QLD Options History — September 2024

In September 2024, QLD traded between $42.90 and $50.72. ATM implied volatility averaged 39.7%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 1.2% (HV 20d: 41.0%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2024-09-20: Highest Volume — 3,668 contracts
  • 2024-09-11: Largest IV drop — 18.4% change
  • 2024-09-06: Highest IV Rank — 41.4%
  • 2024-09-06: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.41$42.90$50.72$45.03$49.97
Max Pain$46.38$45.00$47.50$47.50$47.50
ATM IV39.7%32.8%49.9%45.8%36.6%
Expected Move11.2%9.4%13.4%13.1%10.5%
HV 20d41.0%37.9%45.6%45.6%39.5%
HV 60d46.4%45.0%47.2%45.0%46.8%
IV Rank23.7%11.6%41.4%34.2%18.3%
IV Percentile72.9%42.9%96.8%93.3%65.5%
Term Structure2.9%-4.1%8.5%-4.1%4.4%
VWIV37.3%30.5%43.3%40.9%40.0%
Skew 25d11.1%6.1%21.2%12.1%8.4%
Skew 10d25.3%7.9%42.7%24.6%26.1%
Call IV 25d33.3%22.0%39.9%39.9%32.5%
Put IV 25d44.4%36.4%53.8%52.0%40.9%
Bid-Ask Spread %57.5640.8675.3644.3655.12
Gamma HHI0.110.060.210.120.07
Net GEX819.3K251.1K2.5M432.6K1.1M
Net DEX-55.8M-89.0M-18.7M-35.5M-72.5M
Net VEX-251.5K-263.8K-241.1K-258.7K-248.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.119.880.119.88
Total Volume1,994.75583,6682,7922,786
Total OI42,094.932,80048,22842,55635,328

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$45.03$47.5045.8%13.1%45.6%34.2%40.9%12.1%-4.1%432.6K-35.5M-258.7K0.1144.36N/AN/A2,52426827,87014,686
2024-09-04$45.13$47.5045.3%13.0%43.5%33.4%43.3%12.8%-0.2%434.8K-35.5M-259.0K0.6142.73N/AN/A1,44288627,53614,722
2024-09-05$44.94$45.0045.6%12.4%42.1%34.0%38.3%11.8%0.3%374.5K-33.1M-263.8K0.8661.03N/AN/A1,05090828,58815,408
2024-09-06$42.90$45.0049.9%13.4%42.8%41.4%37.5%21.2%-0.4%251.1K-18.7M-253.9K0.2756.46N/AN/A2,02455428,55615,600
2024-09-09$43.59$45.0047.3%12.8%42.9%36.9%30.5%15.5%0.1%265.7K-23.1M-250.6K0.3964.59N/AN/A69426829,00815,610
2024-09-10$44.55$46.0048.6%12.4%43.6%39.2%41.7%14.0%-0.1%299.1K-30.3M-252.7K0.2863.55N/AN/A90625629,15815,772
2024-09-11$46.17$45.5039.6%11.4%41.7%23.5%39.1%10.4%1.3%438.8K-43.4M-257.5K1.0364.94N/AN/A80482629,34015,976
2024-09-12$47.41$45.5039.3%11.3%42.7%23.0%39.0%10.0%2.4%801.2K-57.2M-257.6K0.2852.00N/AN/A2,39267829,50015,774
2024-09-13$47.87$46.0037.8%10.8%38.6%20.3%37.1%19.9%1.1%929.6K-62.8M-251.3K0.6661.55N/AN/A1,10273029,82216,170
2024-09-16$47.41$46.0040.4%11.6%38.7%24.8%37.8%11.3%0.9%616.9K-56.7M-247.5K0.2058.02N/AN/A1,94839830,10016,402
2024-09-17$47.25$46.0040.8%11.7%38.0%25.6%39.4%12.4%2.4%579.5K-57.4M-260.0K0.3058.69N/AN/A1,61047630,83616,592
2024-09-18$47.15$45.5039.8%11.4%37.9%23.9%37.6%7.8%4.2%332.4K-57.1M-250.5K0.2973.21N/AN/A1,49043030,91216,542
2024-09-19$49.56$45.5036.1%10.3%42.2%17.4%36.9%8.6%4.8%2.5M-89.0M-242.6K0.3857.06N/AN/A2,35288630,93816,686
2024-09-20$49.33$46.5033.6%9.6%40.8%13.0%36.9%12.4%8.5%2.3M-85.0M-241.1K0.9975.36N/AN/A1,8441,82431,02417,204
2024-09-23$49.35$47.5032.8%9.4%40.3%11.6%32.6%7.0%8.2%782.7K-67.3M-242.6K0.3761.23N/AN/A59221822,43010,370
2024-09-24$49.86$47.5032.8%9.4%39.9%11.6%33.6%6.2%7.1%858.6K-69.2M-246.2K0.2164.72N/AN/A2,27647622,67610,460
2024-09-25$49.91$47.5033.4%9.6%39.8%12.7%34.0%7.1%5.9%967.2K-72.2M-245.4K0.3540.86N/AN/A57620023,57010,802
2024-09-26$50.72$47.5034.2%9.8%39.2%14.1%33.5%6.1%5.3%1.1M-76.9M-250.9K0.3045.89N/AN/A49215023,93410,880
2024-09-27$50.09$47.5035.1%10.1%39.6%15.7%35.3%6.6%5.5%1.1M-74.0M-249.1K0.5149.85N/AN/A37018824,20210,914
2024-09-30$49.97$47.5036.6%10.5%39.5%18.3%40.0%8.4%4.4%1.1M-72.5M-248.5K9.8855.12N/AN/A2562,53024,33610,992