QLD Options History — December 2023

In December 2023, QLD traded between $33.72 and $38.42. ATM implied volatility averaged 30.6%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 7.4% (HV 20d: 23.2%). Max pain ranged from $24.00 to $30.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2023-12-04: Highest Volume — 6,934 contracts
  • 2023-12-13: Largest IV drop — 19.4% change
  • 2023-12-11: Highest IV Rank — 12.7%
  • 2023-12-06: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.45$33.72$38.42$34.51$38.02
Max Pain$29.05$24.00$30.50$30.00$30.50
ATM IV30.6%27.1%37.9%31.5%27.1%
Expected Move8.4%7.8%9.2%9.0%7.8%
HV 20d23.2%19.3%28.7%27.9%20.6%
HV 60d33.4%31.1%35.2%34.9%31.1%
IV Rank4.2%0.0%12.7%3.7%0.0%
IV Percentile8.1%0.0%39.3%4.4%0.0%
Term Structure3.7%-0.5%5.5%-0.5%4.9%
VWIV30.3%28.4%33.7%31.8%30.1%
Skew 25d4.5%2.8%5.8%3.7%4.4%
Skew 10d9.5%6.6%14.2%7.9%8.1%
Call IV 25d27.7%25.7%30.1%30.1%25.7%
Put IV 25d32.1%30.1%35.1%33.8%30.1%
Bid-Ask Spread %59.3625.9979.1025.9947.96
Gamma HHI0.110.090.170.090.11
Net GEX1.4M1.2M1.9M1.5M1.4M
Net DEX-85.5M-107.8M-69.2M-79.4M-87.2M
Net VEX-190.9K-204.5K-176.5K-190.1K-195.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.142.230.752.23
Total Volume2,691.87326,9341,3921,364
Total OI54,696.346,36262,43655,63251,356

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$34.51$30.0031.5%9.0%27.9%3.7%31.8%3.7%-0.5%1.5M-79.4M-190.1K0.7525.99N/AN/A79659637,61818,014
2023-12-04$33.83$24.0033.4%9.0%28.6%6.4%33.7%5.8%4.0%1.4M-72.6M-185.6K1.9470.44N/AN/A2,3564,57837,86618,054
2023-12-05$33.95$27.0034.5%9.0%28.6%7.9%31.3%5.5%4.5%1.2M-72.1M-196.3K0.7668.45N/AN/A62047237,90820,294
2023-12-06$33.72$26.5034.6%9.2%27.6%8.0%31.2%4.9%3.7%1.2M-69.2M-195.2K0.8771.34N/AN/A61052837,80420,530
2023-12-07$34.59$27.5036.0%9.2%28.7%10.0%31.3%5.6%3.5%1.3M-79.2M-190.2K1.2469.40N/AN/A1,3561,68837,72020,550
2023-12-08$34.91$27.5031.9%8.5%27.5%4.3%30.4%5.1%4.8%1.4M-82.8M-189.8K0.8075.35N/AN/A1,08086038,21221,796
2023-12-11$35.45$28.5037.9%8.5%23.7%12.7%29.6%4.3%4.6%1.5M-90.1M-182.4K0.2167.71N/AN/A3,19666838,51822,174
2023-12-12$35.98$28.5034.0%8.0%23.8%7.3%28.5%4.1%5.5%1.6M-96.9M-178.3K0.3369.27N/AN/A3,1681,05038,77822,308
2023-12-13$36.81$29.0027.4%7.9%20.7%0.0%29.6%3.6%5.4%1.6M-106.7M-176.5K0.6073.76N/AN/A2,5141,50039,14222,530
2023-12-14$36.80$30.0027.3%7.8%20.7%0.0%28.8%4.2%2.9%1.7M-104.6M-182.2K0.6971.38N/AN/A2,5981,79439,24622,978
2023-12-15$37.19$30.0027.5%7.9%20.8%0.4%28.4%4.5%3.6%1.9M-107.8M-179.4K0.1479.10N/AN/A3,89054839,09423,342
2023-12-18$37.74$30.0028.1%8.0%20.9%1.5%29.1%3.6%3.6%1.2M-81.6M-197.7K0.3854.44N/AN/A2,7701,05431,37414,988
2023-12-19$37.94$30.0028.1%8.1%19.3%1.7%29.1%2.8%3.3%1.2M-82.9M-186.9K0.3857.80N/AN/A1,77467231,40415,476
2023-12-20$37.08$30.0029.3%8.4%20.5%4.1%30.7%4.7%3.8%1.3M-73.8M-204.5K0.9952.17N/AN/A77477031,64215,986
2023-12-21$37.69$30.0030.3%8.7%20.9%6.1%32.2%4.8%3.0%1.3M-77.9M-201.8K0.5637.29N/AN/A1,77098431,64815,886
2023-12-22$37.78$30.5029.3%8.4%20.6%4.1%31.2%4.6%3.5%1.3M-80.9M-201.5K0.4148.80N/AN/A1,35055432,41416,540
2023-12-26$38.31$30.5029.1%8.4%20.8%3.8%31.3%4.7%3.4%1.3M-86.0M-197.3K0.3450.21N/AN/A68623032,58617,000
2023-12-27$38.26$30.5027.9%8.0%20.8%1.1%28.9%4.3%3.7%1.3M-87.2M-192.0K0.5443.86N/AN/A1,22266432,81617,112
2023-12-28$38.42$30.5027.5%7.9%20.8%0.4%29.4%4.0%3.7%1.4M-91.1M-194.7K0.7152.59N/AN/A42830433,71017,512
2023-12-29$38.02$30.5027.1%7.8%20.6%0.0%30.1%4.4%4.9%1.4M-87.2M-195.6K2.2347.96N/AN/A42294233,76217,594