QLD Options History — May 2024

In May 2024, QLD traded between $39.75 and $45.94. ATM implied volatility averaged 31.2%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.3% (HV 20d: 31.5%). Max pain ranged from $40.00 to $43.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2024-05-15: Highest Volume — 5,860 contracts
  • 2024-05-15: Largest IV drop — 36.0% change
  • 2024-05-14: Highest IV Rank — 67.9%
  • 2024-05-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.74$39.75$45.94$39.75$44.03
Max Pain$41.66$40.00$43.50$40.00$43.50
ATM IV31.2%26.2%45.0%33.9%32.5%
Expected Move8.7%7.5%10.6%9.7%9.3%
HV 20d31.5%20.5%41.3%39.1%23.4%
HV 60d33.4%30.2%35.9%35.2%30.2%
IV Rank16.4%0.0%67.9%25.9%23.3%
IV Percentile22.5%0.0%96.0%40.1%33.3%
Term Structure0.6%-4.7%5.8%0.1%-4.7%
VWIV31.2%26.4%39.3%38.1%32.4%
Skew 25d5.3%2.4%9.2%2.4%9.2%
Skew 10d11.4%8.7%15.4%10.0%15.3%
Call IV 25d28.2%24.3%39.7%39.7%25.1%
Put IV 25d33.5%29.7%42.1%42.1%34.2%
Bid-Ask Spread %28.6916.4754.0345.8126.74
Gamma HHI0.130.070.200.200.13
Net GEX1.2M-68.1K2.1M-68.1K700.7K
Net DEX-55.6M-77.0M-26.0M-26.0M-44.9M
Net VEX-245.3K-255.9K-226.5K-249.0K-254.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.142.330.790.61
Total Volume1,774.2735505,8601,9203,580
Total OI39,638.90933,73847,68038,53639,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$39.75$40.0033.9%9.7%39.1%25.9%38.1%2.4%0.1%-68.1K-26.0M-249.0K0.7945.81N/AN/A1,07284822,12616,410
2024-05-02$39.97$40.0036.9%10.6%38.3%37.1%37.4%4.7%-2.0%32.4K-29.0M-250.8K0.3554.03N/AN/A77827222,60416,396
2024-05-03$41.67$40.0033.6%9.6%40.8%24.9%32.6%4.7%0.6%602.0K-42.4M-244.8K0.9945.21N/AN/A84884022,65216,574
2024-05-06$42.36$40.0032.2%9.3%41.3%19.5%31.0%5.9%-2.0%848.6K-47.9M-238.3K0.3319.88N/AN/A1,64655023,01616,692
2024-05-07$42.56$40.0031.5%9.1%41.3%16.7%31.8%5.5%-0.7%995.9K-50.8M-238.2K0.1418.55N/AN/A2,55035023,55016,970
2024-05-08$42.53$40.0030.9%8.9%41.2%14.4%39.3%5.3%-4.7%1.1M-51.8M-244.8K1.7219.81N/AN/A55695624,28817,176
2024-05-09$42.62$40.0029.7%8.9%39.1%9.9%30.8%5.0%-4.2%1.2M-53.2M-241.7K1.2720.04N/AN/A38448624,49017,974
2024-05-10$42.86$40.0028.3%8.7%37.2%4.8%30.9%5.0%2.6%1.4M-55.7M-234.5K0.5816.47N/AN/A58834424,66818,318
2024-05-13$43.05$40.5038.1%9.1%34.7%41.9%31.4%5.3%-1.1%1.4M-57.0M-234.3K0.8422.02N/AN/A38632424,64418,426
2024-05-14$43.67$41.0045.0%8.8%34.9%67.9%31.6%4.9%-1.7%1.6M-62.9M-232.9K0.5416.75N/AN/A1,35272824,80818,526
2024-05-15$44.94$41.0028.8%8.3%34.4%6.7%28.3%3.8%2.3%1.7M-74.6M-226.5K0.2022.59N/AN/A4,86899224,90219,000
2024-05-16$44.80$41.5028.8%8.3%33.9%6.7%28.8%3.7%-2.5%2.1M-77.0M-247.0K0.6131.58N/AN/A1,49490627,74019,416
2024-05-17$44.66$42.5028.0%8.0%26.7%3.5%28.6%4.6%5.8%1.7M-75.2M-247.1K0.2630.30N/AN/A1,73845228,07019,610
2024-05-20$45.28$42.5028.3%8.1%25.9%4.8%26.4%4.9%-3.0%1.4M-59.5M-252.1K0.5731.09N/AN/A77644623,00810,730
2024-05-21$45.41$43.0027.0%7.7%24.6%0.0%28.7%4.3%4.8%1.5M-59.8M-255.5K0.4829.10N/AN/A37217823,41811,056
2024-05-22$45.23$43.5029.2%8.4%24.9%8.4%30.2%5.3%3.7%1.5M-58.1M-250.2K0.9530.27N/AN/A44642423,56611,114
2024-05-23$44.95$43.5028.5%8.2%24.3%5.6%27.1%6.8%4.3%1.5M-56.8M-249.7K0.6326.44N/AN/A1,25879823,81411,288
2024-05-24$45.84$43.5026.2%7.5%22.2%0.0%27.6%5.4%2.8%1.7M-62.8M-250.9K0.2035.01N/AN/A86217624,09011,502
2024-05-28$45.94$43.5027.5%7.9%22.2%4.7%29.4%6.0%5.0%1.7M-63.3M-249.0K0.3931.84N/AN/A58022624,30611,594
2024-05-29$45.69$43.5030.0%8.6%20.5%14.0%30.8%6.7%5.3%1.7M-62.0M-249.3K0.5028.53N/AN/A46623424,44011,562
2024-05-30$44.53$43.5031.6%9.1%22.6%19.8%33.8%6.8%1.9%1.1M-52.1M-255.9K2.3329.12N/AN/A5721,33224,56413,792
2024-05-31$44.03$43.5032.5%9.3%23.4%23.3%32.4%9.2%-4.7%700.7K-44.9M-254.3K0.6126.74N/AN/A2,2181,36224,37814,788