QLD Options History — March 2024

In March 2024, QLD traded between $41.87 and $44.34. ATM implied volatility averaged 34.0%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 3.8% (HV 20d: 37.8%). Max pain ranged from $32.50 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2024-03-21: Highest Volume — 3,322 contracts
  • 2024-03-11: Largest IV spike — 22.0% change
  • 2024-03-15: Highest IV Rank — 37.3%
  • 2024-03-08: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.41$41.87$44.34$44.34$43.84
Max Pain$37.05$32.50$40.00$40.00$40.00
ATM IV34.0%28.5%44.4%30.4%28.5%
Expected Move9.4%8.2%10.6%8.7%8.2%
HV 20d37.8%32.4%42.2%37.4%32.4%
HV 60d33.3%30.9%34.2%30.9%32.6%
IV Rank18.3%5.4%37.3%6.7%5.4%
IV Percentile35.6%4.4%89.3%8.7%4.4%
Term Structure1.8%-2.8%4.5%1.4%3.4%
VWIV33.4%29.8%37.2%31.9%30.2%
Skew 25d5.8%2.7%11.1%3.0%4.4%
Skew 10d11.4%6.9%24.5%7.3%9.5%
Call IV 25d30.6%27.6%33.8%29.8%27.8%
Put IV 25d36.4%32.1%42.8%32.8%32.2%
Bid-Ask Spread %58.5129.1475.4829.1445.45
Gamma HHI0.240.140.390.300.25
Net GEX1.4M639.1K2.4M1.8M1.2M
Net DEX-70.5M-87.2M-57.6M-86.5M-67.8M
Net VEX-237.4K-251.2K-225.2K-239.8K-230.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.186.980.566.98
Total Volume1,614.46023,3222,5162,042
Total OI42,692.733,88249,60044,96239,272

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$44.34$40.0030.4%8.7%37.4%6.7%31.9%3.0%1.4%1.8M-86.5M-239.8K0.5629.14N/AN/A1,60890828,43616,526
2024-03-04$44.05$32.5033.4%9.2%35.9%12.9%32.3%6.0%1.3%2.0M-85.9M-237.2K0.4661.64N/AN/A76835029,06616,836
2024-03-05$42.13$32.5037.7%10.3%39.6%21.5%35.9%8.8%0.9%1.3M-64.4M-251.2K0.9960.09N/AN/A1,1861,17029,24016,914
2024-03-06$42.92$32.5036.2%9.5%39.8%18.5%32.4%11.1%3.6%1.6M-72.0M-248.1K0.4070.67N/AN/A82032629,47417,258
2024-03-07$44.28$33.0035.3%9.4%40.2%16.6%32.6%2.7%3.8%2.1M-87.2M-231.5K0.3070.03N/AN/A1,50045229,38817,426
2024-03-08$43.02$33.0036.4%10.6%41.7%18.8%37.2%8.9%0.6%1.8M-73.8M-244.4K0.9069.61N/AN/A1,1621,05029,80417,490
2024-03-11$42.64$35.0044.4%10.3%41.2%34.9%36.9%6.5%3.5%1.6M-70.0M-243.8K1.5560.67N/AN/A8521,32229,76218,014
2024-03-12$43.77$37.0039.8%8.7%42.2%25.7%33.1%6.4%1.7%2.4M-81.3M-237.6K0.4373.93N/AN/A85636629,73018,726
2024-03-13$43.06$37.0035.5%10.2%40.1%17.1%36.5%6.8%1.6%1.9M-73.2M-239.9K2.1375.48N/AN/A24652430,08418,732
2024-03-14$42.60$37.5033.4%9.6%39.4%18.1%37.2%7.4%4.5%1.4M-68.6M-233.5K1.4670.99N/AN/A7241,05430,02018,940
2024-03-15$41.87$37.5036.9%10.6%39.9%37.3%37.1%5.6%-0.6%846.0K-59.4M-237.3K0.8862.30N/AN/A1,6281,43229,84019,760
2024-03-18$42.85$37.5035.4%10.2%40.4%31.7%33.7%6.8%-2.8%639.1K-57.6M-237.4K0.1851.74N/AN/A1,51027222,23611,646
2024-03-19$42.74$38.0034.3%9.8%39.6%27.1%34.3%6.3%0.4%738.9K-58.0M-234.9K0.2155.82N/AN/A56611823,06811,834
2024-03-20$43.69$39.0032.9%9.4%39.8%22.2%32.0%4.4%-0.5%787.2K-64.3M-229.0K0.3256.71N/AN/A74623822,97411,944
2024-03-21$44.30$39.0030.9%8.8%33.2%14.3%30.6%3.9%2.7%865.4K-69.1M-225.2K0.2357.46N/AN/A2,70062223,36212,020
2024-03-22$44.30$40.0029.6%8.5%33.0%9.6%31.7%4.3%2.3%1.1M-69.8M-239.9K1.8754.01N/AN/A22441825,50412,632
2024-03-25$44.16$40.0030.3%8.7%33.1%12.3%32.4%4.2%2.7%1.1M-67.7M-240.6K0.5850.33N/AN/A38022225,56412,874
2024-03-26$43.77$40.0029.6%8.5%33.3%9.4%31.2%4.6%2.9%1.0M-66.2M-234.3K0.7353.82N/AN/A65247825,56213,040
2024-03-27$43.87$40.0028.8%8.3%32.9%6.6%29.8%4.4%3.6%1.1M-67.2M-232.0K0.4440.40N/AN/A55224425,82613,030
2024-03-28$43.84$40.0028.5%8.2%32.4%5.4%30.2%4.4%3.4%1.2M-67.8M-230.7K6.9845.45N/AN/A2561,78626,10013,172