QLD Options History — November 2011

In November 2011, QLD traded between $1.14 and $1.42. ATM implied volatility averaged 54.5%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 0.4% (HV 20d: 54.1%). Max pain ranged from $1.25 to $1.39. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-11-30: Highest Volume — 288,000 contracts
  • 2011-11-09: Largest IV spike — 51.4% change
  • 2011-11-09: Highest IV Rank — 49.5%
  • 2011-11-25: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.30$1.14$1.42$1.31$1.29
Max Pain$1.32$1.25$1.39$1.30$1.25
ATM IV54.5%42.4%64.1%60.7%47.2%
Expected Move15.7%13.3%17.6%17.4%13.5%
HV 20d54.1%48.4%59.7%54.8%59.7%
HV 60d56.6%52.8%64.8%64.8%56.3%
IV Rank37.0%21.1%49.5%45.0%27.5%
IV Percentile79.4%66.7%89.3%87.3%66.7%
Term Structure0.7%-2.8%2.3%-2.8%2.3%
VWIV55.7%46.7%65.4%63.9%46.7%
Skew 25d16.2%11.7%20.7%20.4%11.7%
Skew 10d32.6%22.3%40.8%38.7%22.3%
Call IV 25d47.4%39.6%54.5%51.8%42.1%
Put IV 25d63.6%53.8%72.3%72.3%53.8%
Bid-Ask Spread %34.5522.9950.4936.5745.34
Gamma HHI0.130.090.180.090.12
Net GEX1.8M-26.2K4.6M1.7M1.5M
Net DEX-24.3M-65.1M6.8M-24.8M-29.7M
Net VEX-184.9K-223.5K-144.8K-215.3K-188.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.194.640.960.19
Total Volume118,180.57131,296288,000138,112288,000
Total OI1,514,7521,085,5041,897,1521,499,7121,444,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$1.31$1.3060.7%17.4%54.8%45.0%63.9%20.4%-2.8%1.7M-24.8M-215.3K0.9636.57N/AN/A70,59267,520932,864566,848
2011-11-02$1.33$1.3056.7%16.3%52.6%39.9%65.4%16.4%-0.6%1.8M-30.5M-221.5K1.3743.17N/AN/A37,69651,648951,552614,208
2011-11-03$1.38$1.2849.8%14.3%53.3%30.8%56.8%13.5%1.8%2.6M-49.2M-223.5K1.3250.49N/AN/A34,62445,824961,600593,152
2011-11-04$1.37$1.3948.5%14.7%53.2%29.1%53.5%16.5%1.2%2.5M-44.4M-222.7K0.5127.71N/AN/A25,60012,992974,016614,656
2011-11-07$1.39$1.3948.0%14.4%48.4%28.5%50.3%16.7%0.8%3.0M-50.9M-209.0K0.7028.49N/AN/A26,11218,368977,728617,408
2011-11-08$1.42$1.3942.4%13.3%48.8%21.1%52.5%15.4%2.2%3.6M-65.1M-205.1K1.5229.45N/AN/A27,00841,024978,752619,712
2011-11-09$1.32$1.3964.1%16.8%55.6%49.5%59.7%20.7%-1.0%2.0M-27.0M-201.6K0.9528.20N/AN/A72,51268,800984,640631,936
2011-11-10$1.32$1.3856.8%16.3%55.1%40.0%53.7%19.4%0.5%2.0M-22.4M-195.7K0.3233.01N/AN/A59,52019,136999,680682,496
2011-11-11$1.37$1.3650.7%14.6%55.2%32.1%52.7%17.4%1.4%3.4M-41.7M-195.1K0.3638.45N/AN/A66,49623,6161,008,384686,272
2011-11-14$1.35$1.3453.1%15.2%54.4%35.2%55.1%18.3%0.8%3.4M-34.3M-181.6K1.2930.10N/AN/A21,69628,0961,039,808688,384
2011-11-15$1.38$1.3451.9%14.9%54.3%33.6%50.9%17.1%1.0%4.6M-48.7M-182.6K0.2132.81N/AN/A88,19218,8801,043,008694,208
2011-11-16$1.33$1.3454.7%15.7%53.9%37.3%58.7%18.7%0.2%2.8M-24.4M-170.0K0.8729.30N/AN/A31,42427,4561,059,328701,504
2011-11-17$1.28$1.3459.0%16.9%56.2%42.8%59.6%18.2%-0.3%-26.2K-1.5M-154.4K0.4734.90N/AN/A146,75269,6961,071,488713,152
2011-11-18$1.25$1.2756.7%16.3%55.6%39.9%55.7%16.5%0.8%-15.9K1.1M-157.5K0.2937.78N/AN/A194,43255,5521,160,000737,152
2011-11-21$1.21$1.2758.5%16.8%54.3%42.1%57.1%15.9%1.1%653.7K-6.1M-162.9K0.6937.65N/AN/A76,54452,480638,784446,720
2011-11-22$1.21$1.2755.0%15.8%53.1%37.6%53.3%14.4%1.6%734.4K-6.9M-168.2K0.4824.63N/AN/A21,18410,112670,016481,408
2011-11-23$1.16$1.2759.4%17.0%55.1%43.4%55.9%14.4%0.4%516.1K2.4M-154.5K0.2225.68N/AN/A116,73625,856675,200487,552
2011-11-25$1.14$1.2761.4%17.6%50.0%45.9%59.3%14.2%-0.7%265.6K6.8M-144.8K0.4722.99N/AN/A37,24817,344631,168508,928
2011-11-28$1.22$1.2754.9%15.7%57.0%37.5%53.2%11.8%2.2%646.5K-5.7M-156.1K0.3845.88N/AN/A197,18475,904645,440514,432
2011-11-29$1.21$1.2555.6%16.0%56.2%38.5%54.9%11.9%1.3%1.0M-7.9M-172.5K4.6442.93N/AN/A19,84092,096792,896569,024
2011-11-30$1.29$1.2547.2%13.5%59.7%27.5%46.7%11.7%2.3%1.5M-29.7M-188.8K0.1945.34N/AN/A242,36845,632801,856642,432