QLD Options History — May 2011

In May 2011, QLD traded between $1.36 and $1.49. ATM implied volatility averaged 30.3%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.8% (HV 20d: 23.5%). Max pain ranged from $1.39 to $1.44. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2011-05-23: Highest Volume — 441,024 contracts
  • 2011-05-05: Largest IV spike — 13.3% change
  • 2011-05-16: Highest IV Rank — 18.4%
  • 2011-05-16: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.43$1.36$1.49$1.48$1.44
Max Pain$1.41$1.39$1.44$1.39$1.42
ATM IV30.3%26.4%35.1%29.8%26.4%
Expected Move8.8%7.6%10.1%8.5%7.6%
HV 20d23.5%21.4%27.3%21.4%27.3%
HV 60d29.5%27.2%31.3%30.0%27.9%
IV Rank8.7%0.6%18.4%7.2%0.6%
IV Percentile14.6%0.4%37.7%8.7%0.4%
Term Structure2.4%-0.5%4.4%2.9%3.0%
VWIV31.4%23.2%38.2%31.3%23.2%
Skew 25d8.8%6.1%10.4%6.6%6.1%
Skew 10d18.2%10.7%23.6%15.3%15.3%
Call IV 25d27.2%23.4%30.9%27.3%23.4%
Put IV 25d36.0%29.5%40.7%33.9%29.5%
Bid-Ask Spread %39.0817.5861.1154.9045.70
Gamma HHI0.090.070.320.070.08
Net GEX2.7M-78.3K6.7M1.8M677.8K
Net DEX-49.4M-100.6M3.5M-70.4M-23.8M
Net VEX-292.0K-351.4K-182.8K-327.1K-182.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.332.500.360.64
Total Volume199,372.1950,752441,02482,176438,784
Total OI2,381,147.4291,303,6162,971,0082,377,2801,303,616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$1.48$1.3929.8%8.5%21.4%7.2%31.3%6.6%2.9%1.8M-70.4M-327.1K0.3654.90N/AN/A60,28821,8881,192,3201,184,960
2011-05-03$1.47$1.3928.8%8.3%21.7%5.3%31.4%8.0%4.4%2.0M-60.1M-333.0K1.1317.58N/AN/A74,24084,2241,209,2161,194,176
2011-05-04$1.46$1.3928.9%8.3%21.6%5.4%30.0%8.0%3.2%2.1M-60.1M-330.6K2.5020.92N/AN/A62,720156,8641,236,0321,236,928
2011-05-05$1.44$1.3932.7%9.4%22.1%13.0%27.2%9.5%2.8%1.9M-52.1M-351.4K1.3025.36N/AN/A61,95280,5121,266,5601,252,800
2011-05-06$1.46$1.4132.1%9.8%22.2%11.9%33.6%10.2%0.9%2.2M-62.6M-347.2K1.7927.64N/AN/A74,432133,1841,296,5121,251,328
2011-05-09$1.47$1.4228.9%9.2%21.8%5.8%35.4%10.1%1.5%2.5M-71.7M-316.9K0.8521.71N/AN/A81,34468,8001,307,8401,280,704
2011-05-10$1.49$1.4126.7%8.8%22.0%1.1%35.2%9.8%2.3%3.1M-95.4M-293.9K1.5861.11N/AN/A81,408128,7041,338,3681,274,112
2011-05-11$1.47$1.4229.5%9.1%22.2%6.8%38.2%9.1%2.5%3.7M-78.5M-311.6K1.4028.67N/AN/A93,888131,0081,374,6561,240,832
2011-05-12$1.48$1.4130.3%8.7%21.9%8.6%32.5%9.1%2.5%4.5M-100.6M-283.6K0.6333.05N/AN/A91,96857,7281,384,2561,165,184
2011-05-13$1.45$1.4132.4%9.3%23.8%12.9%36.0%8.7%-0.5%4.7M-79.3M-285.7K2.2255.01N/AN/A69,248153,4721,400,2561,160,256
2011-05-16$1.40$1.4135.1%10.1%27.3%18.4%36.1%9.7%0.2%2.9M-27.6M-281.6K1.1259.41N/AN/A182,720205,3121,406,8481,262,272
2011-05-17$1.41$1.4133.9%9.7%26.7%15.8%33.5%10.4%2.0%3.1M-30.0M-294.3K0.7330.23N/AN/A78,20857,4721,478,0801,383,232
2011-05-18$1.43$1.4130.3%8.7%27.0%8.7%29.8%9.0%2.5%4.7M-61.4M-278.6K0.6250.03N/AN/A110,97669,0561,483,2001,377,216
2011-05-19$1.44$1.4129.4%8.4%22.3%6.7%27.4%8.3%3.4%5.1M-71.2M-266.0K2.1141.70N/AN/A73,152154,3041,490,9441,372,480
2011-05-20$1.42$1.4429.6%8.5%22.2%7.9%30.2%9.3%3.6%6.7M-39.2M-267.3K0.4436.14N/AN/A174,46476,9281,499,6481,471,360
2011-05-23$1.38$1.4432.2%9.2%24.1%13.9%29.0%10.1%2.6%-78.3K3.5M-256.4K0.6937.90N/AN/A260,736180,288822,656813,056
2011-05-24$1.36$1.4133.3%9.5%23.9%16.4%31.9%9.8%1.6%661.5K-4.3M-271.5K0.4842.95N/AN/A85,31240,7681,013,184792,512
2011-05-25$1.37$1.4130.8%8.8%23.3%10.8%32.0%8.5%2.3%925.4K-9.2M-279.1K0.9139.28N/AN/A58,36853,1201,058,112810,176
2011-05-26$1.39$1.4127.9%8.0%24.1%4.0%27.9%7.1%3.5%1.4M-17.2M-286.1K0.3343.12N/AN/A51,26416,9601,086,912857,984
2011-05-27$1.40$1.4126.5%7.6%24.5%0.9%27.4%7.1%3.4%1.9M-26.1M-288.1K0.5648.25N/AN/A32,51218,2401,103,424869,888
2011-05-31$1.44$1.4226.4%7.6%27.3%0.6%23.2%6.1%3.0%677.8K-23.8M-182.8K0.6445.70N/AN/A268,288170,496643,072660,544