QLD Options History — February 2013

In February 2013, QLD traded between $1.77 and $1.88. ATM implied volatility averaged 26.5%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.4% (HV 20d: 25.1%). Max pain ranged from $1.81 to $1.84. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2013-02-25: Highest Volume — 143,648 contracts
  • 2013-02-25: Largest IV spike — 31.7% change
  • 2013-02-25: Highest IV Rank — 46.6%
  • 2013-02-25: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.83$1.77$1.88$1.85$1.81
Max Pain$1.83$1.81$1.84$1.84$1.81
ATM IV26.5%22.6%35.3%22.8%28.3%
Expected Move7.7%6.5%10.1%7.4%8.1%
HV 20d25.1%16.6%29.4%16.6%29.4%
HV 60d28.3%26.6%30.5%29.6%28.1%
IV Rank15.3%1.3%46.6%2.1%21.7%
IV Percentile19.6%0.4%73.8%0.4%34.1%
Term Structure1.3%-2.6%2.8%1.8%1.0%
VWIV27.2%22.7%32.6%26.7%27.2%
Skew 25d6.7%5.4%10.4%5.8%7.7%
Skew 10d13.7%10.9%20.1%12.3%15.7%
Call IV 25d24.2%20.3%31.5%23.5%25.0%
Put IV 25d30.9%25.9%41.9%29.3%32.7%
Bid-Ask Spread %25.8017.7536.0228.8923.88
Gamma HHI0.220.080.370.180.27
Net GEX1.8M192.0K4.0M1.3M2.2M
Net DEX-16.9M-27.3M-3.8M-17.3M-19.4M
Net VEX-88.7K-111.6K-79.4K-82.2K-111.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.092.010.180.20
Total Volume45,123.36813,536143,64857,37655,968
Total OI454,101.895345,856571,456386,880571,456

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$1.85$1.8422.8%7.4%16.6%2.1%26.7%5.8%1.8%1.3M-17.3M-82.2K0.1828.89N/AN/A48,7688,608244,032142,848
2013-02-04$1.78$1.8427.5%8.1%21.0%18.9%28.8%6.4%1.5%1.1M-9.6M-83.0K0.4521.94N/AN/A22,88010,368278,976146,368
2013-02-05$1.84$1.8424.0%7.5%23.7%6.3%26.8%6.2%1.8%2.0M-18.9M-84.8K0.3421.60N/AN/A35,26411,936291,424151,488
2013-02-06$1.82$1.8124.6%7.8%23.8%8.6%27.9%6.3%1.9%1.9M-16.8M-88.2K1.1623.11N/AN/A9,28010,720303,680155,008
2013-02-07$1.83$1.8126.9%7.7%23.8%16.5%27.4%6.2%1.6%2.1M-18.0M-89.7K0.2528.30N/AN/A40,16010,080308,064152,192
2013-02-08$1.86$1.8124.7%7.1%24.5%9.1%26.8%5.6%2.0%2.6M-27.3M-88.7K0.5420.66N/AN/A20,22410,944315,552153,824
2013-02-11$1.86$1.8125.2%7.2%24.4%10.7%25.5%5.8%1.7%2.8M-27.3M-84.6K0.1318.39N/AN/A12,0321,504315,360156,544
2013-02-12$1.85$1.8125.7%7.4%24.4%12.5%27.6%5.4%2.2%3.0M-24.5M-83.6K2.0123.14N/AN/A8,22416,544321,504157,344
2013-02-13$1.86$1.8424.8%7.1%24.1%9.2%25.8%5.7%1.9%3.4M-27.2M-82.9K0.5131.69N/AN/A14,2727,296321,728168,800
2013-02-14$1.86$1.8423.9%6.8%24.1%6.0%25.5%5.7%2.3%4.0M-25.7M-81.8K0.2836.02N/AN/A15,1044,224321,280169,696
2013-02-15$1.85$1.8423.9%6.9%24.0%6.1%23.1%5.9%2.3%3.7M-22.3M-79.4K0.3817.75N/AN/A63,68023,936318,752171,328
2013-02-19$1.88$1.8422.6%6.5%24.4%1.3%22.7%5.6%2.8%734.1K-15.2M-83.5K0.5034.38N/AN/A22,08010,976214,112131,744
2013-02-20$1.82$1.8426.9%7.7%27.0%16.8%27.1%6.8%0.8%521.5K-9.5M-87.5K1.7827.48N/AN/A13,47224,000231,008140,608
2013-02-21$1.78$1.8429.0%8.3%27.7%24.0%29.4%8.1%0.2%192.0K-4.2M-85.0K1.4526.52N/AN/A23,36033,952233,472156,256
2013-02-22$1.81$1.8426.8%7.7%27.1%16.4%26.9%7.3%0.9%339.5K-7.8M-89.0K0.4728.92N/AN/A19,5849,280237,920166,592
2013-02-25$1.77$1.8135.3%10.1%28.4%46.6%32.6%10.4%-2.6%232.2K-3.8M-89.3K0.0926.16N/AN/A131,87211,776251,840170,432
2013-02-26$1.78$1.8131.9%9.1%28.4%34.4%31.1%8.6%-0.5%1.2M-10.1M-104.0K0.8227.25N/AN/A14,97612,224352,448174,208
2013-02-27$1.82$1.8128.5%8.2%29.4%22.4%28.3%7.5%0.4%1.7M-17.0M-107.1K0.2824.05N/AN/A52,76815,008355,168174,880
2013-02-28$1.81$1.8128.3%8.1%29.4%21.7%27.2%7.7%1.0%2.2M-19.4M-111.6K0.2023.88N/AN/A46,5289,440395,456176,000