QLD Options History — January 2012

In January 2012, QLD traded between $1.32 and $1.49. ATM implied volatility averaged 33.2%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.0% (HV 20d: 29.2%). Max pain ranged from $1.25 to $1.41. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2012-01-20: Highest Volume — 370,816 contracts
  • 2012-01-12: Largest IV spike — 18.3% change
  • 2012-01-17: Highest IV Rank — 15.7%
  • 2012-01-17: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.42$1.32$1.49$1.32$1.49
Max Pain$1.34$1.25$1.41$1.25$1.41
ATM IV33.2%30.2%38.2%37.2%32.1%
Expected Move9.9%8.9%11.0%10.7%9.2%
HV 20d29.2%18.7%39.5%39.5%18.7%
HV 60d46.4%41.9%50.2%50.2%41.9%
IV Rank9.2%5.3%15.7%14.4%7.8%
IV Percentile28.9%15.9%48.4%45.6%24.2%
Term Structure3.5%2.1%6.5%4.0%2.1%
VWIV35.7%31.8%40.7%37.6%33.4%
Skew 25d9.1%6.9%11.1%9.1%6.9%
Skew 10d18.4%13.1%22.6%17.0%13.1%
Call IV 25d30.5%27.4%33.3%33.1%29.5%
Put IV 25d39.6%35.6%44.4%42.2%36.4%
Bid-Ask Spread %47.9220.2667.7820.2659.44
Gamma HHI0.100.050.180.130.06
Net GEX3.3M569.4K6.1M4.4M887.6K
Net DEX-81.6M-166.3M-18.2M-64.6M-25.4M
Net VEX-142.5K-187.7K-104.2K-186.7K-138.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.112.261.830.38
Total Volume111,606.442,624370,816189,95252,800
Total OI1,591,244.8582,0802,369,1521,799,232773,248

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$1.32$1.2537.2%10.7%39.5%14.4%37.6%9.1%4.0%4.4M-64.6M-186.7K1.8320.26N/AN/A67,072122,8801,157,440641,792
2012-01-04$1.33$1.2534.2%9.8%38.7%10.5%34.6%8.4%6.5%4.7M-69.9M-187.7K1.1566.83N/AN/A38,01643,6481,192,128679,424
2012-01-05$1.35$1.2532.2%9.2%39.2%7.9%34.2%7.2%5.6%4.9M-86.1M-178.1K0.8267.78N/AN/A31,80826,2401,209,408672,576
2012-01-06$1.36$1.2730.3%10.6%39.2%5.5%37.0%10.8%3.5%5.1M-93.4M-169.7K0.4945.09N/AN/A66,68832,4481,217,472674,816
2012-01-09$1.35$1.3030.9%10.7%36.9%6.2%38.2%10.9%2.9%5.5M-90.7M-165.1K0.2346.31N/AN/A111,36025,7921,246,272687,040
2012-01-10$1.37$1.3130.2%10.5%35.7%5.3%40.4%10.4%3.0%6.1M-108.5M-162.7K0.6644.93N/AN/A34,24022,7201,331,264700,736
2012-01-11$1.38$1.3130.6%10.6%34.6%5.8%37.5%10.4%3.4%6.0M-112.4M-158.4K1.0545.13N/AN/A36,16037,8881,332,544707,840
2012-01-12$1.39$1.3336.1%10.4%33.1%13.0%37.0%9.9%3.9%5.7M-121.8M-143.6K2.2643.51N/AN/A71,360161,0881,334,976731,904
2012-01-13$1.38$1.3337.5%10.8%30.8%14.8%40.7%10.2%3.4%5.6M-113.5M-150.7K0.5440.57N/AN/A42,04822,7841,368,128877,696
2012-01-17$1.40$1.3138.2%11.0%30.6%15.7%40.2%11.1%2.8%4.9M-133.4M-124.2K0.7826.27N/AN/A58,56045,5041,383,360892,352
2012-01-18$1.44$1.3336.0%10.3%31.4%12.9%37.3%10.2%4.1%3.5M-158.3M-104.2K0.4642.07N/AN/A90,30441,8561,391,872919,616
2012-01-19$1.46$1.3634.9%10.0%29.9%11.4%35.9%9.7%3.7%2.3M-166.3M-104.2K0.5748.46N/AN/A99,39257,0241,404,224948,416
2012-01-20$1.46$1.3831.0%8.9%24.4%6.3%32.3%8.3%6.1%1.5M-158.6M-109.0K0.1147.61N/AN/A333,63237,1841,381,888987,264
2012-01-23$1.46$1.3831.7%9.1%20.5%7.3%32.6%8.4%3.1%569.4K-18.4M-119.3K0.6149.50N/AN/A40,51224,704332,288249,792
2012-01-24$1.45$1.3833.2%9.5%20.6%9.2%33.4%9.0%2.6%617.5K-18.2M-123.5K0.7051.09N/AN/A25,08817,536351,424260,608
2012-01-25$1.49$1.3831.7%9.1%21.2%7.3%32.7%7.8%3.0%733.0K-23.5M-123.5K1.0951.57N/AN/A51,20055,808361,536264,768
2012-01-26$1.48$1.4131.9%9.1%21.8%7.5%33.3%8.3%2.3%716.5K-21.9M-131.1K0.5851.90N/AN/A46,40026,944392,448300,672
2012-01-27$1.49$1.4131.3%9.0%19.1%6.7%31.8%7.2%2.8%796.9K-23.8M-134.7K0.7357.30N/AN/A32,89624,128408,768307,264
2012-01-30$1.49$1.4133.1%9.5%19.2%9.0%34.1%7.2%2.1%834.5K-23.9M-134.9K1.7952.84N/AN/A27,39249,024428,608321,024
2012-01-31$1.49$1.4132.1%9.2%18.7%7.8%33.4%6.9%2.1%887.6K-25.4M-138.1K0.3859.44N/AN/A38,33614,464443,008330,240