QLD Options History — August 2013

In August 2013, QLD traded between $2.26 and $2.38. ATM implied volatility averaged 25.1%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.4% (HV 20d: 19.7%). Max pain ranged from $2.13 to $2.28. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2013-08-16: Highest Volume — 231,968 contracts
  • 2013-08-15: Largest IV spike — 29.7% change
  • 2013-08-27: Highest IV Rank — 50.8%
  • 2013-08-27: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.33$2.26$2.38$2.35$2.28
Max Pain$2.20$2.13$2.28$2.13$2.19
ATM IV25.1%20.3%31.4%23.5%31.1%
Expected Move7.5%5.8%9.0%6.8%8.9%
HV 20d19.7%15.7%24.9%19.9%24.3%
HV 60d24.7%24.0%26.3%24.0%25.9%
IV Rank22.0%0.0%50.8%14.4%49.5%
IV Percentile34.6%0.0%81.3%13.9%79.0%
Term Structure1.8%0.6%3.3%1.8%1.3%
VWIV26.6%21.3%32.3%24.5%29.6%
Skew 25d6.0%2.8%7.8%3.4%7.4%
Skew 10d12.1%5.2%15.4%7.2%15.1%
Call IV 25d23.7%19.4%27.9%22.2%27.9%
Put IV 25d29.7%22.2%35.7%25.6%35.3%
Bid-Ask Spread %16.4111.1721.6416.4516.41
Gamma HHI0.140.090.660.090.10
Net GEX1.3M681.7K4.3M1.3M681.7K
Net DEX-36.6M-54.5M-19.4M-45.4M-19.9M
Net VEX-219.4K-233.3K-207.7K-222.4K-233.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.0512.560.490.27
Total Volume43,566.5456,848231,96820,54439,808
Total OI884,616.727765,472988,960765,472965,088

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$2.35$2.1323.5%6.8%19.9%14.4%24.5%3.4%1.8%1.3M-45.4M-222.4K0.4916.45N/AN/A13,7926,752476,256289,216
2013-08-02$2.38$2.1320.3%5.8%19.8%0.0%21.3%2.8%3.3%1.3M-51.6M-212.2K0.7515.91N/AN/A13,56810,176480,256290,080
2013-08-05$2.38$2.2820.3%6.7%19.8%0.0%24.6%4.9%2.0%1.3M-53.2M-209.2K0.7316.08N/AN/A9,5366,976482,016294,656
2013-08-06$2.35$2.2821.4%6.9%20.6%5.2%25.3%5.4%2.0%1.3M-46.3M-212.1K1.3415.24N/AN/A14,72019,712479,424297,472
2013-08-07$2.35$2.2821.1%7.0%20.6%3.6%23.7%5.4%2.1%1.2M-43.1M-216.4K0.5415.15N/AN/A10,2085,536477,440310,912
2013-08-08$2.37$2.2820.3%6.8%15.7%0.0%24.2%5.5%2.1%1.1M-49.1M-212.4K0.8514.73N/AN/A9,1207,744483,040312,512
2013-08-09$2.35$2.2821.8%7.1%15.9%7.1%23.1%5.5%2.1%1.3M-44.9M-212.8K0.0511.37N/AN/A191,58410,368485,312312,928
2013-08-12$2.36$2.2822.6%7.3%15.9%10.6%24.8%5.9%2.1%1.5M-47.0M-217.0K0.9516.10N/AN/A10,2729,760667,488316,256
2013-08-13$2.38$2.2820.5%7.0%16.1%0.9%24.6%5.6%2.1%1.4M-54.5M-212.5K0.4217.23N/AN/A14,3365,952667,872320,064
2013-08-14$2.37$2.2821.2%7.1%16.4%4.3%25.0%5.7%2.1%1.4M-49.9M-213.3K0.6217.62N/AN/A13,6648,416666,816322,144
2013-08-15$2.29$2.2827.6%7.9%20.6%33.1%27.0%7.1%1.5%1.7M-30.7M-208.0K0.6818.26N/AN/A21,40814,624662,240315,872
2013-08-16$2.28$2.2826.7%7.7%19.2%29.3%29.1%6.6%1.8%4.3M-30.2M-207.7K0.1619.22N/AN/A200,51231,456670,464315,776
2013-08-19$2.28$2.1327.7%7.9%19.2%33.9%28.2%7.0%1.3%951.8K-22.1M-220.7K0.3318.24N/AN/A24,6408,224604,352251,840
2013-08-20$2.30$2.1327.0%7.7%18.6%30.4%27.0%6.5%1.6%1.1M-25.8M-227.1K0.3121.64N/AN/A16,2564,960617,120259,008
2013-08-21$2.28$2.1328.2%8.1%18.7%36.1%29.5%6.8%1.1%1.1M-23.8M-226.9K1.6219.85N/AN/A5,1848,416624,576262,624
2013-08-22$2.32$2.1327.5%7.9%19.4%32.7%27.4%6.5%1.8%1.2M-30.1M-230.0K1.1411.17N/AN/A3,2003,648626,272266,848
2013-08-23$2.36$2.1326.2%7.5%19.7%26.7%26.9%5.9%1.5%1.4M-35.4M-227.2K1.1719.53N/AN/A5,6006,528626,464269,344
2013-08-26$2.36$2.1327.1%7.8%19.6%30.9%27.4%6.2%1.4%1.4M-35.6M-222.1K0.7515.69N/AN/A13,76010,272628,768271,872
2013-08-27$2.26$2.1331.4%9.0%24.8%50.8%30.1%7.8%0.6%955.1K-19.4M-226.3K1.3316.36N/AN/A13,85618,400632,096278,976
2013-08-28$2.28$2.1329.6%8.5%24.9%42.4%32.3%7.1%1.8%1.0M-22.2M-224.8K12.5614.54N/AN/A7,42493,280635,072283,104
2013-08-29$2.31$2.1929.6%8.5%24.4%42.5%30.1%6.8%1.7%784.1K-25.2M-232.9K0.5614.23N/AN/A9,4725,344637,728323,904
2013-08-30$2.28$2.1931.1%8.9%24.3%49.5%29.6%7.4%1.3%681.7K-19.9M-233.3K0.2716.41N/AN/A31,4568,352640,512324,576