QLD Options History — March 2013

In March 2013, QLD traded between $1.83 and $1.92. ATM implied volatility averaged 23.2%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 0.1% (HV 20d: 23.2%). Max pain ranged from $1.69 to $1.84. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2013-03-18: Highest Volume — 102,144 contracts
  • 2013-03-18: Largest IV spike — 12.2% change
  • 2013-03-19: Highest IV Rank — 17.3%
  • 2013-03-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.89$1.83$1.92$1.83$1.92
Max Pain$1.77$1.69$1.84$1.81$1.84
ATM IV23.2%20.4%26.9%26.9%22.6%
Expected Move7.0%6.4%7.8%7.7%6.5%
HV 20d23.2%17.4%29.5%29.5%17.4%
HV 60d27.0%24.7%28.4%28.1%24.7%
IV Rank8.1%0.0%17.3%16.6%7.4%
IV Percentile6.1%0.0%21.8%21.8%3.6%
Term Structure3.3%1.6%6.0%1.6%2.8%
VWIV25.4%21.7%31.2%25.7%22.0%
Skew 25d6.3%5.4%7.9%7.9%5.5%
Skew 10d13.5%10.9%16.9%15.6%12.1%
Call IV 25d21.9%20.0%24.0%22.8%20.0%
Put IV 25d28.2%25.5%31.9%30.7%25.5%
Bid-Ask Spread %28.876.2185.6785.6718.45
Gamma HHI0.240.160.630.300.17
Net GEX3.0M979.8K6.0M3.1M1.2M
Net DEX-34.6M-60.5M-12.8M-24.8M-20.0M
Net VEX-101.1K-116.5K-80.0K-116.5K-110.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.306.201.050.47
Total Volume29,7847,008102,14423,61612,000
Total OI573,683.2358,368705,280611,904530,336

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$1.83$1.8126.9%7.7%29.5%16.6%25.7%7.9%1.6%3.1M-24.8M-116.5K1.0585.67N/AN/A11,52012,096433,504178,400
2013-03-04$1.84$1.6925.1%7.8%28.4%10.2%31.2%7.9%3.1%3.7M-29.7M-111.2K1.2261.99N/AN/A9,21611,232439,040179,680
2013-03-05$1.90$1.7222.2%7.4%27.0%0.1%26.6%7.0%3.6%3.8M-47.4M-103.8K0.3056.89N/AN/A47,64814,528438,720182,592
2013-03-06$1.89$1.7223.4%7.5%25.1%4.4%26.6%6.9%3.5%4.3M-46.4M-109.4K0.4746.26N/AN/A10,4324,896469,440186,848
2013-03-07$1.90$1.7221.6%7.2%25.0%0.0%25.9%6.3%4.0%4.5M-51.6M-103.2K0.6531.56N/AN/A13,3768,672474,336188,256
2013-03-08$1.90$1.7220.4%7.0%25.0%0.0%25.6%5.9%4.2%4.6M-54.6M-99.0K0.586.21N/AN/A9,2485,408476,928192,928
2013-03-11$1.92$1.7221.8%6.9%24.1%4.7%24.0%5.8%4.3%4.8M-59.9M-89.3K0.3873.79N/AN/A9,6643,680480,832192,768
2013-03-12$1.90$1.7221.9%6.9%24.3%5.0%25.5%5.8%4.4%5.4M-54.4M-89.0K0.5029.62N/AN/A10,3365,216479,232193,696
2013-03-13$1.90$1.7220.8%6.9%24.1%1.2%26.1%5.7%4.6%5.5M-53.5M-88.3K0.3412.11N/AN/A31,96810,816481,856197,184
2013-03-14$1.91$1.7222.7%6.5%24.1%7.7%23.4%5.6%5.5%6.0M-60.5M-83.4K0.4513.12N/AN/A9,0244,064511,744193,536
2013-03-15$1.90$1.7222.2%6.4%24.2%5.9%21.7%5.4%6.0%5.0M-55.8M-80.0K0.3815.80N/AN/A63,93624,064466,080195,392
2013-03-18$1.89$1.7524.9%7.1%24.2%14.9%25.5%5.9%2.2%979.8K-15.8M-88.8K0.9316.53N/AN/A53,02449,120238,976119,392
2013-03-19$1.88$1.8125.6%7.3%23.8%17.3%27.2%6.4%1.9%1.1M-16.2M-105.3K2.3116.87N/AN/A5,34412,352282,304160,928
2013-03-20$1.90$1.8123.2%6.7%20.9%9.4%23.9%6.2%2.5%1.3M-19.1M-105.9K0.3815.17N/AN/A14,0485,312284,992168,800
2013-03-21$1.86$1.8124.7%7.1%20.8%14.3%26.1%7.0%1.8%993.4K-12.8M-103.9K0.9713.99N/AN/A11,36011,040287,264170,976
2013-03-22$1.90$1.8124.0%6.9%20.7%12.0%26.3%6.6%2.6%1.2M-18.2M-107.4K1.0017.42N/AN/A8,4168,448294,144179,872
2013-03-25$1.88$1.8124.9%7.1%18.4%14.9%26.1%6.1%2.2%1.2M-16.0M-105.7K6.2015.83N/AN/A7,42446,048295,904183,840
2013-03-26$1.90$1.8422.7%6.5%18.6%7.6%25.1%5.9%2.6%1.0M-17.3M-110.8K1.1114.50N/AN/A3,3283,680296,256223,968
2013-03-27$1.91$1.8423.0%6.6%17.6%8.5%23.9%6.0%2.6%1.0M-18.1M-110.6K1.3615.74N/AN/A5,7927,904296,960225,760
2013-03-28$1.92$1.8422.6%6.5%17.4%7.4%22.0%5.5%2.8%1.2M-20.0M-110.6K0.4718.45N/AN/A8,1603,840299,744230,592