QLD Options History — January 2011

In January 2011, QLD traded between $1.31 and $1.40. ATM implied volatility averaged 31.2%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 13.1% (HV 20d: 18.0%). Max pain ranged from $1.17 to $1.36. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2011-01-21: Highest Volume — 544,896 contracts
  • 2011-01-28: Largest IV spike — 30.1% change
  • 2011-01-28: Highest IV Rank — 25.0%
  • 2011-01-28: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.35$1.31$1.40$1.31$1.34
Max Pain$1.29$1.17$1.36$1.17$1.36
ATM IV31.2%26.5%37.0%31.1%35.7%
Expected Move9.2%8.2%10.6%8.9%10.2%
HV 20d18.0%14.3%29.3%14.4%29.3%
HV 60d24.7%23.2%27.1%25.2%27.1%
IV Rank13.9%5.1%25.0%13.9%22.5%
IV Percentile17.4%1.2%46.0%15.5%39.3%
Term Structure3.3%0.2%8.8%3.0%1.7%
VWIV33.0%30.0%36.0%34.4%35.3%
Skew 25d7.7%6.1%10.2%7.2%10.2%
Skew 10d16.1%12.1%24.0%14.0%24.0%
Call IV 25d28.9%26.3%33.3%28.7%31.8%
Put IV 25d36.6%33.3%42.0%35.9%42.0%
Bid-Ask Spread %45.5015.1775.6871.9315.17
Gamma HHI0.130.080.630.110.08
Net GEX928.7K-5.8M2.4M2.4M47.1K
Net DEX-71.9M-112.5M-9.3M-82.7M-9.3M
Net VEX-174.8K-230.5K-143.7K-178.4K-230.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.412.000.671.33
Total Volume235,059.275,008544,896297,664265,856
Total OI2,395,817.61,057,1523,195,0082,493,0561,768,000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$1.31$1.1731.1%8.9%14.4%13.9%34.4%7.2%3.0%2.4M-82.7M-178.4K0.6771.93N/AN/A178,432119,2321,072,2561,420,800
2011-01-04$1.31$1.1931.9%9.1%14.4%15.2%33.8%7.0%2.5%2.0M-75.3M-190.4K0.4873.58N/AN/A55,80826,6241,073,9201,497,600
2011-01-05$1.33$1.1930.7%8.8%15.3%13.1%31.5%6.5%2.8%2.1M-87.0M-177.8K0.7172.70N/AN/A59,84042,4961,080,6401,508,672
2011-01-06$1.34$1.1929.6%8.5%15.2%11.1%32.1%6.1%4.5%2.1M-89.8M-176.2K0.5075.68N/AN/A253,312125,7601,078,9761,527,680
2011-01-07$1.34$1.3030.0%9.7%15.3%11.8%34.2%8.8%4.0%1.8M-83.9M-197.0K0.8130.88N/AN/A41,34433,6641,123,5841,641,856
2011-01-10$1.35$1.3029.9%9.7%14.9%11.6%35.3%7.9%2.2%2.1M-93.6M-176.5K1.1234.13N/AN/A56,51263,5521,140,8641,655,680
2011-01-11$1.35$1.3030.0%9.6%14.5%11.7%33.9%8.1%3.5%1.8M-93.4M-174.2K1.3340.72N/AN/A41,60055,1681,131,4561,688,000
2011-01-12$1.37$1.3026.5%8.9%14.9%5.1%32.0%7.5%8.8%1.8M-104.2M-164.7K1.6358.03N/AN/A40,32065,5361,142,8481,709,952
2011-01-13$1.37$1.3031.8%9.1%14.3%15.2%33.0%7.4%5.3%1.6M-106.0M-158.6K1.7843.02N/AN/A74,432132,1601,146,1121,733,568
2011-01-14$1.39$1.3029.9%8.6%14.3%11.5%30.9%7.5%5.3%1.3M-112.5M-149.4K0.5448.41N/AN/A138,24074,1761,125,8881,815,232
2011-01-18$1.40$1.3029.5%8.4%14.3%10.8%30.0%6.5%4.2%1.1M-111.9M-143.7K1.0446.93N/AN/A112,064116,0321,116,4161,842,496
2011-01-19$1.37$1.3131.8%9.1%17.3%15.2%32.0%6.7%4.8%316.3K-95.4M-150.1K0.7446.27N/AN/A120,96090,0481,135,6161,893,760
2011-01-20$1.35$1.3333.6%9.6%18.3%18.5%34.6%8.0%2.3%-466.7K-82.7M-154.9K1.3651.68N/AN/A150,016204,3521,184,7041,928,768
2011-01-21$1.33$1.3334.0%9.7%19.3%19.3%33.2%7.6%0.8%-5.8M-66.0M-157.6K0.4141.79N/AN/A387,456157,4401,194,8802,000,128
2011-01-24$1.36$1.3331.3%9.0%21.3%14.2%32.1%9.4%2.4%753.8K-25.2M-159.1K1.2930.89N/AN/A100,160129,344577,984479,168
2011-01-25$1.37$1.3430.8%8.8%21.3%13.2%30.8%8.8%2.7%681.1K-25.2M-171.9K0.9335.52N/AN/A126,656117,824626,816567,488
2011-01-26$1.38$1.3329.6%8.5%21.3%10.9%33.1%7.1%2.3%1.3M-37.8M-183.4K0.9944.07N/AN/A148,416146,752725,632600,896
2011-01-27$1.40$1.3428.5%8.2%21.5%8.9%31.0%7.0%2.6%1.3M-43.9M-192.1K1.5428.90N/AN/A54,65684,416758,848681,280
2011-01-28$1.33$1.3637.0%10.6%29.3%25.0%36.0%8.3%0.2%235.1K-12.0M-210.4K2.0019.70N/AN/A169,984340,544782,208735,680
2011-01-31$1.34$1.3635.7%10.2%29.3%22.5%35.3%10.2%1.7%47.1K-9.3M-230.5K1.3315.17N/AN/A114,048151,808858,240909,760