QLD Options History — September 2012

In September 2012, QLD traded between $1.86 and $1.99. ATM implied volatility averaged 27.2%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.7% (HV 20d: 23.5%). Max pain ranged from $1.72 to $1.88. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.34.

Notable Days

  • 2012-09-20: Highest Volume — 248,640 contracts
  • 2012-09-10: Largest IV spike — 20.7% change
  • 2012-09-04: Highest IV Rank — 10.2%
  • 2012-09-11: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.93$1.86$1.99$1.87$1.90
Max Pain$1.80$1.72$1.88$1.75$1.88
ATM IV27.2%23.7%29.7%29.7%27.4%
Expected Move8.0%6.8%8.9%8.5%7.8%
HV 20d23.5%15.2%28.3%16.0%27.8%
HV 60d30.2%26.7%32.6%32.2%27.5%
IV Rank6.8%2.1%10.2%10.2%7.1%
IV Percentile11.8%1.2%24.6%21.4%11.5%
Term Structure4.4%1.1%10.8%4.0%2.1%
VWIV28.9%24.5%34.6%30.8%28.1%
Skew 25d7.1%5.6%9.1%7.3%6.1%
Skew 10d14.5%11.2%22.3%14.2%11.5%
Call IV 25d24.8%21.4%26.9%26.8%25.3%
Put IV 25d31.9%27.2%36.1%34.2%31.3%
Bid-Ask Spread %23.8914.0737.8316.8230.87
Gamma HHI0.180.120.310.170.25
Net GEX1.9M-749.3K3.5M3.1M-348.9K
Net DEX-63.9M-99.0M-1.8M-61.6M-8.6M
Net VEX-143.6K-172.9K-112.1K-172.9K-169.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.253.331.112.38
Total Volume60,518.73715,840248,64015,84017,728
Total OI974,219.789672,0961,128,416968,512937,344

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$1.87$1.7529.7%8.5%16.0%10.2%30.8%7.3%4.0%3.1M-61.6M-172.9K1.1116.82N/AN/A7,5208,320653,664314,848
2012-09-05$1.86$1.7529.6%8.5%15.2%10.1%34.6%8.6%3.3%3.2M-59.5M-172.4K1.2420.72N/AN/A7,4569,280656,512317,248
2012-09-06$1.94$1.7525.4%7.3%21.0%4.4%27.3%6.6%5.0%2.9M-83.8M-150.9K0.4928.51N/AN/A32,54415,808656,640317,312
2012-09-07$1.94$1.7223.7%8.1%21.1%2.1%30.8%7.6%5.8%3.2M-85.1M-147.4K0.8426.07N/AN/A17,92015,104668,320321,152
2012-09-10$1.89$1.7228.6%8.7%23.5%8.7%31.1%8.4%2.6%3.5M-71.0M-150.7K1.1623.08N/AN/A12,35214,304672,992328,096
2012-09-11$1.88$1.7229.6%8.9%23.5%10.1%30.2%9.1%4.3%3.4M-68.2M-151.4K1.7920.90N/AN/A10,59219,008676,256334,656
2012-09-12$1.90$1.7226.9%8.7%23.6%6.4%30.3%8.4%4.0%3.5M-71.7M-144.3K1.7025.97N/AN/A19,23232,672678,752342,272
2012-09-13$1.94$1.7828.7%8.2%24.9%8.8%31.9%7.5%4.2%2.9M-88.6M-134.9K0.5437.83N/AN/A43,07223,264686,176366,944
2012-09-14$1.98$1.8028.4%8.1%24.5%8.4%29.8%7.0%3.7%2.3M-98.9M-124.6K1.9718.10N/AN/A24,38447,968686,368379,616
2012-09-17$1.98$1.8127.9%8.0%24.4%7.7%28.3%6.6%4.6%1.8M-99.0M-117.9K0.8318.56N/AN/A8,9927,488685,536405,920
2012-09-18$1.99$1.8126.8%7.7%24.4%6.2%25.8%6.1%10.8%2.0M-98.7M-112.9K0.7234.19N/AN/A21,02415,104669,536406,912
2012-09-19$1.99$1.8126.0%7.4%24.1%5.2%27.8%5.6%7.3%1.7M-81.5M-113.4K2.4018.04N/AN/A13,69632,896576,384411,328
2012-09-20$1.99$1.8425.5%7.3%24.1%4.5%27.9%6.1%1.1%1.4M-80.1M-112.1K0.2534.15N/AN/A199,04049,600571,840430,624
2012-09-21$1.99$1.8823.8%6.8%23.1%2.1%24.5%5.8%8.8%1.2M-91.1M-133.6K0.6214.07N/AN/A25,76015,936657,280471,136
2012-09-24$1.96$1.8825.0%7.2%23.7%3.9%27.3%6.4%3.5%862.9K-31.0M-133.7K3.3316.70N/AN/A24,83282,720366,432305,664
2012-09-25$1.91$1.8828.0%8.0%26.0%8.0%28.5%7.2%2.8%244.2K-16.9M-149.6K2.9918.14N/AN/A44,448132,896384,384372,416
2012-09-26$1.88$1.8829.3%8.4%26.6%9.8%28.7%7.2%2.2%-749.3K-1.8M-168.0K0.8419.45N/AN/A32,19226,944408,736475,840
2012-09-27$1.93$1.8826.3%7.5%28.3%5.6%26.1%6.4%3.0%-265.1K-17.5M-167.9K0.2531.76N/AN/A30,3047,456425,152489,888
2012-09-28$1.90$1.8827.4%7.8%27.8%7.1%28.1%6.1%2.1%-348.9K-8.6M-169.5K2.3830.87N/AN/A5,24812,480442,176495,168