QLD Options History — January 2013

In January 2013, QLD traded between $1.79 and $1.84. ATM implied volatility averaged 26.2%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 6.0% (HV 20d: 32.2%). Max pain ranged from $1.69 to $1.78. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2013-01-17: Highest Volume — 184,640 contracts
  • 2013-01-10: Largest IV spike — 25.9% change
  • 2013-01-15: Highest IV Rank — 26.1%
  • 2013-01-04: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.81$1.79$1.84$1.82$1.80
Max Pain$1.75$1.69$1.78$1.69$1.78
ATM IV26.2%23.4%29.5%27.1%25.2%
Expected Move7.8%6.9%8.9%7.8%7.2%
HV 20d32.2%14.7%37.1%36.9%14.7%
HV 60d31.7%29.4%33.6%33.6%29.4%
IV Rank14.2%4.1%26.1%17.5%10.7%
IV Percentile12.0%1.2%35.3%12.7%6.7%
Term Structure2.9%1.7%5.5%5.5%2.2%
VWIV28.0%24.1%34.5%27.0%25.0%
Skew 25d5.6%4.2%6.8%4.7%4.8%
Skew 10d11.6%9.1%15.5%9.9%9.4%
Call IV 25d25.0%22.2%27.7%26.4%23.6%
Put IV 25d30.5%27.0%34.4%31.0%28.4%
Bid-Ask Spread %39.6818.3186.1630.9973.72
Gamma HHI0.130.070.410.080.17
Net GEX2.8M458.1K9.6M2.3M970.0K
Net DEX-32.0M-52.8M-9.9M-46.9M-11.8M
Net VEX-84.2K-107.9K-64.8K-102.8K-82.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.081.760.220.47
Total Volume46,406.09515,328184,640133,82420,416
Total OI693,648.762237,9521,012,032830,016379,232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$1.82$1.6927.1%7.8%36.9%17.5%27.0%4.7%5.5%2.3M-46.9M-102.8K0.2230.99N/AN/A109,72824,096523,904306,112
2013-01-03$1.81$1.6927.2%7.8%37.1%17.7%26.9%4.2%4.3%2.7M-42.7M-107.9K0.3818.98N/AN/A50,78419,520550,240312,800
2013-01-04$1.79$1.7225.3%8.9%36.2%11.0%34.5%6.7%2.2%3.1M-40.8M-105.4K0.6124.58N/AN/A16,2569,888584,928319,872
2013-01-07$1.80$1.7224.6%8.8%36.0%8.5%32.3%6.6%2.7%3.5M-41.8M-97.2K0.5419.89N/AN/A14,2087,616589,952324,576
2013-01-08$1.79$1.7224.0%8.7%35.7%6.4%31.1%6.8%3.0%3.5M-39.6M-94.9K0.2821.81N/AN/A18,7525,216590,752326,816
2013-01-09$1.80$1.7223.4%8.5%35.7%4.1%31.7%6.7%3.4%3.7M-43.4M-96.2K0.7218.31N/AN/A11,1368,032596,960329,536
2013-01-10$1.82$1.7529.4%8.4%34.8%25.6%30.2%6.5%3.1%3.8M-50.7M-89.9K0.3519.36N/AN/A26,4649,216595,264332,736
2013-01-11$1.83$1.7529.1%8.3%34.7%24.6%29.1%6.6%3.2%4.0M-52.8M-85.4K0.8235.15N/AN/A13,76011,232595,232336,064
2013-01-14$1.81$1.7529.0%8.3%34.3%24.1%31.1%6.3%2.9%4.1M-43.9M-82.6K0.6530.60N/AN/A13,8888,992589,504340,224
2013-01-15$1.79$1.7529.5%8.5%33.7%26.1%30.7%6.3%2.9%3.8M-38.1M-77.9K1.7670.37N/AN/A10,40018,272588,576343,808
2013-01-16$1.81$1.7527.7%7.9%32.6%19.6%29.3%5.7%3.6%3.9M-43.9M-74.6K0.5950.41N/AN/A11,9367,072590,208343,744
2013-01-17$1.82$1.7527.4%7.9%31.2%18.5%27.8%5.4%3.7%4.1M-50.4M-70.3K0.2944.35N/AN/A143,64840,992586,080344,448
2013-01-18$1.82$1.7525.4%7.3%31.0%11.5%25.8%5.2%5.1%9.6M-42.6M-71.2K0.0830.45N/AN/A104,8008,192637,120374,912
2013-01-22$1.82$1.7525.9%7.4%31.0%13.0%25.8%5.4%2.4%458.1K-10.4M-64.8K0.3827.32N/AN/A40,22415,232155,32882,624
2013-01-23$1.84$1.7525.5%7.3%30.0%11.8%26.2%4.8%1.7%710.1K-13.9M-72.3K0.4835.46N/AN/A23,61611,296186,52895,296
2013-01-24$1.79$1.7825.2%7.2%31.7%10.5%24.1%4.7%2.3%657.6K-9.9M-73.2K0.9577.82N/AN/A30,78429,152199,232103,616
2013-01-25$1.81$1.7824.0%6.9%30.9%6.5%24.3%4.8%2.3%844.3K-11.8M-79.6K0.9130.20N/AN/A8,0327,296213,184125,088
2013-01-28$1.82$1.7825.1%7.2%30.8%10.5%24.2%5.0%1.7%835.2K-12.2M-79.3K0.5586.16N/AN/A16,8969,216214,944130,752
2013-01-29$1.81$1.7824.7%7.1%29.7%8.9%25.2%4.7%1.8%1.0M-13.0M-80.0K0.5063.74N/AN/A12,2886,144227,616132,032
2013-01-30$1.81$1.7825.3%7.2%26.7%10.9%25.4%4.8%1.8%957.3K-12.3M-80.0K0.2623.66N/AN/A15,7764,064230,880135,904
2013-01-31$1.80$1.7825.2%7.2%14.7%10.7%25.0%4.8%2.2%970.0K-11.8M-82.8K0.4773.72N/AN/A13,8566,560240,928138,304