QLD Options History — July 2013

In July 2013, QLD traded between $2.07 and $2.31. ATM implied volatility averaged 24.2%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.0% (HV 20d: 26.2%). Max pain ranged from $2.00 to $2.19. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2013-07-17: Highest Volume — 146,368 contracts
  • 2013-07-11: Largest IV spike — 13.0% change
  • 2013-07-01: Highest IV Rank — 31.3%
  • 2013-07-05: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.22$2.07$2.31$2.07$2.31
Max Pain$2.10$2.00$2.19$2.06$2.13
ATM IV24.2%21.5%27.2%27.2%24.2%
Expected Move7.1%6.2%7.8%7.8%6.9%
HV 20d26.2%19.3%32.8%32.8%19.3%
HV 60d25.8%23.7%28.9%28.9%23.7%
IV Rank17.5%5.1%31.3%31.3%17.4%
IV Percentile18.1%1.2%42.9%42.9%19.8%
Term Structure2.7%1.3%4.2%2.3%1.3%
VWIV25.3%22.7%29.1%25.8%25.1%
Skew 25d5.1%3.7%7.0%6.8%4.7%
Skew 10d10.2%6.9%14.1%12.7%9.2%
Call IV 25d22.6%20.3%24.5%24.1%22.5%
Put IV 25d27.8%24.0%31.5%30.9%27.1%
Bid-Ask Spread %16.477.1223.9314.4418.03
Gamma HHI0.150.060.310.080.12
Net GEX813.2K-234.2K1.4M-234.2K1.4M
Net DEX-30.3M-54.9M2.3M2.3M-36.1M
Net VEX-218.8K-233.9K-196.1K-224.2K-224.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.051.600.440.65
Total Volume42,35211,584146,36867,74424,992
Total OI823,732.364692,7681,007,520753,632755,008

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$2.07$2.0627.2%7.8%32.8%31.3%25.8%6.8%2.3%-234.2K2.3M-224.2K0.4414.44N/AN/A47,00820,736347,072406,560
2013-07-02$2.07$2.0627.0%7.7%32.7%30.2%26.8%6.7%2.5%165.2K505.4K-231.8K0.6916.62N/AN/A20,83214,400384,256417,728
2013-07-03$2.09$2.0626.1%7.5%31.5%26.2%26.3%6.1%2.5%245.8K-4.0M-233.9K0.8915.91N/AN/A6,5925,888391,072423,968
2013-07-05$2.12$2.0023.3%7.8%31.9%13.0%26.7%7.0%2.9%445.7K-11.6M-228.6K0.4017.09N/AN/A45,85618,528392,832424,672
2013-07-08$2.12$2.0024.6%7.7%30.2%19.0%27.0%6.8%3.0%1.2M-15.6M-226.6K0.9915.74N/AN/A11,23211,104426,112425,792
2013-07-09$2.15$2.0323.0%7.3%30.5%11.8%29.1%6.5%3.1%1.3M-24.3M-222.8K0.7117.75N/AN/A10,0167,072428,448429,344
2013-07-10$2.17$2.0322.2%7.1%29.9%8.0%26.5%6.3%3.0%1.4M-31.2M-217.4K0.7022.09N/AN/A13,1209,120429,760430,816
2013-07-11$2.26$2.0625.0%7.2%31.4%21.2%25.0%5.2%2.4%853.8K-53.3M-198.6K0.8315.25N/AN/A25,88821,440433,536435,040
2013-07-12$2.28$2.1624.9%7.1%30.6%20.7%24.8%4.9%2.5%510.9K-52.8M-205.3K0.1616.25N/AN/A23,5523,808429,856450,688
2013-07-15$2.29$2.1625.4%7.3%30.0%22.9%26.6%4.3%2.7%307.9K-54.5M-196.1K0.0517.93N/AN/A111,2005,568423,776453,472
2013-07-16$2.28$2.1626.0%7.5%29.6%25.7%25.6%4.9%2.5%373.3K-49.3M-200.3K0.8717.71N/AN/A18,49616,096502,016456,320
2013-07-17$2.29$2.1925.0%7.2%29.2%21.0%28.1%4.5%3.0%299.3K-48.2M-206.1K0.0815.76N/AN/A135,36011,008501,408466,848
2013-07-18$2.28$2.1325.0%7.2%27.8%21.2%25.9%4.6%3.0%532.5K-54.9M-212.8K1.1716.24N/AN/A13,12015,360546,624453,120
2013-07-19$2.24$2.1323.7%6.8%21.5%15.0%23.7%4.4%4.2%235.6K-44.2M-211.4K0.317.12N/AN/A80,28824,512549,152458,368
2013-07-22$2.25$2.1322.5%6.5%20.8%9.7%23.4%4.2%2.7%1.2M-24.7M-222.2K0.5916.63N/AN/A15,2969,056435,488257,280
2013-07-23$2.22$2.1323.5%6.7%19.9%14.3%23.6%4.3%2.3%1.2M-19.9M-223.2K0.6023.93N/AN/A12,4807,520443,328263,040
2013-07-24$2.23$2.1323.5%6.7%19.7%14.3%23.3%4.3%2.5%1.3M-22.3M-226.9K0.2414.68N/AN/A14,0483,328447,968267,552
2013-07-25$2.26$2.1322.6%6.5%19.4%10.2%22.7%4.2%3.0%1.2M-27.1M-227.7K0.9015.90N/AN/A12,12810,880451,200270,496
2013-07-26$2.28$2.1321.5%6.2%19.4%5.1%22.7%3.7%3.0%1.3M-31.4M-227.9K1.6015.56N/AN/A4,4487,136456,768275,584
2013-07-29$2.27$2.1322.7%6.5%19.6%10.4%23.6%4.5%2.4%1.3M-29.5M-222.5K0.3916.12N/AN/A15,6486,048456,416280,000
2013-07-30$2.30$2.1323.8%6.8%19.4%15.4%24.2%4.3%1.9%1.3M-34.5M-222.7K0.5515.56N/AN/A26,78414,752461,952281,376
2013-07-31$2.31$2.1324.2%6.9%19.3%17.4%25.1%4.7%1.3%1.4M-36.1M-224.7K0.6518.03N/AN/A15,1689,824469,056285,952