QLD Options History — April 2013

In April 2013, QLD traded between $1.81 and $2.01. ATM implied volatility averaged 26.6%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.4% (HV 20d: 27.1%). Max pain ranged from $1.84 to $1.91. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2013-04-22: Highest Volume — 92,544 contracts
  • 2013-04-15: Largest IV spike — 22.8% change
  • 2013-04-18: Highest IV Rank — 45.7%
  • 2013-04-18: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.92$1.81$2.01$1.89$2.01
Max Pain$1.87$1.84$1.91$1.84$1.88
ATM IV26.6%22.1%34.1%23.5%26.4%
Expected Move7.7%6.7%9.8%6.7%7.6%
HV 20d27.1%17.0%34.9%18.4%34.9%
HV 60d25.0%21.5%28.0%21.5%27.7%
IV Rank20.8%5.5%45.7%10.2%19.8%
IV Percentile28.1%2.0%68.7%7.5%27.8%
Term Structure1.0%-1.2%2.7%2.4%0.9%
VWIV27.5%21.9%33.0%25.4%28.6%
Skew 25d6.8%5.6%9.3%6.3%5.9%
Skew 10d14.0%11.1%18.7%12.8%12.9%
Call IV 25d24.1%20.5%30.1%21.6%23.7%
Put IV 25d30.9%26.2%39.4%27.9%29.5%
Bid-Ask Spread %19.2015.0923.2616.0218.59
Gamma HHI0.180.070.370.160.14
Net GEX1.2M-1.3M3.1M973.7K973.2K
Net DEX-16.2M-37.6M9.0M-14.6M-23.2M
Net VEX-110.3K-129.3K-96.0K-104.5K-127.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.263.341.210.84
Total Volume34,930.9098,83292,54410,52823,744
Total OI561,415.273335,296719,488536,224480,736

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$1.89$1.8423.5%6.7%18.4%10.2%25.4%6.3%2.4%973.7K-14.6M-104.5K1.2116.02N/AN/A4,7685,760304,288231,936
2013-04-02$1.92$1.8423.4%6.7%18.9%10.1%21.9%5.6%2.4%1.3M-21.6M-101.0K0.3618.91N/AN/A21,5047,808305,632231,136
2013-04-03$1.89$1.8426.4%7.6%17.1%19.8%25.1%6.3%0.7%1.1M-14.6M-105.9K0.4220.40N/AN/A19,9048,352323,552234,976
2013-04-04$1.89$1.8426.4%7.6%17.0%19.8%27.0%6.5%0.9%1.2M-14.9M-107.4K3.3417.25N/AN/A2,5288,448340,704239,328
2013-04-05$1.86$1.8826.7%8.1%17.9%21.0%28.2%7.6%1.4%626.4K-7.6M-102.8K0.8620.23N/AN/A18,88016,160341,440240,160
2013-04-08$1.88$1.8825.2%7.6%18.4%16.0%27.0%7.4%1.7%1.1M-11.6M-99.9K0.8320.60N/AN/A4,8324,000348,992243,264
2013-04-09$1.90$1.8823.8%7.4%18.8%11.3%26.3%7.0%1.7%1.7M-17.8M-100.2K0.7320.15N/AN/A12,7689,344351,072244,896
2013-04-10$1.97$1.8822.1%7.0%23.2%5.5%24.6%6.2%1.7%2.8M-37.6M-96.0K0.7319.70N/AN/A46,72034,080354,144249,600
2013-04-11$1.97$1.8824.7%7.1%23.2%14.4%27.3%5.9%2.1%2.8M-36.5M-106.6K0.2618.87N/AN/A45,05611,808369,440258,784
2013-04-12$1.97$1.8824.4%7.0%23.1%13.5%24.8%5.6%2.7%3.1M-37.0M-107.6K1.5718.83N/AN/A10,17615,968389,184265,664
2013-04-15$1.89$1.9130.0%8.6%27.3%32.0%31.3%7.2%-0.7%1.5M-13.4M-108.7K2.5420.33N/AN/A11,90430,272390,368268,064
2013-04-16$1.94$1.9127.7%7.9%28.8%24.2%29.4%6.6%0.7%3.0M-27.1M-110.9K0.6917.99N/AN/A10,8807,488393,120288,832
2013-04-17$1.87$1.9131.6%9.1%32.3%37.4%31.3%8.0%-0.5%604.4K-5.2M-107.9K0.8720.78N/AN/A28,67225,056397,952291,360
2013-04-18$1.81$1.8834.1%9.8%33.6%45.7%33.0%9.3%-1.2%-1.3M9.0M-100.9K0.6423.26N/AN/A40,76826,208404,768294,656
2013-04-19$1.86$1.8428.7%8.2%34.3%27.8%30.8%8.2%1.3%-178.3K-5.0M-103.5K0.8418.39N/AN/A23,16819,552417,696301,792
2013-04-22$1.90$1.8427.8%8.0%34.4%24.5%28.6%7.4%1.1%139.6K-4.3M-107.0K0.4821.11N/AN/A62,52830,016181,152154,144
2013-04-23$1.94$1.8427.4%7.9%34.9%23.3%26.5%7.1%0.3%571.6K-11.7M-122.7K0.3921.91N/AN/A24,0329,408234,688180,224
2013-04-24$1.94$1.8426.5%7.6%34.7%20.4%26.6%7.1%0.7%795.6K-12.6M-125.1K0.4918.38N/AN/A6,4003,168253,216181,856
2013-04-25$1.96$1.8426.1%7.5%34.9%18.9%26.1%6.7%0.9%826.9K-15.2M-123.9K0.4617.61N/AN/A22,59210,368253,472183,616
2013-04-26$1.95$1.8826.5%7.6%34.9%20.4%27.3%6.2%0.9%914.7K-14.3M-126.9K2.6917.93N/AN/A6,11216,416268,640190,784
2013-04-29$1.98$1.8826.8%7.7%34.9%21.3%27.5%6.3%0.3%999.3K-19.3M-129.3K1.0415.09N/AN/A10,20810,656273,120198,688
2013-04-30$2.01$1.8826.4%7.6%34.9%19.8%28.6%5.9%0.9%973.2K-23.2M-127.5K0.8418.59N/AN/A12,92810,816277,120203,616