QLD Options History — October 2023 In October 2023, QLD traded between $27.05 and $31.70. ATM implied volatility averaged 43.0%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 8.1% (HV 20d: 34.9%). Max pain ranged from $27.50 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.42.
Notable Days 2023-10-20 : Highest Volume — 10,136 contracts2023-10-03 : Largest IV spike — 14.5% change2023-10-26 : Highest IV Rank — 28.5%2023-10-26 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $29.73 $27.05 $31.70 $29.95 $28.16 Max Pain $28.73 $27.50 $31.00 $30.00 $27.50 ATM IV 43.0% 37.5% 50.5% 40.9% 44.7% Expected Move 12.4% 10.7% 14.5% 11.7% 12.8% HV 20d 34.9% 29.7% 41.2% 29.7% 39.7% HV 60d 34.2% 33.1% 35.4% 33.6% 35.3% IV Rank 17.6% 9.6% 28.5% 14.5% 20.0% IV Percentile 47.3% 27.8% 69.0% 42.5% 54.4% Term Structure -0.6% -2.6% 1.2% 0.1% -1.9% VWIV 42.6% 37.4% 48.0% 39.8% 41.9% Skew 25d 10.7% 8.9% 12.9% 9.6% 9.5% Skew 10d 20.4% 17.5% 24.4% 17.7% 19.6% Call IV 25d 37.8% 33.0% 45.1% 36.3% 39.6% Put IV 25d 48.5% 42.5% 56.7% 45.9% 49.1% Bid-Ask Spread % 30.93 12.85 50.17 28.75 27.77 Gamma HHI 0.09 0.07 0.12 0.08 0.10 Net GEX 987.0K 296.5K 1.8M 575.6K 1.1M Net DEX -33.5M -55.3M -15.6M -27.2M -25.0M Net VEX -180.5K -191.8K -162.5K -186.0K -167.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.12 1.30 0.20 0.17 Total Volume 3,059.273 774 10,136 774 2,430 Total OI 54,159.455 44,150 62,756 51,144 50,242
Daily Data (22 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 2023-10-02 $29.95 $30.00 40.9% 11.7% 29.7% 14.5% 39.8% 9.6% 0.1% 575.6K -27.2M -186.0K 0.20 28.75 N/A N/A 644 130 31,870 19,274 2023-10-03 $28.95 $30.00 46.8% 13.4% 31.0% 23.2% 47.3% 10.4% -2.2% 435.2K -18.6M -181.6K 0.17 36.31 N/A N/A 2,832 470 32,138 19,318 2023-10-04 $29.93 $29.00 41.9% 12.0% 33.4% 15.9% 41.7% 9.6% 0.3% 694.8K -29.9M -188.0K 1.11 38.25 N/A N/A 998 1,110 33,374 19,426 2023-10-05 $29.75 $31.00 43.3% 12.2% 33.4% 18.1% 42.7% 10.9% -0.1% 686.4K -27.8M -187.8K 0.43 34.53 N/A N/A 556 238 33,638 19,586 2023-10-06 $30.77 $31.00 38.2% 11.3% 36.0% 10.6% 39.7% 9.1% 0.4% 878.6K -38.8M -191.8K 0.30 24.47 N/A N/A 1,442 426 33,780 19,602 2023-10-09 $30.90 $30.50 39.8% 11.5% 34.4% 13.0% 42.7% 9.6% 0.1% 988.5K -41.0M -187.0K 1.09 31.55 N/A N/A 630 686 34,580 19,648 2023-10-10 $31.38 $30.50 37.8% 11.0% 34.2% 10.0% 39.7% 8.9% 0.6% 1.2M -46.4M -187.5K 0.13 31.66 N/A N/A 5,130 686 34,850 19,838 2023-10-11 $31.70 $30.50 38.0% 10.9% 34.4% 10.3% 43.4% 9.2% 0.0% 1.7M -50.5M -189.0K 0.40 26.06 N/A N/A 1,814 734 37,184 20,030 2023-10-12 $31.50 $29.50 37.5% 10.7% 33.6% 9.6% 40.0% 9.8% 1.2% 1.6M -50.5M -187.8K 0.12 33.01 N/A N/A 3,386 408 38,126 20,166 2023-10-13 $30.61 $28.00 41.8% 12.0% 32.4% 15.8% 40.3% 12.4% 0.2% 1.2M -42.3M -191.3K 0.20 15.80 N/A N/A 1,414 288 40,356 20,166 2023-10-16 $31.48 $28.00 38.2% 11.0% 34.1% 10.6% 38.7% 10.7% 0.7% 1.8M -55.3M -186.7K 1.30 33.37 N/A N/A 658 854 40,740 20,472 2023-10-17 $31.07 $28.00 39.8% 11.4% 34.4% 12.9% 37.4% 11.1% 0.6% 1.2M -48.2M -183.0K 1.02 25.77 N/A N/A 1,122 1,142 41,034 20,736 2023-10-18 $30.20 $28.00 43.4% 12.4% 34.6% 18.1% 44.1% 11.8% -0.7% 957.2K -37.6M -179.4K 0.42 18.30 N/A N/A 1,682 706 41,290 20,936 2023-10-19 $29.68 $28.00 45.5% 13.0% 32.6% 21.2% 48.0% 12.9% -1.1% 866.2K -30.2M -174.6K 0.20 33.29 N/A N/A 5,370 1,048 41,632 21,124 2023-10-20 $28.93 $27.50 46.6% 13.4% 33.8% 22.8% 47.3% 12.5% -1.6% 296.5K -21.1M -170.5K 0.23 13.47 N/A N/A 8,268 1,868 41,214 21,004 2023-10-23 $29.17 $27.50 45.9% 13.2% 34.0% 21.8% 41.7% 11.0% -1.3% 841.5K -30.0M -177.5K 0.17 46.32 N/A N/A 3,180 530 30,006 14,144 2023-10-24 $29.67 $27.50 43.4% 12.4% 33.0% 18.1% 40.3% 12.0% -0.9% 1.1M -35.1M -183.0K 0.22 12.85 N/A N/A 730 160 31,950 14,480 2023-10-25 $28.15 $27.50 47.8% 13.7% 38.1% 24.6% 46.1% 11.6% -1.6% 882.3K -23.5M -171.7K 0.28 40.77 N/A N/A 2,510 708 32,220 14,490 2023-10-26 $27.05 $27.50 50.5% 14.5% 39.6% 28.5% 46.1% 11.6% -2.6% 678.9K -15.6M -162.5K 0.16 32.60 N/A N/A 4,630 720 32,226 14,908 2023-10-27 $27.18 $27.50 48.8% 14.0% 39.7% 26.0% 45.5% 10.9% -1.2% 890.5K -17.9M -167.4K 0.62 50.17 N/A N/A 746 462 34,570 15,166 2023-10-30 $28.00 $27.50 46.3% 13.3% 41.2% 22.4% 42.9% 10.1% -1.3% 1.1M -24.5M -168.9K 0.21 45.33 N/A N/A 3,108 650 34,688 15,286 2023-10-31 $28.16 $27.50 44.7% 12.8% 39.7% 20.0% 41.9% 9.5% -1.9% 1.1M -25.0M -167.2K 0.17 27.77 N/A N/A 2,074 356 34,648 15,594
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