QLD Options History — February 2010

In February 2010, QLD traded between $0.80 and $0.89. ATM implied volatility averaged 39.1%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 3.4% (HV 20d: 42.5%). Max pain ranged from $0.83 to $0.88. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2010-02-19: Highest Volume — 494,720 contracts
  • 2010-02-04: Largest IV spike — 20.2% change
  • 2010-02-08: Highest IV Rank — 30.0%
  • 2010-02-08: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.85$0.80$0.89$0.83$0.88
Max Pain$0.85$0.83$0.88$0.88$0.86
ATM IV39.1%33.3%47.4%42.0%33.9%
Expected Move11.4%9.6%13.8%12.0%9.7%
HV 20d42.5%34.8%46.3%40.6%34.8%
HV 60d33.7%32.5%34.6%33.6%33.1%
IV Rank16.8%7.9%30.0%21.4%8.7%
IV Percentile22.7%6.3%55.2%29.4%8.3%
Term Structure2.0%-0.7%3.7%2.0%3.3%
VWIV40.0%33.7%47.9%43.2%34.8%
Skew 25d9.1%7.0%12.6%8.6%7.4%
Skew 10d18.9%14.8%24.6%16.2%16.0%
Call IV 25d35.7%29.7%42.8%39.0%29.9%
Put IV 25d44.9%37.3%54.2%47.6%37.3%
Bid-Ask Spread %17.1812.8128.0416.7912.86
Gamma HHI0.120.070.430.070.14
Net GEX1.1M-76.1K2.9M296.2K1.6M
Net DEX-3.4M-45.6M31.4M17.8M-27.0M
Net VEX-275.2K-316.8K-242.2K-302.3K-271.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.291.271.061.20
Total Volume283,806.316167,616494,720288,064210,240
Total OI3,665,657.2632,397,0564,366,9763,703,3602,836,928

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$0.83$0.8842.0%12.0%40.6%21.4%43.2%8.6%2.0%296.2K17.8M-302.3K1.0616.79N/AN/A139,712148,3522,052,6721,650,688
2010-02-02$0.84$0.8837.3%10.7%39.8%14.1%38.5%7.7%3.4%533.8K9.7M-310.8K0.5814.00N/AN/A186,112108,0962,079,2961,693,696
2010-02-03$0.85$0.8837.6%10.8%40.3%14.6%37.6%7.0%2.8%676.2K2.8M-316.8K0.5715.67N/AN/A125,37671,2962,085,1201,735,424
2010-02-04$0.80$0.8845.2%13.0%44.4%26.5%43.3%8.4%2.2%-76.1K31.4M-288.0K0.2913.55N/AN/A286,72082,7522,125,1201,722,816
2010-02-05$0.81$0.8445.4%13.6%45.0%26.8%46.8%12.6%0.0%271.5K24.7M-300.3K0.6518.44N/AN/A288,256187,4562,177,4721,741,440
2010-02-08$0.80$0.8447.4%13.8%44.2%30.0%47.9%11.4%-0.7%149.2K30.8M-276.6K0.6819.09N/AN/A105,40872,0642,198,6561,762,496
2010-02-09$0.82$0.8443.3%13.5%45.4%23.5%45.1%11.3%-0.2%475.6K20.9M-287.2K0.4019.16N/AN/A187,39275,8402,227,0721,796,736
2010-02-10$0.82$0.8340.9%13.1%44.9%19.8%43.5%11.4%0.3%370.4K23.2M-278.8K0.4318.69N/AN/A117,24850,3682,246,9761,804,608
2010-02-11$0.84$0.8343.1%12.3%45.4%23.1%42.8%11.3%0.7%1.0M5.2M-283.5K0.7524.11N/AN/A152,576115,0722,269,8881,811,200
2010-02-12$0.84$0.8342.5%12.2%45.5%22.3%43.1%10.8%1.5%1.3M-4.9K-283.8K0.8128.04N/AN/A137,920112,0642,309,7601,832,256
2010-02-16$0.87$0.8340.0%11.5%46.3%18.3%41.7%9.0%1.9%2.0M-18.3M-260.3K0.9119.25N/AN/A197,184179,7122,338,2401,825,536
2010-02-17$0.87$0.8438.2%10.9%44.9%15.5%39.6%9.6%2.1%2.5M-28.9M-254.3K0.9414.75N/AN/A152,128142,4002,378,1121,878,208
2010-02-18$0.89$0.8434.5%9.9%44.3%9.7%37.8%7.6%3.7%2.9M-45.6M-249.5K0.5316.40N/AN/A233,024123,3282,397,8241,927,040
2010-02-19$0.88$0.8433.3%9.6%43.9%7.9%34.1%8.5%3.3%2.8M-41.5M-243.3K0.8915.57N/AN/A262,016232,7042,395,8401,971,136
2010-02-22$0.88$0.8633.8%9.7%38.3%8.5%33.7%7.5%2.6%1.0M-20.8M-242.2K0.6016.64N/AN/A151,10490,1121,207,7441,189,312
2010-02-23$0.86$0.8636.3%10.4%39.4%12.6%37.3%7.1%2.3%852.3K-11.2M-252.8K1.2712.81N/AN/A92,672117,8881,301,0561,253,312
2010-02-24$0.88$0.8633.8%9.7%40.0%8.6%33.9%8.4%3.6%1.0M-17.9M-260.8K0.4913.89N/AN/A135,87266,4321,329,7921,326,016
2010-02-25$0.88$0.8633.5%9.6%39.7%8.2%34.9%7.7%3.3%1.3M-20.6M-265.4K0.9016.65N/AN/A134,656120,7681,415,1041,352,896
2010-02-26$0.88$0.8633.9%9.7%34.8%8.7%34.8%7.4%3.3%1.6M-27.0M-271.5K1.2012.86N/AN/A95,424114,8161,468,5441,368,384