QLD Options History — September 2023

In September 2023, QLD traded between $28.95 and $33.30. ATM implied volatility averaged 36.7%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 1.7% (HV 20d: 34.9%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2023-09-15: Highest Volume — 6,708 contracts
  • 2023-09-13: Largest IV drop — 20.0% change
  • 2023-09-26: Highest IV Rank — 19.1%
  • 2023-09-26: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.32$28.95$33.30$33.02$29.67
Max Pain$29.20$27.50$30.00$28.00$30.00
ATM IV36.7%30.9%44.0%30.9%40.5%
Expected Move10.5%8.9%12.6%8.9%11.6%
HV 20d34.9%28.8%37.5%35.6%29.3%
HV 60d33.6%33.3%33.9%33.8%33.5%
IV Rank8.4%0.0%19.1%0.0%14.0%
IV Percentile20.7%0.0%47.6%0.0%40.9%
Term Structure1.4%-0.7%3.1%3.1%-0.2%
VWIV36.9%29.6%42.7%31.1%38.6%
Skew 25d8.5%4.5%10.4%4.5%9.5%
Skew 10d17.3%8.3%20.6%8.3%17.7%
Call IV 25d32.6%28.4%38.9%29.1%35.3%
Put IV 25d41.1%33.5%49.2%33.5%44.7%
Bid-Ask Spread %34.0819.5051.2741.3423.86
Gamma HHI0.130.070.300.180.08
Net GEX1.3M412.3K3.2M1.5M517.3K
Net DEX-41.8M-66.1M-18.4M-57.9M-23.9M
Net VEX-188.7K-201.6K-175.5K-187.6K-187.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.044.080.290.13
Total Volume2,452.76026,7081,0341,436
Total OI50,310.347,25455,59247,25450,524

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$33.02$28.0030.9%8.9%35.6%0.0%31.1%4.5%3.1%1.5M-57.9M-187.6K0.2941.34N/AN/A80023430,65016,604
2023-09-05$33.30$27.5033.2%9.9%35.4%3.4%36.6%8.2%2.9%1.6M-61.2M-179.2K0.1544.83N/AN/A1,67425830,94016,570
2023-09-06$32.50$27.5034.6%10.4%36.2%5.4%37.1%8.7%1.9%1.8M-54.5M-188.0K0.4640.21N/AN/A88640832,14416,636
2023-09-07$32.14$27.5035.1%10.4%35.8%6.0%40.3%9.2%1.9%1.7M-50.8M-185.5K0.7634.15N/AN/A71454632,30816,796
2023-09-08$32.08$28.0033.7%10.2%35.8%4.1%36.4%8.6%2.2%1.8M-50.5M-182.9K0.2545.76N/AN/A48012232,41617,048
2023-09-11$32.94$28.0035.2%9.7%36.7%6.3%40.6%8.0%2.5%2.1M-60.8M-177.8K0.1833.89N/AN/A2,99453832,53017,124
2023-09-12$32.20$27.5041.1%10.1%37.1%14.8%37.2%8.0%1.7%2.1M-55.3M-175.5K4.0827.02N/AN/A5902,40833,83216,826
2023-09-13$32.38$30.0032.9%9.4%36.2%2.9%32.9%7.4%3.1%2.1M-55.2M-180.8K0.0424.59N/AN/A2,86811233,71418,894
2023-09-14$32.98$30.0031.4%9.0%36.1%0.8%29.6%6.9%2.5%3.2M-66.1M-193.6K0.0429.68N/AN/A5,67025435,87018,904
2023-09-15$31.75$30.0034.4%9.9%37.5%5.0%36.5%8.1%1.9%1.0M-50.3M-195.0K0.5919.50N/AN/A4,2162,49236,66018,932
2023-09-18$31.76$30.0033.8%9.7%37.5%4.2%33.8%7.9%1.2%889.3K-40.4M-201.6K1.7930.34N/AN/A7001,25030,74617,430
2023-09-19$31.75$30.0035.1%10.1%36.2%6.2%34.7%7.9%1.2%925.1K-40.3M-201.1K0.3931.47N/AN/A71227631,48017,846
2023-09-20$30.93$30.0035.9%10.3%37.4%7.3%37.4%7.8%1.3%778.8K-33.8M-200.6K0.6351.27N/AN/A84453431,67818,000
2023-09-21$29.82$30.0039.5%11.3%36.9%12.5%40.6%9.7%0.3%538.0K-23.9M-192.6K0.1630.72N/AN/A4,81678631,86618,288
2023-09-22$29.80$30.0038.7%11.1%33.6%11.4%39.3%9.7%1.2%583.3K-25.0M-194.6K0.8540.03N/AN/A1,12295232,50618,638
2023-09-25$29.77$30.0040.0%11.5%33.0%13.2%34.3%10.4%0.3%555.2K-24.7M-191.8K0.0640.61N/AN/A2,48214832,82218,836
2023-09-26$28.95$30.0044.0%12.6%33.9%19.1%42.7%10.4%-0.7%412.3K-18.4M-184.4K0.7933.52N/AN/A1,15491031,00418,816
2023-09-27$29.02$30.0043.2%12.4%28.8%17.9%39.0%9.8%-0.5%414.2K-19.0M-185.5K0.2027.84N/AN/A1,38627431,10619,028
2023-09-28$29.61$30.0040.4%11.6%29.8%13.8%39.0%9.9%0.3%482.4K-23.9M-188.7K0.2731.01N/AN/A79221631,14819,046
2023-09-29$29.67$30.0040.5%11.6%29.3%14.0%38.6%9.5%-0.2%517.3K-23.9M-187.2K0.1323.86N/AN/A1,26617031,46619,058