QLD Options History — April 2011

In April 2011, QLD traded between $1.35 and $1.49. ATM implied volatility averaged 30.5%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.6% (HV 20d: 25.9%). Max pain ranged from $1.30 to $1.39. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-04-20: Highest Volume — 499,328 contracts
  • 2011-04-13: Largest IV drop — 16.5% change
  • 2011-04-11: Highest IV Rank — 20.5%
  • 2011-04-04: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.41$1.35$1.49$1.41$1.49
Max Pain$1.35$1.30$1.39$1.30$1.39
ATM IV30.5%26.6%36.0%30.7%27.6%
Expected Move9.1%7.6%10.4%8.8%7.9%
HV 20d25.9%20.0%34.5%34.5%21.3%
HV 60d31.8%30.0%32.7%32.1%30.0%
IV Rank9.8%0.8%20.5%13.0%3.0%
IV Percentile13.8%0.8%39.7%15.1%2.0%
Term Structure3.9%2.3%6.3%3.8%3.1%
VWIV32.6%25.5%41.4%31.5%29.9%
Skew 25d8.5%6.6%10.8%8.6%7.1%
Skew 10d18.2%15.1%25.1%16.0%15.8%
Call IV 25d28.1%23.7%32.5%27.6%24.4%
Put IV 25d36.6%30.7%41.1%36.2%31.6%
Bid-Ask Spread %34.5423.2258.1231.5925.99
Gamma HHI0.100.060.180.100.07
Net GEX4.5M398.3K7.8M6.6M1.8M
Net DEX-70.5M-102.5M-7.4M-102.5M-75.3M
Net VEX-282.2K-337.2K-222.6K-314.0K-334.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.342.130.950.34
Total Volume193,148.847,616499,328211,39287,616
Total OI2,635,644.81,272,1283,329,0883,033,1522,379,072

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$1.41$1.3030.7%8.8%34.5%13.0%31.5%8.6%3.8%6.6M-102.5M-314.0K0.9531.59N/AN/A108,160103,2321,886,7201,146,432
2011-04-04$1.40$1.3633.9%10.4%33.3%19.2%41.4%8.6%2.3%6.5M-92.3M-300.3K0.5825.21N/AN/A109,44063,4241,922,5601,185,344
2011-04-05$1.39$1.3631.1%10.0%33.2%13.9%35.4%8.1%2.8%7.2M-91.9M-294.8K1.5939.52N/AN/A30,78449,0881,978,3681,221,056
2011-04-06$1.40$1.3630.8%9.9%32.9%13.3%35.6%8.7%4.2%7.8M-102.1M-290.1K0.8736.09N/AN/A54,72047,4242,012,2881,230,272
2011-04-07$1.40$1.3631.1%10.0%30.8%13.8%37.5%8.3%3.2%7.3M-89.3M-286.0K0.7524.70N/AN/A51,90439,1041,937,0881,242,944
2011-04-08$1.38$1.3631.7%10.2%30.8%12.1%34.6%8.3%3.2%6.8M-76.8M-282.9K0.6530.98N/AN/A28,92818,6881,966,0161,263,104
2011-04-11$1.37$1.3636.0%10.0%30.8%20.5%34.2%8.9%4.6%6.5M-66.6M-255.9K0.8224.19N/AN/A49,28040,5761,962,4321,260,992
2011-04-12$1.35$1.3634.4%10.2%29.4%17.3%37.0%9.3%3.6%5.9M-50.3M-240.4K1.3228.85N/AN/A78,400103,4881,977,1521,252,352
2011-04-13$1.38$1.3628.7%9.8%22.9%5.1%35.3%8.8%4.7%6.8M-73.7M-230.1K0.5132.85N/AN/A75,13638,0161,965,1201,301,696
2011-04-14$1.37$1.3632.5%9.3%22.6%12.6%33.3%8.8%6.2%6.0M-65.8M-228.7K0.7236.30N/AN/A99,13671,4881,963,7761,313,408
2011-04-15$1.37$1.3631.5%9.0%22.5%10.6%31.6%8.2%6.3%4.6M-63.8M-222.6K0.6344.25N/AN/A205,312129,8561,984,5761,344,512
2011-04-18$1.35$1.3633.0%9.5%20.0%13.5%34.6%10.8%3.6%398.3K-7.4M-232.7K0.8841.97N/AN/A231,552203,520618,240653,888
2011-04-19$1.36$1.3430.2%8.6%20.3%8.0%31.8%9.1%3.7%812.2K-16.7M-273.7K0.5730.87N/AN/A159,29691,584766,208793,728
2011-04-20$1.43$1.3328.2%8.1%25.0%4.0%28.2%8.7%4.2%1.6M-47.5M-265.7K0.4251.00N/AN/A350,592148,736847,936812,032
2011-04-21$1.45$1.3426.6%7.6%22.2%0.8%27.3%7.7%4.3%2.5M-64.0M-297.9K0.3823.22N/AN/A188,86472,5121,013,312890,880
2011-04-25$1.46$1.3428.2%8.1%22.3%4.1%30.3%8.5%3.6%2.8M-70.1M-312.9K0.5151.66N/AN/A67,26433,9841,097,280919,232
2011-04-26$1.47$1.3428.5%8.2%21.7%4.6%29.3%8.6%3.7%2.9M-81.8M-318.8K1.4027.68N/AN/A80,704112,7681,142,080937,856
2011-04-27$1.49$1.3628.8%8.3%21.3%5.2%28.5%8.5%3.0%2.8M-91.3M-324.3K2.1358.12N/AN/A89,216189,7601,173,9521,019,328
2011-04-28$1.49$1.3927.1%7.8%21.2%1.9%25.5%6.6%3.4%2.2M-80.9M-337.2K1.3925.86N/AN/A66,75292,6721,198,6561,131,008
2011-04-29$1.49$1.3927.6%7.9%21.3%3.0%29.9%7.1%3.1%1.8M-75.3M-334.9K0.3425.99N/AN/A65,47222,1441,197,6321,181,440