QLD Options History — October 2012

In October 2012, QLD traded between $1.70 and $1.94. ATM implied volatility averaged 31.6%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.2% (HV 20d: 26.4%). Max pain ranged from $1.78 to $1.94. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2012-10-19: Highest Volume — 145,120 contracts
  • 2012-10-08: Largest IV spike — 11.1% change
  • 2012-10-31: Highest IV Rank — 37.3%
  • 2012-10-31: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.82$1.70$1.94$1.89$1.70
Max Pain$1.85$1.78$1.94$1.88$1.78
ATM IV31.6%25.4%37.9%29.2%37.9%
Expected Move9.2%7.5%10.9%8.4%10.9%
HV 20d26.4%21.7%31.2%27.5%28.3%
HV 60d26.2%25.0%27.4%26.9%25.0%
IV Rank21.6%7.0%37.3%9.6%37.3%
IV Percentile40.2%4.0%72.2%25.4%72.2%
Term Structure1.6%-2.1%6.4%0.9%-2.1%
VWIV32.3%26.8%39.0%29.5%39.0%
Skew 25d7.6%4.8%9.1%6.8%7.8%
Skew 10d15.5%10.8%18.4%14.7%15.4%
Call IV 25d28.9%24.1%33.8%26.4%33.8%
Put IV 25d36.6%29.0%42.8%33.2%41.6%
Bid-Ask Spread %30.6215.5084.1884.1815.50
Gamma HHI0.210.040.430.270.05
Net GEX-1.7M-6.1M199.9K-531.1K199.9K
Net DEX12.1M-20.8M58.3M-5.1M-1.7M
Net VEX-125.0K-175.5K-82.3K-164.3K-96.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.172.842.070.54
Total Volume49,340.95212,480145,12031,55233,920
Total OI923,655.619418,5921,155,296947,392560,224

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$1.89$1.8829.2%8.4%27.5%9.6%29.5%6.8%0.9%-531.1K-5.1M-164.3K2.0784.18N/AN/A10,27221,280442,816504,576
2012-10-02$1.91$1.8827.7%7.9%27.6%7.5%28.2%6.5%2.8%-681.4K-7.7M-163.3K2.6324.82N/AN/A27,77672,960443,808516,512
2012-10-03$1.93$1.8926.8%7.7%27.8%7.8%27.0%5.4%2.4%-677.5K-13.9M-175.5K1.6229.74N/AN/A11,20018,144465,472585,248
2012-10-04$1.94$1.8926.3%7.5%23.3%8.5%26.8%4.8%3.3%-285.1K-20.8M-171.8K0.7934.45N/AN/A15,26412,096472,416580,544
2012-10-05$1.92$1.9425.4%8.5%23.6%7.0%30.8%7.6%-0.3%-817.5K-11.6M-164.3K0.2031.02N/AN/A38,0807,712477,600590,656
2012-10-08$1.89$1.9128.2%8.9%22.6%13.4%30.7%7.8%6.4%-1.7M3.2M-157.7K2.8422.21N/AN/A16,80047,744475,744596,192
2012-10-09$1.83$1.9131.4%9.7%25.3%21.8%33.5%8.5%0.4%-2.6M30.8M-144.0K1.6324.59N/AN/A23,52038,432479,392627,008
2012-10-10$1.81$1.8830.4%9.3%25.4%19.6%32.3%8.1%5.9%-2.8M39.0M-134.0K0.4026.43N/AN/A19,9047,904485,152646,656
2012-10-11$1.79$1.8832.4%9.3%23.2%24.4%32.8%7.9%4.8%-2.7M43.8M-124.1K0.5827.27N/AN/A17,63210,144492,640645,632
2012-10-12$1.79$1.8432.6%9.3%21.7%24.7%32.1%7.6%2.7%-2.7M44.2M-120.3K0.7629.64N/AN/A7,0725,408497,024645,824
2012-10-15$1.82$1.8431.4%9.0%22.6%22.0%30.6%7.4%2.1%-3.9M39.8M-116.1K0.3768.93N/AN/A29,02410,880500,032645,120
2012-10-16$1.87$1.8429.2%8.4%25.4%16.7%31.0%7.3%2.3%-5.0M11.0M-122.3K0.8225.64N/AN/A25,47220,864512,224643,072
2012-10-17$1.87$1.8429.4%8.4%25.3%17.2%30.6%7.2%2.6%-6.1M13.5M-113.9K1.0922.00N/AN/A16,99218,496508,416636,832
2012-10-18$1.83$1.8431.8%9.1%26.3%22.8%31.4%7.5%1.3%-4.4M41.1M-96.4K1.7623.56N/AN/A14,97626,336507,616634,176
2012-10-19$1.74$1.8433.7%9.7%30.7%27.4%33.1%8.9%1.4%-310.8K58.3M-82.3K1.9220.51N/AN/A49,69695,424512,128632,576
2012-10-22$1.76$1.8133.8%9.7%31.2%27.6%33.8%7.8%0.8%-89.9K-2.5M-86.7K1.0724.66N/AN/A27,26429,152207,840210,752
2012-10-23$1.72$1.8137.2%10.7%30.6%35.7%35.4%9.0%-1.4%-155.1K637.7K-90.9K0.1720.86N/AN/A59,1369,856225,664231,968
2012-10-24$1.71$1.7837.0%10.6%30.4%35.3%36.5%8.7%-0.8%73.5K-1.8M-100.3K0.1819.79N/AN/A51,9369,536272,960233,984
2012-10-25$1.71$1.7837.2%10.7%28.1%35.8%36.4%9.1%-1.3%109.5K-2.2M-100.4K0.4815.91N/AN/A22,56010,720281,568237,056
2012-10-26$1.72$1.7835.3%10.1%28.2%31.2%36.9%8.6%-0.6%184.6K-3.3M-101.0K0.5351.23N/AN/A29,12015,456292,448239,200
2012-10-31$1.70$1.7837.9%10.9%28.3%37.3%39.0%7.8%-2.1%199.9K-1.7M-96.3K0.5415.50N/AN/A21,98411,936310,784249,440