QLD Options History — February 2012

In February 2012, QLD traded between $1.52 and $1.70. ATM implied volatility averaged 31.1%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 13.0% (HV 20d: 18.1%). Max pain ranged from $1.41 to $1.63. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2012-02-17: Highest Volume — 251,648 contracts
  • 2012-02-09: Largest IV spike — 11.9% change
  • 2012-02-15: Highest IV Rank — 13.8%
  • 2012-02-15: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.62$1.52$1.70$1.52$1.69
Max Pain$1.55$1.41$1.63$1.41$1.63
ATM IV31.1%27.4%36.9%31.0%30.5%
Expected Move9.1%7.9%10.6%8.9%8.7%
HV 20d18.1%15.9%20.0%15.9%19.7%
HV 60d35.6%27.0%41.3%41.2%27.0%
IV Rank6.3%1.3%13.8%6.3%5.4%
IV Percentile18.4%2.8%43.7%18.3%15.1%
Term Structure2.9%1.6%4.3%2.7%3.2%
VWIV33.0%29.0%37.5%31.8%32.1%
Skew 25d8.5%6.3%12.2%6.6%7.6%
Skew 10d17.9%12.2%24.2%12.2%16.0%
Call IV 25d28.2%25.0%32.2%28.0%27.7%
Put IV 25d36.7%32.0%44.3%34.5%35.4%
Bid-Ask Spread %56.5229.7470.4961.1166.34
Gamma HHI0.080.050.140.060.08
Net GEX1.1M628.1K1.5M1.1M869.8K
Net DEX-42.3M-61.1M-27.3M-30.7M-41.8M
Net VEX-167.8K-205.3K-136.1K-136.1K-205.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.492.720.782.43
Total Volume125,779.253,632251,648107,90494,208
Total OI1,035,065.6788,2241,404,480788,2241,112,192

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$1.52$1.4131.0%8.9%15.9%6.3%31.8%6.6%2.7%1.1M-30.7M-136.1K0.7861.11N/AN/A60,54447,360451,840336,384
2012-02-02$1.53$1.4129.8%8.5%15.9%4.8%29.5%6.3%3.5%1.1M-32.4M-143.9K0.5463.57N/AN/A34,88018,752477,760348,160
2012-02-03$1.57$1.4728.6%9.2%17.1%3.3%32.7%8.6%1.6%1.4M-41.9M-142.2K0.7660.18N/AN/A91,77669,504501,824352,192
2012-02-06$1.57$1.5530.3%9.2%17.3%5.4%33.1%8.7%1.9%1.4M-40.8M-147.5K0.9157.76N/AN/A34,94431,744521,728391,936
2012-02-07$1.57$1.5228.6%9.1%16.7%3.3%35.9%8.4%1.6%1.5M-42.9M-145.3K1.4254.34N/AN/A25,34435,904536,448400,960
2012-02-08$1.59$1.5328.5%9.3%16.5%3.2%33.8%9.0%1.9%1.5M-45.3M-146.9K1.1529.74N/AN/A58,11266,560536,960416,384
2012-02-09$1.61$1.5631.9%9.2%16.7%7.3%32.4%8.7%2.7%1.2M-49.6M-146.6K0.6755.27N/AN/A88,44858,816537,728468,480
2012-02-10$1.59$1.5634.6%9.9%18.5%10.7%34.7%9.8%2.1%970.7K-39.5M-164.6K2.7236.94N/AN/A56,256152,960565,440510,784
2012-02-13$1.62$1.5633.5%9.6%18.1%9.2%35.2%9.4%2.4%1.2M-52.0M-157.0K1.7650.14N/AN/A58,816103,488603,968577,152
2012-02-14$1.63$1.5633.3%9.6%17.8%9.1%33.8%9.8%3.5%830.2K-52.2M-160.5K1.1858.26N/AN/A59,52070,272614,336641,408
2012-02-15$1.60$1.5636.9%10.6%17.9%13.8%37.5%12.2%2.0%635.2K-41.7M-169.4K0.7536.80N/AN/A96,51272,256620,096659,072
2012-02-16$1.65$1.5634.1%9.8%19.5%10.1%34.0%10.1%3.4%1.0M-60.2M-165.5K0.5553.34N/AN/A143,16879,040633,856687,360
2012-02-17$1.64$1.5631.7%9.1%19.7%7.0%32.8%9.2%3.9%1.4M-61.1M-172.8K0.6655.27N/AN/A151,74499,904690,944713,536
2012-02-21$1.65$1.5632.1%9.2%19.6%7.5%33.5%8.7%3.0%750.0K-31.1M-175.0K1.7262.59N/AN/A33,34457,472462,528352,896
2012-02-22$1.63$1.5831.7%9.1%20.0%7.0%34.3%8.3%3.1%629.6K-27.3M-185.1K1.8964.54N/AN/A23,87245,056482,368393,024
2012-02-23$1.65$1.5828.4%8.2%19.0%2.7%29.0%7.0%4.0%628.1K-31.6M-187.0K0.4963.38N/AN/A85,05641,664493,184421,696
2012-02-24$1.66$1.6127.4%7.9%18.4%1.3%30.8%7.0%4.3%1.1M-38.2M-196.8K1.8468.12N/AN/A37,88869,888556,544447,872
2012-02-27$1.67$1.6129.3%8.4%18.5%3.9%32.1%7.2%4.0%955.1K-38.0M-205.3K1.4062.24N/AN/A28,80040,320581,504500,160
2012-02-28$1.70$1.6129.7%8.5%19.1%4.3%31.3%7.0%3.2%1.0M-46.9M-203.3K1.0570.49N/AN/A44,54446,848585,152515,456
2012-02-29$1.69$1.6330.5%8.7%19.7%5.4%32.1%7.6%3.2%869.8K-41.8M-205.1K2.4366.34N/AN/A27,45666,752585,984526,208