%6.4%0.4%3.0%
IV Percentile6.3%0.0%13.1%0.8%3.6%
Term Structure0.5%-1.2%2.6%2.6%1.2%
VWIV36.3%32.5%41.6%36.7%34.4%
Skew 25d5.2%3.8%7.6%4.7%4.0%
Skew 10d11.8%8.6%17.5%12.3%10.5%
Call IV 25d33.3%31.2%34.7%31.9%32.7%
Put IV 25d38.5%35.3%42.3%36.6%36.7%
Bid-Ask Spread %24.5211.9542.5433.5241.77
Gamma HHI0.150.100.250.120.10
Net GEX572.6K139.5K1.1M458.6K506.8K
Net DEX-61.7M-85.8M-43.9M-59.5M-53.1M
Net VEX-184.0K-191.3K-176.4K-180.7K-188.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.203.072.280.41
Total Volume1,985.74784,804590838
Total OI48,003.540,27455,95647,89842,360

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$32.27$26.5032.5%9.3%33.5%0.4%36.7%4.7%2.6%458.6K-59.5M-180.7K2.2833.52N/AN/A18041029,05618,842
2023-07-05$32.40$26.5033.1%9.5%33.5%1.4%33.4%4.0%2.5%463.0K-61.6M-178.4K0.7642.54N/AN/A50038229,14818,882
2023-07-06$31.79$25.0033.5%10.7%34.4%2.0%41.6%7.6%0.1%431.4K-56.9M-181.4K0.3415.23N/AN/A2,16473229,34818,866
2023-07-07$31.76$26.5031.7%10.3%31.1%0.0%36.2%7.1%0.7%351.2K-56.0M-187.4K0.3213.94N/AN/A1,08435229,33819,368
2023-07-10$31.48$26.5034.2%10.9%30.4%3.7%39.5%7.6%-1.2%297.3K-53.4M-186.2K3.0711.95N/AN/A17252829,45419,612
2023-07-11$31.83$26.5035.3%10.7%30.5%5.3%40.4%7.3%-0.5%373.6K-55.5M-186.7K1.2814.05N/AN/A37448029,43619,842
2023-07-12$32.73$27.5035.2%10.1%30.3%5.2%34.6%6.2%1.1%624.0K-63.4M-181.0K0.2023.47N/AN/A1,50630429,54220,032
2023-07-13$33.94$27.5035.1%10.1%32.3%5.0%38.9%6.0%-0.6%815.1K-72.1M-176.7K0.3024.01N/AN/A3,6861,11829,86220,076
2023-07-14$33.73$27.5035.4%10.1%32.4%5.4%38.6%4.9%2.1%853.0K-72.3M-176.4K0.4318.47N/AN/A2,9241,25630,65620,510
2023-07-17$34.45$27.5035.3%10.1%31.2%5.3%36.9%4.5%-0.3%911.8K-80.5M-180.7K0.6221.86N/AN/A1,10267832,14820,924
2023-07-18$35.09$27.5035.4%10.1%31.2%5.4%36.1%4.0%0.3%1.0M-85.8M-177.0K1.0626.72N/AN/A9561,01832,50420,868
2023-07-19$34.94$27.5035.7%10.2%31.1%6.0%36.0%4.3%0.2%1.1M-85.1M-179.3K0.5323.46N/AN/A2,6421,39032,79421,050
2023-07-20$33.33$27.5035.9%10.3%34.5%6.2%36.6%5.5%0.1%986.1K-71.2M-184.1K1.1119.95N/AN/A1,6481,83633,07421,376
2023-07-21$33.13$29.0035.1%10.1%34.2%5.1%35.6%4.3%0.9%139.5K-69.3M-188.8K1.5620.91N/AN/A1,5322,38833,29622,660
2023-07-24$33.16$30.0035.7%10.2%33.6%6.0%35.0%4.6%-0.3%414.9K-44.5M-190.5K0.7822.55N/AN/A65450824,91615,358
2023-07-25$33.75$30.0036.0%10.3%32.3%6.4%36.2%4.3%-0.3%431.5K-48.8M-190.5K1.1523.20N/AN/A22225625,10415,618
2023-07-26$33.47$30.5033.8%9.7%31.2%3.2%33.1%3.8%0.4%423.9K-47.3M-185.9K0.3127.06N/AN/A65820625,19015,822
2023-07-27$33.06$30.5035.6%10.2%31.6%5.8%34.7%5.0%0.5%395.8K-43.9M-191.3K0.3929.36N/AN/A1,20646625,32215,952
2023-07-28$34.41$31.0032.9%9.4%34.0%1.9%32.5%4.0%0.9%486.7K-53.6M-188.5K0.3436.30N/AN/A1,01034825,60416,260
2023-07-31$34.33$31.0033.7%9.7%31.9%3.0%34.4%4.0%1.2%506.8K-53.1M-188.9K0.4141.77N/AN/A59624225,93216,428