QLD Options History — November 2012

In November 2012, QLD traded between $1.55 and $1.75. ATM implied volatility averaged 33.5%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.6% (HV 20d: 34.0%). Max pain ranged from $1.56 to $1.78. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2012-11-14: Highest Volume — 172,480 contracts
  • 2012-11-19: Largest IV drop — 13.9% change
  • 2012-11-07: Highest IV Rank — 40.4%
  • 2012-11-08: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.66$1.55$1.75$1.75$1.74
Max Pain$1.64$1.56$1.78$1.78$1.59
ATM IV33.5%28.0%39.1%33.5%29.3%
Expected Move9.5%8.0%10.9%9.6%8.4%
HV 20d34.0%30.5%37.7%30.5%34.2%
HV 60d28.7%25.5%30.6%25.5%30.6%
IV Rank28.1%17.1%40.4%26.9%20.9%
IV Percentile51.4%18.7%79.0%52.8%29.0%
Term Structure1.1%-1.1%4.2%-0.6%2.6%
VWIV33.1%28.5%36.6%33.8%30.4%
Skew 25d7.1%5.5%10.0%6.8%6.1%
Skew 10d13.8%10.2%18.3%13.1%11.6%
Call IV 25d29.9%25.9%34.0%30.5%27.1%
Put IV 25d37.0%31.3%43.2%37.4%33.2%
Bid-Ask Spread %21.609.7167.9318.499.71
Gamma HHI0.120.050.700.050.16
Net GEX338.3K-1.9M1.8M342.0K1.8M
Net DEX-4.7M-31.6M18.2M-7.8M-31.6M
Net VEX-91.0K-118.1K-72.9K-101.2K-118.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.121.490.360.73
Total Volume69,473.52423,776172,48046,65626,720
Total OI658,521.905529,568810,944576,928759,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$1.75$1.7833.5%9.6%30.5%26.9%33.8%6.8%-0.6%342.0K-7.8M-101.2K0.3618.49N/AN/A34,36812,288319,744257,184
2012-11-02$1.71$1.7834.5%9.9%30.7%29.4%36.6%7.0%-1.1%268.3K-2.6M-98.6K0.1213.29N/AN/A21,2162,560333,536262,016
2012-11-05$1.73$1.6937.6%9.9%31.3%36.7%34.0%8.2%0.9%393.1K-6.5M-97.7K0.1723.64N/AN/A23,2643,936343,360262,912
2012-11-06$1.74$1.6936.4%9.6%31.4%33.9%34.7%8.6%0.4%519.7K-8.0M-100.4K0.7723.91N/AN/A17,50413,408360,608263,168
2012-11-07$1.66$1.7239.1%10.6%34.9%40.4%35.7%10.0%-0.1%195.5K3.7M-87.6K0.4923.36N/AN/A48,99224,032367,712266,432
2012-11-08$1.61$1.6937.8%10.9%34.7%37.3%36.2%9.8%4.2%55.9K8.8M-79.0K0.6420.54N/AN/A40,03225,440378,336270,304
2012-11-09$1.62$1.6936.7%10.5%35.0%34.5%35.1%8.8%-0.1%107.0K7.4M-81.4K0.4217.41N/AN/A52,06421,856388,704276,832
2012-11-12$1.62$1.6636.8%10.1%35.0%34.8%33.5%7.8%1.4%177.6K7.4M-79.2K1.4920.59N/AN/A58,17686,528405,920280,960
2012-11-13$1.60$1.6635.6%10.2%35.1%34.3%34.0%7.9%-0.1%-175.7K12.4M-79.8K0.8115.82N/AN/A19,84016,000450,688350,048
2012-11-14$1.56$1.6638.0%10.6%34.9%40.3%36.0%7.1%0.2%-455.7K18.2M-73.5K0.9617.56N/AN/A88,09684,384461,184349,760
2012-11-15$1.55$1.6336.9%10.6%32.1%37.6%36.2%6.8%0.2%-505.8K16.8M-72.9K0.3267.74N/AN/A65,21620,928445,728323,936
2012-11-16$1.56$1.5934.6%9.9%32.6%31.6%34.1%7.2%1.3%-1.9M14.2M-74.6K0.5114.79N/AN/A107,29654,944466,432327,392
2012-11-19$1.63$1.5629.8%8.5%37.7%19.4%30.3%6.5%1.4%478.8K-8.6M-84.2K0.5713.59N/AN/A67,93638,656322,432207,136
2012-11-20$1.63$1.5930.3%8.7%34.0%20.6%31.2%6.5%2.0%562.0K-9.1M-92.7K0.4216.80N/AN/A22,3369,376348,224228,896
2012-11-21$1.64$1.5929.5%8.5%33.8%18.6%32.0%6.3%2.1%600.8K-10.4M-95.8K1.0617.50N/AN/A11,58412,256357,824235,040
2012-11-23$1.69$1.5929.2%8.4%35.0%17.9%31.0%5.5%1.8%659.7K-15.6M-95.6K0.3013.06N/AN/A30,4969,216357,088242,400
2012-11-26$1.71$1.5929.4%8.4%35.1%18.5%31.6%5.6%1.9%753.9K-18.1M-95.2K0.5467.93N/AN/A22,88012,448365,472243,040
2012-11-27$1.69$1.5930.3%8.7%35.2%20.7%30.5%5.9%1.5%749.3K-17.0M-97.4K0.1612.05N/AN/A48,2887,840369,472248,960
2012-11-28$1.72$1.5929.6%8.5%35.7%19.0%29.6%5.6%1.8%966.4K-22.2M-99.3K0.1311.95N/AN/A73,7929,568390,464250,400
2012-11-29$1.74$1.5928.0%8.0%35.6%17.1%28.5%5.5%2.3%1.5M-29.8M-105.9K0.3813.79N/AN/A81,98431,200437,920251,488
2012-11-30$1.74$1.5929.3%8.4%34.2%20.9%30.4%6.1%2.6%1.8M-31.6M-118.1K0.739.71N/AN/A15,48811,232491,424268,384