QLD Options History — April 2012

In April 2012, QLD traded between $1.70 and $1.90. ATM implied volatility averaged 33.0%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.1% (HV 20d: 28.9%). Max pain ranged from $1.72 to $1.83. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2012-04-25: Highest Volume — 597,888 contracts
  • 2012-04-25: Largest IV drop — 18.6% change
  • 2012-04-16: Highest IV Rank — 17.8%
  • 2012-04-16: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.81$1.70$1.90$1.90$1.81
Max Pain$1.79$1.72$1.83$1.72$1.78
ATM IV33.0%26.3%38.9%26.3%31.2%
Expected Move9.6%7.5%11.1%7.5%8.9%
HV 20d28.9%20.2%36.6%22.3%36.6%
HV 60d23.9%19.8%27.6%19.8%27.6%
IV Rank10.3%1.7%17.8%1.7%8.0%
IV Percentile32.9%1.2%55.6%1.2%25.8%
Term Structure1.8%-0.2%3.6%3.2%1.3%
VWIV33.6%27.1%39.5%27.5%31.7%
Skew 25d8.8%6.2%11.1%6.3%7.5%
Skew 10d17.9%12.2%24.5%12.5%14.3%
Call IV 25d29.5%23.5%34.3%23.5%28.2%
Put IV 25d38.3%29.8%45.4%29.8%35.6%
Bid-Ask Spread %32.5914.4444.5930.9034.11
Gamma HHI0.150.120.200.140.16
Net GEX4.2M-2.2M9.5M3.5M5.7M
Net DEX-53.6M-95.7M-8.4M-95.2M-57.9M
Net VEX-221.4K-261.5K-161.3K-221.5K-243.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.111.870.910.77
Total Volume155,068.848,064597,88866,36882,112
Total OI1,605,993.6814,0802,093,8241,377,5361,424,896

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$1.90$1.7226.3%7.5%22.3%1.7%27.5%6.3%3.2%3.5M-95.2M-221.5K0.9130.90N/AN/A34,75231,616826,112551,424
2012-04-03$1.90$1.7226.3%7.5%20.2%1.7%27.1%6.2%3.6%3.7M-95.7M-223.7K0.6441.00N/AN/A36,86423,616843,584568,512
2012-04-04$1.85$1.7228.6%8.2%23.4%4.6%27.1%6.8%3.2%3.8M-72.6M-239.0K0.6914.44N/AN/A175,936120,704857,856574,592
2012-04-05$1.87$1.7228.2%8.1%22.7%4.2%30.2%6.2%3.3%5.4M-92.1M-252.8K1.6921.32N/AN/A63,616107,776981,568633,920
2012-04-09$1.84$1.8331.7%9.8%23.6%8.6%34.0%8.5%1.6%4.4M-73.6M-239.6K0.2336.30N/AN/A182,20842,112966,784697,152
2012-04-10$1.78$1.8336.9%10.8%27.0%15.3%39.0%10.5%1.0%4.0M-46.2M-243.9K0.9424.38N/AN/A60,99257,4721,094,144692,480
2012-04-11$1.80$1.8333.6%10.5%24.1%11.0%37.8%10.5%1.0%4.8M-54.8M-242.1K0.3021.50N/AN/A171,13651,3281,101,632711,040
2012-04-12$1.84$1.8334.1%9.8%25.1%11.7%36.6%9.4%2.9%8.8M-93.7M-260.4K1.2119.08N/AN/A27,13632,8321,234,240742,848
2012-04-13$1.78$1.8337.3%10.7%27.4%15.8%39.5%10.3%1.7%5.7M-46.7M-242.8K1.0239.80N/AN/A29,12029,6961,236,352758,400
2012-04-16$1.74$1.8338.9%11.1%28.4%17.8%38.4%11.1%-0.1%2.6M-15.9M-203.3K1.3841.84N/AN/A80,832111,2321,234,880769,088
2012-04-17$1.81$1.8335.4%10.1%31.2%13.3%33.5%9.8%1.2%9.5M-69.2M-216.5K0.3635.91N/AN/A103,61637,4401,251,456790,912
2012-04-18$1.80$1.8336.5%10.5%31.2%14.8%37.0%10.3%0.9%9.4M-55.9M-208.1K1.8732.01N/AN/A16,76831,2961,265,920792,192
2012-04-19$1.77$1.8336.7%10.5%32.0%15.0%36.2%11.1%1.1%2.1M-18.3M-181.3K0.5333.43N/AN/A78,01641,6001,266,752806,592
2012-04-20$1.75$1.8334.6%9.9%32.0%12.4%33.2%9.9%2.7%-2.2M-8.4M-161.3K0.2738.31N/AN/A187,71250,0481,279,680814,144
2012-04-23$1.72$1.7837.3%10.7%32.5%15.9%37.6%9.9%0.1%632.9K-10.4M-171.9K0.5944.59N/AN/A91,84054,336458,112355,968
2012-04-24$1.70$1.7737.8%10.8%29.6%16.4%38.3%9.3%-0.2%674.9K-8.8M-177.9K0.7739.85N/AN/A31,48824,192503,168395,840
2012-04-25$1.79$1.7730.7%8.8%35.8%7.4%29.2%8.0%2.2%1.3M-27.4M-184.1K0.1138.39N/AN/A536,38461,504512,192403,712
2012-04-26$1.81$1.7729.6%8.5%36.1%5.9%28.5%7.6%2.4%4.7M-57.6M-253.0K0.1430.74N/AN/A90,94413,120882,432444,416
2012-04-27$1.84$1.7728.4%8.1%36.4%4.4%29.2%7.1%2.4%5.8M-72.4M-261.5K0.3133.82N/AN/A75,00822,976945,920448,960
2012-04-30$1.81$1.7831.2%8.9%36.6%8.0%31.7%7.5%1.3%5.7M-57.9M-243.5K0.7734.11N/AN/A46,27235,840962,560462,336