QLD Options History — November 2010 In November 2010, QLD traded between $1.13 and $1.24. ATM implied volatility averaged 37.5%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 12.8% (HV 20d: 24.7%). Max pain ranged from $1.08 to $1.19. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.90.
Notable Days 2010-11-04 : Highest Volume — 385,408 contracts2010-11-23 : Largest IV spike — 15.4% change2010-11-30 : Highest IV Rank — 42.2%2010-11-30 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $1.19 $1.13 $1.24 $1.17 $1.16 Max Pain $1.15 $1.08 $1.19 $1.08 $1.17 ATM IV 37.5% 31.2% 46.2% 42.6% 46.2% Expected Move 10.9% 9.6% 13.2% 12.2% 13.2% HV 20d 24.7% 20.0% 33.2% 25.6% 33.2% HV 60d 29.9% 28.3% 32.8% 32.6% 28.3% IV Rank 25.8% 14.0% 42.2% 35.5% 42.2% IV Percentile 42.4% 14.7% 78.2% 68.3% 78.2% Term Structure 1.0% -2.7% 4.1% -0.5% -2.7% VWIV 38.5% 33.5% 46.2% 40.1% 46.2% Skew 25d 7.9% 4.3% 10.3% 8.2% 10.3% Skew 10d 16.0% 7.6% 21.6% 16.9% 20.5% Call IV 25d 34.6% 30.1% 41.3% 38.4% 41.3% Put IV 25d 42.5% 38.1% 51.6% 46.6% 51.6% Bid-Ask Spread % 54.82 37.42 66.74 53.08 61.72 Gamma HHI 0.12 0.07 0.27 0.07 0.11 Net GEX 2.1M 1.2M 3.0M 1.2M 1.6M Net DEX -73.1M -112.9M -31.5M -69.1M -35.2M Net VEX -239.6K -268.1K -204.0K -268.1K -255.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.20 1.73 0.24 1.70 Total Volume 219,974.095 53,760 385,408 266,240 174,016 Total OI 2,995,483.429 2,190,080 3,514,816 2,823,872 2,669,248
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2010-11-01 $1.17 $1.08 42.6% 12.2% 25.6% 35.5% 40.1% 8.2% -0.5% 1.2M -69.1M -268.1K 0.24 53.08 N/A N/A 214,208 52,032 1,264,640 1,559,232 2010-11-02 $1.19 $1.08 42.2% 12.1% 21.6% 34.7% 42.9% 7.2% -0.4% 1.9M -86.4M -267.4K 1.00 37.42 N/A N/A 92,800 92,608 1,410,688 1,564,288 2010-11-03 $1.21 $1.08 37.5% 10.7% 20.0% 25.9% 37.9% 7.7% -0.2% 2.2M -93.0M -257.1K 1.73 56.02 N/A N/A 59,968 103,552 1,441,600 1,601,408 2010-11-04 $1.23 $1.08 34.6% 9.9% 20.7% 20.4% 37.3% 6.6% 2.2% 2.3M -110.2M -253.1K 0.63 43.32 N/A N/A 236,800 148,608 1,446,976 1,656,000 2010-11-05 $1.24 $1.16 32.5% 10.2% 20.9% 16.5% 35.4% 6.1% 2.4% 2.5M -112.9M -248.0K 0.77 45.47 N/A N/A 92,352 71,360 1,487,936 1,685,184 2010-11-08 $1.24 $1.17 31.8% 10.1% 20.9% 15.1% 36.5% 5.9% 1.8% 2.8M -112.8M -228.3K 1.06 43.36 N/A N/A 64,256 67,904 1,478,464 1,700,032 2010-11-09 $1.22 $1.17 33.9% 10.1% 21.9% 19.0% 36.5% 4.3% 0.7% 2.7M -103.6M -235.9K 0.48 49.38 N/A N/A 208,640 100,544 1,479,936 1,723,136 2010-11-10 $1.22 $1.17 31.2% 10.3% 21.8% 14.0% 36.0% 8.4% -0.5% 2.8M -105.7M -232.4K 0.91 59.78 N/A N/A 61,888 56,128 1,472,896 1,742,912 2010-11-11 $1.22 $1.17 35.3% 10.1% 21.6% 21.7% 35.5% 7.7% 3.7% 2.9M -96.5M -242.8K 1.42 51.01 N/A N/A 60,160 85,632 1,499,648 1,754,368 2010-11-12 $1.18 $1.19 39.6% 11.3% 21.7% 29.8% 39.9% 7.9% 1.8% 2.1M -67.5M -252.7K 0.97 54.54 N/A N/A 128,704 124,288 1,495,616 1,750,976 2010-11-15 $1.17 $1.17 38.5% 11.0% 21.8% 27.7% 39.2% 6.8% 4.1% 2.3M -65.6M -242.7K 0.68 57.37 N/A N/A 93,696 64,064 1,539,904 1,758,016 2010-11-16 $1.13 $1.17 40.9% 11.7% 23.6% 32.3% 41.5% 8.0% 1.4% 1.3M -31.5M -233.6K 0.95 57.20 N/A N/A 170,752 162,624 1,536,192 1,773,632 2010-11-17 $1.14 $1.16 39.9% 11.4% 23.1% 30.5% 41.2% 9.6% 2.6% 1.7M -39.5M -228.6K 0.83 50.48 N/A N/A 172,416 143,744 1,573,952 1,791,296 2010-11-18 $1.18 $1.16 35.4% 10.2% 25.6% 22.0% 36.9% 7.6% 1.4% 3.0M -77.6M -214.0K 0.63 60.50 N/A N/A 150,720 95,616 1,647,424 1,846,080 2010-11-19 $1.18 $1.14 34.2% 9.8% 25.2% 19.7% 33.5% 8.4% 2.9% 3.0M -79.4M -206.4K 0.20 50.90 N/A N/A 296,512 58,752 1,666,560 1,848,256 2010-11-22 $1.20 $1.16 33.4% 9.6% 25.7% 18.1% 35.9% 8.9% 3.2% 1.8M -52.0M -204.0K 1.62 64.59 N/A N/A 89,024 143,808 990,656 1,199,424 2010-11-23 $1.16 $1.16 38.5% 11.0% 28.3% 27.8% 38.0% 7.6% -0.6% 1.3M -34.2M -228.3K 0.58 62.81 N/A N/A 156,352 91,392 1,017,152 1,295,552 2010-11-24 $1.21 $1.16 35.8% 10.3% 31.4% 22.7% 37.1% 9.8% 0.8% 2.0M -58.8M -240.8K 1.06 66.74 N/A N/A 76,352 80,960 1,116,864 1,349,056 2010-11-26 $1.19 $1.17 40.1% 11.5% 31.8% 30.8% 38.9% 9.7% -0.9% 1.8M -54.2M -247.4K 0.78 64.77 N/A N/A 30,144 23,616 1,133,120 1,385,856 2010-11-29 $1.19 $1.17 42.7% 12.3% 31.8% 35.8% 42.4% 9.4% -1.4% 1.8M -48.9M -243.9K 0.62 60.76 N/A N/A 137,536 84,928 1,150,656 1,400,320 2010-11-30 $1.16 $1.17 46.2% 13.2% 33.2% 42.2% 46.2% 10.3% -2.7% 1.6M -35.2M -255.3K 1.70 61.72 N/A N/A 64,384 109,632 1,229,568 1,439,680
« Oct 2010 | All History | Dec 2010 » Home QLD History November 2010