QLD Options History — June 2013

In June 2013, QLD traded between $1.96 and $2.17. ATM implied volatility averaged 30.8%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.7% (HV 20d: 25.1%). Max pain ranged from $2.03 to $2.13. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.66.

Notable Days

  • 2013-06-20: Highest Volume — 143,712 contracts
  • 2013-06-20: Largest IV spike — 27.9% change
  • 2013-06-20: Highest IV Rank — 72.2%
  • 2013-06-20: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.08$1.96$2.17$2.16$2.04
Max Pain$2.11$2.03$2.13$2.13$2.06
ATM IV30.8%27.2%36.1%29.8%28.5%
Expected Move8.9%8.1%10.4%8.5%8.2%
HV 20d25.1%15.1%32.8%15.1%32.3%
HV 60d27.0%24.3%29.3%24.3%29.1%
IV Rank43.7%28.9%72.2%31.2%37.2%
IV Percentile66.3%42.9%90.5%62.3%53.6%
Term Structure1.0%-1.2%2.5%-0.7%2.5%
VWIV30.7%28.3%35.8%31.8%28.5%
Skew 25d7.6%6.3%9.3%6.3%7.1%
Skew 10d15.8%12.1%20.5%14.6%13.1%
Call IV 25d27.5%25.0%31.6%26.9%25.0%
Put IV 25d35.1%32.1%40.6%33.2%32.1%
Bid-Ask Spread %14.8012.9617.3116.0015.73
Gamma HHI0.150.070.390.130.07
Net GEX-226.2K-1.9M1.4M496.7K-245.6K
Net DEX6.3M-12.6M33.9M-11.8M6.9M
Net VEX-230.8K-262.9K-201.1K-209.2K-223.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.1210.114.060.97
Total Volume61,676.814,816143,71259,26437,696
Total OI785,689.6638,720897,376675,296729,536

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$2.16$2.1329.8%8.5%15.1%31.2%31.8%6.3%-0.7%496.7K-11.8M-209.2K4.0616.00N/AN/A11,71247,552343,904331,392
2013-06-04$2.14$2.1330.3%8.7%15.5%33.1%29.3%6.4%-0.2%211.2K-5.9M-231.7K1.0315.23N/AN/A9,88810,176347,072372,320
2013-06-05$2.08$2.1331.0%8.9%18.1%35.2%31.0%6.6%-0.3%-138.3K3.7M-234.1K0.7416.55N/AN/A19,00814,144349,888380,480
2013-06-06$2.10$2.1331.3%9.0%18.0%38.5%29.9%6.7%-0.7%-56.1K1.4M-236.9K0.5815.83N/AN/A9,3765,440354,752384,064
2013-06-07$2.16$2.0327.2%8.4%20.6%28.9%30.0%7.3%1.8%449.6K-10.0M-238.9K10.1115.19N/AN/A12,576127,104355,904384,960
2013-06-10$2.16$2.1327.7%8.4%20.3%30.8%29.5%7.1%1.6%-462.6K248.6K-262.9K0.3413.03N/AN/A37,02412,736359,200496,704
2013-06-11$2.12$2.1330.0%8.5%21.5%40.7%29.7%7.2%1.5%-514.3K9.5M-261.5K1.0712.96N/AN/A35,42437,920388,064503,776
2013-06-12$2.07$2.1333.0%9.3%22.6%53.1%30.5%8.0%1.0%-876.1K19.0M-249.6K3.1917.31N/AN/A25,76082,080395,840490,048
2013-06-13$2.12$2.1329.9%8.6%24.4%40.2%30.1%7.4%1.9%143.8K1.8M-250.3K2.3213.28N/AN/A23,42454,304400,032450,176
2013-06-14$2.09$2.1331.0%8.9%24.7%44.9%30.1%7.3%1.6%-255.1K7.1M-243.5K0.1213.83N/AN/A47,4565,600403,776445,312
2013-06-17$2.13$2.1330.5%8.7%24.7%42.7%30.9%7.4%1.7%499.5K-2.1M-239.7K0.4313.51N/AN/A29,66412,768404,000445,408
2013-06-18$2.17$2.1329.8%8.5%25.6%39.6%30.8%7.1%1.7%1.4M-12.6M-239.6K1.3713.28N/AN/A8,86412,128409,920447,200
2013-06-19$2.12$2.1328.3%8.1%26.7%36.0%28.3%7.2%2.5%132.8K1.7M-228.4K1.5715.19N/AN/A23,32836,736411,328449,568
2013-06-20$2.01$2.1336.1%10.4%31.3%72.2%34.7%9.0%-1.2%-1.9M28.9M-212.1K1.1215.66N/AN/A67,93675,776393,024468,416
2013-06-21$2.00$2.1333.7%9.6%31.4%60.7%33.7%9.2%0.3%-1.9M33.9M-205.0K0.7413.95N/AN/A71,58452,928417,408479,968
2013-06-24$1.96$2.0934.7%10.0%31.9%65.6%35.8%9.3%0.2%-416.0K18.7M-201.1K1.4714.54N/AN/A20,64030,368284,352354,368
2013-06-25$1.98$2.0633.4%9.6%32.0%59.7%30.6%8.3%0.7%-538.3K17.1M-207.5K0.2214.03N/AN/A42,9769,472291,744374,272
2013-06-26$2.02$2.0629.8%8.5%32.8%43.0%29.4%8.2%1.5%-317.5K10.2M-217.5K0.5914.88N/AN/A31,32818,368319,232378,112
2013-06-27$2.04$2.0629.2%8.4%32.8%40.5%29.4%7.8%1.5%-260.7K7.7M-222.5K1.2615.92N/AN/A9,85612,416331,392386,880
2013-06-28$2.04$2.0628.5%8.2%32.3%37.2%28.5%7.1%2.5%-245.6K6.9M-223.7K0.9715.73N/AN/A19,13618,560337,280392,256