QLD Options History — May 2013

In May 2013, QLD traded between $1.99 and $2.21. ATM implied volatility averaged 24.9%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.9% (HV 20d: 24.1%). Max pain ranged from $1.88 to $2.13. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.55.

Notable Days

  • 2013-05-17: Highest Volume — 83,936 contracts
  • 2013-05-13: Largest IV spike — 16.1% change
  • 2013-05-31: Highest IV Rank — 25.0%
  • 2013-05-31: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.15$1.99$2.21$1.99$2.15
Max Pain$2.03$1.88$2.13$1.88$2.13
ATM IV24.9%20.9%27.9%26.8%27.9%
Expected Move7.4%6.7%8.0%7.7%8.0%
HV 20d24.1%15.2%35.1%34.2%16.9%
HV 60d25.6%23.9%26.8%26.7%24.3%
IV Rank15.1%1.8%25.0%21.2%25.0%
IV Percentile21.9%0.8%48.4%31.0%48.4%
Term Structure1.4%0.3%2.4%0.3%0.5%
VWIV26.7%25.0%30.0%28.6%27.7%
Skew 25d5.1%3.9%6.4%6.1%6.4%
Skew 10d9.9%6.7%17.5%12.5%12.1%
Call IV 25d23.8%22.0%25.2%24.5%25.2%
Put IV 25d28.9%26.4%31.6%30.6%31.6%
Bid-Ask Spread %20.7312.4332.9719.5220.34
Gamma HHI0.120.070.160.140.14
Net GEX551.2K89.3K1.0M1.0M435.5K
Net DEX-28.6M-44.3M-10.7M-20.7M-10.7M
Net VEX-159.7K-216.3K-123.2K-129.6K-212.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.316.802.122.04
Total Volume35,550.54519,48883,93619,48819,776
Total OI588,754.909489,472686,048489,472671,360

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$1.99$1.8826.8%7.7%34.2%21.2%28.6%6.1%0.3%1.0M-20.7M-129.6K2.1219.52N/AN/A6,24013,248280,928208,544
2013-05-02$2.04$1.8825.5%7.3%35.1%16.9%26.7%5.5%1.3%985.6K-28.5M-125.2K1.3113.80N/AN/A11,61615,264284,064210,144
2013-05-03$2.09$1.8823.3%6.7%34.8%9.5%25.6%4.4%2.4%822.9K-34.4M-123.2K1.3317.20N/AN/A19,48825,888288,800221,440
2013-05-06$2.10$1.9724.6%7.5%34.8%14.0%26.6%5.9%0.9%742.6K-36.1M-126.1K0.7821.69N/AN/A19,64815,296297,920237,632
2013-05-07$2.10$2.0023.5%7.4%34.8%10.5%26.2%6.0%0.8%815.2K-34.3M-133.7K0.6920.75N/AN/A12,0008,288304,128248,256
2013-05-08$2.12$2.0022.9%7.3%32.5%8.2%28.5%6.1%1.3%726.4K-36.4M-134.3K0.4221.18N/AN/A14,2086,016307,520252,160
2013-05-09$2.12$2.0022.9%7.3%32.5%8.2%26.1%5.9%1.5%624.7K-37.7M-133.6K0.8723.91N/AN/A15,61613,536312,640255,648
2013-05-10$2.14$2.0020.9%7.1%32.5%1.8%26.4%5.3%2.3%500.8K-41.1M-137.2K1.8323.08N/AN/A7,87214,368324,224265,632
2013-05-13$2.15$2.0024.3%7.6%28.1%13.0%30.0%5.5%1.2%434.4K-41.2M-138.2K1.3527.88N/AN/A23,16831,200325,824277,760
2013-05-14$2.17$2.0025.3%7.6%27.1%16.2%26.6%4.3%1.2%338.4K-42.6M-144.0K1.2129.79N/AN/A21,85626,368336,608303,616
2013-05-15$2.18$2.0325.1%7.3%21.2%15.5%27.1%4.4%1.5%89.3K-40.1M-146.8K1.1532.97N/AN/A10,65612,256327,776321,888
2013-05-16$2.17$2.0325.2%7.2%16.8%16.1%26.0%4.2%1.6%117.9K-39.3M-148.9K0.8524.49N/AN/A11,1689,536328,608323,104
2013-05-17$2.21$2.0324.0%6.9%15.7%12.1%25.0%3.9%2.2%265.6K-44.3M-148.8K0.3125.70N/AN/A64,00019,936331,904329,024
2013-05-20$2.21$2.0324.0%6.9%15.7%12.1%25.5%4.0%2.1%655.7K-22.1M-163.5K1.8622.97N/AN/A8,12815,104261,952239,648
2013-05-21$2.21$2.0924.9%7.1%15.2%15.1%26.2%4.0%1.7%590.0K-22.4M-169.3K0.6516.93N/AN/A17,88811,552266,176249,536
2013-05-22$2.18$2.0926.0%7.4%17.0%18.6%26.2%4.3%1.7%552.7K-17.9M-178.9K0.6218.16N/AN/A43,68026,880279,456258,912
2013-05-23$2.16$2.0926.4%7.6%17.5%19.9%26.5%4.5%1.6%550.0K-15.8M-191.7K1.2516.24N/AN/A17,02421,312310,816275,648
2013-05-24$2.16$2.1325.6%7.4%17.1%17.4%26.4%5.3%1.8%541.3K-15.2M-195.6K6.8017.31N/AN/A6,97647,456324,448291,904
2013-05-28$2.19$2.1326.1%7.5%16.7%19.1%27.0%5.1%1.1%470.8K-17.1M-205.5K0.9912.43N/AN/A11,64811,552326,464333,472
2013-05-29$2.17$2.1327.1%7.8%17.1%22.2%26.8%5.5%0.6%376.4K-13.8M-211.1K1.1614.86N/AN/A11,00812,800332,512338,464
2013-05-30$2.19$2.1326.4%7.6%16.6%19.8%26.5%5.0%1.1%487.9K-17.0M-216.3K4.4314.76N/AN/A9,31241,280337,760348,288
2013-05-31$2.15$2.1327.9%8.0%16.9%25.0%27.7%6.4%0.5%435.5K-10.7M-212.1K2.0420.34N/AN/A6,49613,280341,984329,376