QLD Options History — May 2010

In May 2010, QLD traded between $0.85 and $1.09. ATM implied volatility averaged 55.4%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 2.4% (HV 20d: 57.8%). Max pain ranged from $0.92 to $1.08. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-05-06: Highest Volume — 911,552 contracts
  • 2010-05-06: Largest IV spike — 36.9% change
  • 2010-05-06: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.95$0.85$1.09$1.09$0.90
Max Pain$1.02$0.92$1.08$1.08$0.92
ATM IV55.4%34.1%76.8%34.1%52.9%
Expected Move15.8%9.8%21.5%9.8%15.2%
HV 20d57.8%30.2%70.9%30.2%70.1%
HV 60d37.4%23.3%45.0%23.3%45.0%
IV Rank62.8%26.7%100.0%26.7%54.9%
IV Percentile87.2%24.2%100.0%24.2%94.0%
Term Structure0.2%-5.1%3.3%1.8%1.9%
VWIV55.2%34.3%69.6%34.3%54.5%
Skew 25d16.5%8.1%27.2%8.1%16.6%
Skew 10d34.2%17.4%55.5%17.4%34.6%
Call IV 25d48.6%30.9%61.6%30.9%46.6%
Put IV 25d65.0%39.0%88.7%39.0%63.2%
Bid-Ask Spread %34.1713.6567.0514.2567.05
Gamma HHI0.070.060.120.070.08
Net GEX-73.5K-964.3K1.3M1.3M802.3K
Net DEX28.1M-39.6M85.3M-39.6M7.6M
Net VEX-324.1K-364.4K-281.8K-341.1K-313.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.441.371.111.02
Total Volume425,827.2186,240911,552298,880186,240
Total OI3,607,830.42,809,4724,542,9123,100,3523,209,792

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$1.09$1.0834.1%9.8%30.2%26.7%34.3%8.1%1.8%1.3M-39.6M-341.1K1.1114.25N/AN/A141,888156,9921,449,5361,650,816
2010-05-04$1.03$1.0846.0%13.2%37.9%57.4%46.9%11.2%-1.2%16.4K5.0M-348.3K0.8613.65N/AN/A345,536297,7921,480,6401,694,976
2010-05-05$1.02$1.0646.8%13.4%38.1%59.6%47.0%12.6%-1.1%-67.5K9.0M-354.2K1.1825.59N/AN/A229,440270,3361,584,7041,765,632
2010-05-06$0.95$1.0664.1%18.4%44.9%100.0%62.7%9.2%-5.1%-487.7K36.4M-345.1K0.8752.37N/AN/A487,744423,8081,588,1601,817,728
2010-05-07$0.91$1.0876.8%19.6%47.1%100.0%68.4%20.3%-2.8%-532.9K54.7M-334.7K0.9838.76N/AN/A361,408355,7761,695,2961,907,456
2010-05-10$1.00$1.0850.7%14.5%59.6%50.8%53.7%16.2%0.7%-283.3K19.7M-351.3K0.6924.39N/AN/A380,672262,2081,714,3681,901,888
2010-05-11$0.99$1.0648.5%14.0%59.4%46.6%45.8%14.4%1.6%94.3K13.0M-357.3K0.8220.40N/AN/A197,440162,6241,858,1761,938,688
2010-05-12$1.03$1.0642.1%13.0%60.3%34.5%44.3%13.0%0.7%824.3K-12.8M-364.4K0.4427.49N/AN/A299,776130,6881,911,6161,986,112
2010-05-13$1.00$1.0548.0%13.8%61.0%45.7%48.0%13.4%0.3%247.9K12.2M-351.6K1.3723.24N/AN/A105,152144,0001,911,7441,974,528
2010-05-14$0.96$1.0552.2%15.0%61.8%53.6%52.2%15.9%0.1%-795.8K44.9M-333.2K0.5518.80N/AN/A238,016131,1361,928,5762,042,944
2010-05-17$0.97$1.0553.1%15.2%61.9%55.3%58.8%15.4%3.3%-851.2K42.2M-317.3K0.7345.05N/AN/A172,928126,8481,987,7122,062,080
2010-05-18$0.94$1.0358.1%16.7%62.1%64.8%57.8%18.0%-1.0%-896.3K55.7M-311.3K1.2019.68N/AN/A132,096159,1682,049,5362,107,008
2010-05-19$0.92$1.0261.2%17.5%61.8%70.5%60.8%20.5%-0.3%-964.3K64.6M-309.1K0.7218.51N/AN/A208,768150,7202,081,2162,137,216
2010-05-20$0.86$1.0274.9%21.5%65.6%96.3%69.6%27.2%-2.8%-590.0K85.3M-286.1K0.7948.15N/AN/A337,920267,7762,147,2642,182,272
2010-05-21$0.88$0.9468.0%19.5%66.3%83.3%67.2%23.9%-0.3%-547.1K83.1M-294.1K1.1323.80N/AN/A291,968331,1362,315,5842,227,328
2010-05-24$0.87$0.9463.9%18.3%66.2%75.7%61.5%21.4%1.6%267.5K19.5M-293.9K0.7435.51N/AN/A140,864104,5761,350,8481,458,624
2010-05-25$0.87$0.9459.4%17.0%65.5%67.1%61.7%18.1%2.5%176.0K25.6M-290.0K0.5855.14N/AN/A148,99286,0161,406,8481,526,912
2010-05-26$0.85$0.9458.4%16.7%65.5%65.2%57.3%18.7%2.1%225.3K26.3M-281.8K0.7153.22N/AN/A153,280108,6081,462,4001,563,072
2010-05-27$0.91$0.9448.7%14.0%70.9%47.0%50.7%15.4%1.4%603.7K10.6M-303.4K0.5458.37N/AN/A186,30499,9041,490,5601,586,752
2010-05-28$0.90$0.9252.9%15.2%70.1%54.9%54.5%16.6%1.9%802.3K7.6M-313.1K1.0267.05N/AN/A92,35293,8881,602,5601,607,232