QLD Options History — August 2023 In August 2023, QLD traded between $29.93 and $34.34. ATM implied volatility averaged 37.6%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 3.8% (HV 20d: 33.8%). Max pain ranged from $27.50 to $33.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.69.
Notable Days 2023-08-18 : Highest Volume — 5,410 contracts2023-08-02 : Largest IV spike — 14.5% change2023-08-17 : Highest IV Rank — 13.9%2023-08-17 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $31.78 $29.93 $34.34 $34.34 $33.36 Max Pain $30.04 $27.50 $33.50 $31.00 $28.00 ATM IV 37.6% 31.8% 41.1% 33.9% 31.8% Expected Move 10.8% 9.1% 11.8% 9.7% 9.1% HV 20d 33.8% 29.2% 38.8% 31.9% 35.6% HV 60d 33.7% 32.2% 34.7% 32.8% 34.7% IV Rank 8.7% 0.2% 13.9% 3.2% 0.2% IV Percentile 19.9% 0.4% 32.1% 4.4% 0.4% Term Structure 1.4% -0.4% 3.9% 1.2% 2.2% VWIV 38.3% 32.2% 44.7% 33.8% 32.2% Skew 25d 8.1% 4.1% 10.4% 4.1% 4.4% Skew 10d 16.4% 8.6% 20.1% 8.6% 11.0% Call IV 25d 34.0% 30.3% 36.9% 32.7% 30.3% Put IV 25d 42.1% 34.7% 45.7% 36.9% 34.7% Bid-Ask Spread % 37.39 15.20 69.90 38.08 54.29 Gamma HHI 0.13 0.07 0.57 0.10 0.17 Net GEX 548.1K -136.6K 2.2M 494.5K 1.4M Net DEX -38.5M -60.3M -22.0M -54.5M -60.3M Net VEX -187.2K -199.3K -178.5K -189.1K -186.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.18 1.43 0.77 0.33 Total Volume 1,934.348 556 5,410 556 874 Total OI 44,349.565 38,200 48,222 42,956 47,006
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-08-01 $34.34 $31.00 33.9% 9.7% 31.9% 3.2% 33.8% 4.1% 1.2% 494.5K -54.5M -189.1K 0.77 38.08 N/A N/A 314 242 26,362 16,594 2023-08-02 $32.81 $31.50 38.8% 11.1% 36.3% 10.5% 38.1% 6.3% 0.1% 340.5K -42.6M -195.3K 1.11 24.00 N/A N/A 980 1,092 26,526 16,748 2023-08-03 $32.69 $33.50 40.3% 11.4% 35.6% 12.7% 38.7% 9.4% -0.2% 281.3K -41.0M -199.3K 0.39 15.20 N/A N/A 648 250 26,534 17,410 2023-08-04 $32.35 $33.50 37.9% 11.1% 35.9% 9.2% 38.1% 10.0% 0.9% 248.9K -38.4M -198.9K 1.06 21.76 N/A N/A 570 606 26,756 17,466 2023-08-07 $32.78 $33.00 36.6% 10.7% 35.9% 7.2% 36.6% 9.2% 0.8% 201.0K -42.4M -191.8K 0.73 24.96 N/A N/A 566 416 26,782 17,686 2023-08-08 $32.38 $33.00 38.1% 11.0% 36.1% 9.5% 40.4% 9.9% 0.3% 155.3K -38.5M -192.6K 0.90 25.20 N/A N/A 1,156 1,036 27,012 17,842 2023-08-09 $31.77 $33.00 38.5% 11.0% 35.2% 10.1% 39.6% 10.1% -0.4% 39.8K -33.4M -192.6K 0.30 31.02 N/A N/A 1,064 322 26,814 18,510 2023-08-10 $31.64 $33.00 38.6% 11.1% 32.3% 10.2% 37.2% 10.4% -0.3% 187.2K -34.0M -190.6K 0.62 32.89 N/A N/A 670 416 27,652 18,550 2023-08-11 $31.32 $32.50 37.1% 10.7% 32.4% 8.1% 37.2% 9.5% -0.1% 16.8K -30.3M -184.3K 0.44 38.09 N/A N/A 1,114 494 27,624 18,758 2023-08-14 $31.93 $32.50 36.7% 10.5% 32.2% 7.4% 43.7% 8.8% 0.7% -136.6K -36.5M -179.9K 0.24 34.33 N/A N/A 2,820 668 27,450 18,752 2023-08-15 $31.24 $29.00 39.1% 11.2% 31.7% 11.0% 44.6% 9.7% 3.2% -55.8K -29.0M -180.5K 0.27 39.01 N/A N/A 1,962 522 27,630 18,718 2023-08-16 $30.78 $27.50 38.8% 11.1% 31.8% 10.6% 38.4% 9.2% 2.6% 221.6K -28.5M -181.6K 1.11 34.00 N/A N/A 698 774 29,340 18,882 2023-08-17 $29.93 $28.00 41.1% 11.8% 29.2% 13.9% 41.0% 8.8% -0.1% 761.6K -22.0M -179.9K 1.32 39.40 N/A N/A 1,050 1,390 29,532 18,682 2023-08-18 $30.02 $28.00 39.7% 11.4% 29.4% 11.9% 44.7% 9.1% 1.5% 2.2M -32.4M -181.8K 0.30 37.51 N/A N/A 4,170 1,240 29,666 15,890 2023-08-21 $30.91 $28.00 38.6% 11.1% 31.7% 10.2% 37.6% 9.1% 3.2% 429.1K -32.2M -181.6K 0.37 42.05 N/A N/A 1,366 500 23,334 14,866 2023-08-22 $30.65 $28.00 40.2% 11.5% 30.7% 12.6% 39.7% 7.9% 1.8% 580.3K -33.1M -186.7K 0.72 34.24 N/A N/A 560 404 25,268 15,068 2023-08-23 $31.80 $28.00 37.5% 10.7% 34.0% 8.5% 37.1% 8.3% 0.3% 641.7K -39.8M -186.6K 0.34 38.83 N/A N/A 1,220 420 25,230 15,206 2023-08-24 $30.43 $28.00 40.4% 11.6% 37.0% 12.8% 41.1% 7.8% 2.1% 631.7K -32.3M -186.1K 0.20 38.53 N/A N/A 2,234 456 26,106 15,388 2023-08-25 $30.93 $28.00 36.9% 10.6% 34.1% 7.6% 38.8% 6.4% 3.9% 805.9K -37.1M -187.8K 1.43 50.53 N/A N/A 768 1,096 27,178 15,478 2023-08-28 $31.24 $28.00 36.9% 10.6% 34.6% 7.7% 34.1% 6.4% 3.1% 822.8K -39.3M -185.0K 1.38 48.59 N/A N/A 414 572 27,468 16,012 2023-08-29 $32.67 $28.00 34.5% 9.9% 38.8% 4.2% 33.9% 4.9% 1.2% 931.2K -50.6M -178.5K 0.18 47.67 N/A N/A 3,754 692 27,516 16,190 2023-08-30 $32.95 $28.00 32.7% 9.4% 35.4% 1.6% 33.6% 5.5% 3.7% 1.4M -57.1M -189.2K 1.34 69.90 N/A N/A 816 1,094 30,184 16,374 2023-08-31 $33.36 $28.00 31.8% 9.1% 35.6% 0.2% 32.2% 4.4% 2.2% 1.4M -60.3M -186.1K 0.33 54.29 N/A N/A 656 218 30,442 16,564
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