QLD Options History — January 2024

In January 2024, QLD traded between $35.56 and $41.14. ATM implied volatility averaged 31.1%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.7% (HV 20d: 28.4%). Max pain ranged from $30.50 to $36.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2024-01-10: Highest Volume — 5,430 contracts
  • 2024-01-10: Largest IV spike — 12.2% change
  • 2024-01-31: Highest IV Rank — 15.6%
  • 2024-01-31: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.49$35.56$41.14$36.42$39.17
Max Pain$34.29$30.50$36.50$30.50$35.00
ATM IV31.1%27.6%34.8%30.0%34.8%
Expected Move9.1%8.5%10.0%8.6%10.0%
HV 20d28.4%25.9%31.4%26.6%29.8%
HV 60d30.5%26.9%32.9%32.5%27.8%
IV Rank8.2%1.1%15.6%5.9%15.6%
IV Percentile12.6%2.0%33.7%6.0%33.7%
Term Structure1.1%-1.4%3.3%3.3%-0.7%
VWIV33.4%29.9%36.9%29.9%35.5%
Skew 25d5.2%2.4%8.4%5.2%4.1%
Skew 10d11.9%6.9%17.9%10.3%13.0%
Call IV 25d29.9%27.8%33.2%28.5%33.0%
Put IV 25d35.1%33.3%38.2%33.7%37.1%
Bid-Ask Spread %37.0429.2752.3537.3541.77
Gamma HHI0.120.070.710.100.07
Net GEX1.6M901.3K5.0M1.3M1.0M
Net DEX-79.6M-126.4M-58.8M-70.1M-58.8M
Net VEX-219.8K-255.0K-200.0K-201.2K-255.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.082.971.342.97
Total Volume3,222.8571,2205,4302,9544,100
Total OI51,183.8133,84864,27651,95443,638

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$36.42$30.5030.0%8.6%26.6%5.9%29.9%5.2%3.3%1.3M-70.1M-201.2K1.3437.35N/AN/A1,2601,69433,92018,034
2024-01-03$35.97$30.5030.7%8.8%25.9%7.3%30.0%4.5%3.2%1.2M-65.0M-203.0K0.9452.35N/AN/A85680834,18819,040
2024-01-04$35.73$36.5030.6%9.6%26.2%7.0%34.7%7.2%1.7%1.2M-61.9M-201.9K0.0830.23N/AN/A4,95037634,23219,066
2024-01-05$35.56$34.0028.2%9.4%26.1%2.4%31.5%6.6%1.4%1.3M-62.9M-203.2K0.6241.11N/AN/A1,06665835,63019,276
2024-01-08$37.02$34.0027.9%9.1%28.2%1.7%33.4%6.0%1.9%1.5M-80.9M-200.0K1.0335.76N/AN/A1,9341,98835,79419,556
2024-01-09$37.12$34.5027.6%8.8%28.1%1.1%31.1%5.9%2.6%1.6M-83.3M-203.6K0.7634.16N/AN/A1,4421,09436,73220,302
2024-01-10$37.64$35.0031.0%8.9%28.0%7.9%35.7%6.0%1.8%1.8M-90.5M-204.0K0.2030.81N/AN/A4,51092037,17620,232
2024-01-11$37.75$34.0030.5%8.8%27.7%7.0%32.6%5.7%1.8%1.8M-95.4M-214.6K0.2735.41N/AN/A3,67299039,16420,766
2024-01-12$37.87$34.0029.7%8.5%26.6%5.3%31.9%6.0%3.0%1.9M-99.2M-228.0K1.3739.49N/AN/A7481,02840,52220,884
2024-01-16$37.75$34.0032.3%9.3%26.6%10.6%31.6%6.7%1.7%1.9M-98.5M-222.3K1.3139.24N/AN/A9561,25640,65221,290
2024-01-17$37.33$34.0033.1%9.5%26.8%12.2%36.9%8.4%1.2%1.7M-92.4M-224.1K0.5832.25N/AN/A2,5181,46240,94021,422
2024-01-18$38.50$35.0032.3%9.3%28.5%10.6%34.8%6.7%1.0%1.9M-108.6M-224.3K0.2932.57N/AN/A3,18092841,17422,098
2024-01-19$39.98$34.0031.5%9.0%31.4%9.0%33.5%5.7%0.5%5.0M-126.4M-220.5K0.1836.46N/AN/A3,84268241,92022,356
2024-01-22$40.13$35.0032.0%9.2%29.9%10.0%33.4%4.6%0.4%1.0M-61.8M-215.3K2.9536.00N/AN/A1,3463,97623,49610,352
2024-01-23$40.33$35.0030.3%8.7%29.5%6.5%32.1%4.0%0.5%934.2K-62.6M-224.6K0.9643.35N/AN/A64862224,04413,370
2024-01-24$41.01$35.0031.0%8.9%29.9%7.9%33.7%3.4%-0.3%901.3K-67.2M-218.6K0.4229.27N/AN/A2,9581,24624,18013,668
2024-01-25$40.78$35.0031.8%9.1%29.8%9.4%34.8%3.5%-0.2%1.1M-67.8M-236.4K0.1637.29N/AN/A2,62240825,74213,812
2024-01-26$40.38$35.0031.6%9.1%30.2%9.1%33.1%3.1%0.3%1.2M-68.9M-235.7K0.3136.04N/AN/A1,39042627,21014,046
2024-01-29$41.14$35.0032.8%9.4%30.7%11.5%35.0%2.4%-0.1%1.3M-77.1M-238.7K1.5336.52N/AN/A48273828,20414,186
2024-01-30$40.72$35.0034.5%9.9%30.6%14.9%35.9%3.3%-1.4%1.2M-73.0M-241.0K1.6240.34N/AN/A7241,17628,24014,306
2024-01-31$39.17$35.0034.8%10.0%29.8%15.6%35.5%4.1%-0.7%1.0M-58.8M-255.0K2.9741.77N/AN/A1,0323,06828,45015,188