QLD Options History — July 2012

In July 2012, QLD traded between $1.58 and $1.71. ATM implied volatility averaged 33.0%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 6.6% (HV 20d: 39.6%). Max pain ranged from $1.59 to $1.66. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2012-07-19: Highest Volume — 432,640 contracts
  • 2012-07-24: Largest IV spike — 13.0% change
  • 2012-07-24: Highest IV Rank — 17.7%
  • 2012-07-24: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.65$1.58$1.71$1.67$1.69
Max Pain$1.61$1.59$1.66$1.59$1.63
ATM IV33.0%28.2%38.8%29.9%34.8%
Expected Move9.7%8.1%11.1%8.6%10.0%
HV 20d39.6%34.0%43.6%43.4%34.0%
HV 60d38.7%37.7%39.8%39.7%38.1%
IV Rank10.3%4.2%17.7%6.3%12.6%
IV Percentile27.4%7.1%49.6%14.7%36.5%
Term Structure2.6%0.6%6.6%3.8%0.6%
VWIV33.9%27.6%39.4%30.0%34.0%
Skew 25d8.9%6.3%11.0%7.3%8.0%
Skew 10d17.7%11.8%24.4%13.2%14.1%
Call IV 25d29.9%25.6%33.8%26.7%31.5%
Put IV 25d38.7%31.9%44.9%34.0%39.5%
Bid-Ask Spread %44.6519.1686.0934.3273.19
Gamma HHI0.150.120.250.130.18
Net GEX2.4M-740.3K7.7M2.1M3.4M
Net DEX-20.2M-52.0M10.8M-26.2M-36.3M
Net VEX-144.9K-172.5K-108.3K-169.0K-170.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.081.290.360.37
Total Volume80,557.71419,296432,64022,36821,536
Total OI1,105,970.286811,9681,418,0801,129,760957,984

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$1.67$1.5929.9%8.6%43.4%6.3%30.0%7.3%3.8%2.1M-26.2M-169.0K0.3634.32N/AN/A16,4485,920653,216476,544
2012-07-03$1.70$1.5928.2%8.1%43.6%4.2%30.2%6.3%5.4%2.6M-36.6M-166.0K0.2326.02N/AN/A18,8804,288659,744477,248
2012-07-05$1.70$1.5929.0%8.3%41.0%5.2%31.6%6.8%3.4%2.7M-37.3M-164.3K0.5486.09N/AN/A25,21613,728653,792478,624
2012-07-06$1.66$1.5929.7%9.9%42.1%6.1%33.9%9.5%0.7%2.1M-21.1M-158.7K0.5368.83N/AN/A27,84014,752655,616484,256
2012-07-09$1.66$1.5931.5%10.0%41.6%8.4%38.9%9.5%2.8%2.0M-18.6M-148.9K1.2959.97N/AN/A15,52020,064658,080491,104
2012-07-10$1.62$1.5934.4%10.8%40.5%12.1%36.4%9.7%1.6%1.0M-6.7M-143.3K0.3952.19N/AN/A38,81615,008661,568500,800
2012-07-11$1.60$1.5934.2%10.6%40.2%11.8%36.0%9.8%1.5%423.1K98.3K-137.1K0.5746.86N/AN/A30,81617,568675,744506,880
2012-07-12$1.58$1.5937.6%10.8%40.4%16.2%37.5%10.0%1.4%-740.3K10.8M-129.1K0.3948.52N/AN/A26,33610,400677,856516,704
2012-07-13$1.62$1.5934.7%9.9%41.6%12.4%33.9%8.9%3.3%616.2K-5.3M-131.3K0.0873.48N/AN/A80,4486,240683,616521,472
2012-07-16$1.61$1.5935.1%10.1%40.8%13.0%34.8%9.1%2.0%397.9K-2.3M-120.7K0.1957.43N/AN/A16,1923,104715,360523,584
2012-07-17$1.63$1.5934.6%9.9%40.3%12.3%33.6%9.0%2.3%1.4M-10.3M-119.7K0.3144.31N/AN/A25,5047,840722,656524,704
2012-07-18$1.67$1.5931.7%9.1%40.9%8.6%31.8%8.1%4.9%5.4M-31.9M-108.3K0.2330.53N/AN/A65,15215,040721,216526,784
2012-07-19$1.71$1.5929.7%8.5%41.6%6.1%30.0%7.6%6.6%7.7M-52.0M-112.9K0.1127.38N/AN/A389,37643,264715,360528,992
2012-07-20$1.67$1.6330.5%8.7%38.0%7.1%27.6%8.7%3.9%4.8M-31.3M-135.4K0.1523.56N/AN/A310,36847,072859,776558,304
2012-07-23$1.63$1.6634.3%9.8%38.5%12.0%35.3%9.8%1.6%2.2M-15.9M-143.6K1.0521.14N/AN/A46,84848,992603,904208,064
2012-07-24$1.60$1.6338.8%11.1%36.1%17.7%39.4%11.0%1.0%1.8M-11.5M-147.1K1.0926.03N/AN/A42,24046,208631,424242,080
2012-07-25$1.58$1.6337.2%10.7%36.2%15.7%37.3%10.7%1.0%1.3M-5.4M-142.0K1.0623.26N/AN/A20,64021,824649,088269,152
2012-07-26$1.62$1.6334.1%9.8%37.1%11.7%35.3%9.6%1.1%2.0M-13.8M-154.9K0.4319.16N/AN/A18,8168,032653,696283,776
2012-07-27$1.70$1.5930.5%8.8%39.9%7.1%32.1%8.7%3.2%3.5M-36.3M-172.5K0.3522.12N/AN/A59,80820,704657,600287,072
2012-07-30$1.69$1.6333.1%9.5%34.0%10.4%33.3%8.1%1.7%3.5M-35.9M-167.0K0.4773.36N/AN/A16,9287,936670,048281,888
2012-07-31$1.69$1.6334.8%10.0%34.0%12.6%34.0%8.0%0.6%3.4M-36.3M-170.5K0.3773.19N/AN/A15,7765,760673,792284,192