QLD Options History — September 2013

In September 2013, QLD traded between $2.31 and $2.53. ATM implied volatility averaged 26.4%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.2% (HV 20d: 23.2%). Max pain ranged from $2.19 to $2.53. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2013-09-19: Highest Volume — 50,016 contracts
  • 2013-09-30: Largest IV spike — 13.5% change
  • 2013-09-03: Highest IV Rank — 50.2%
  • 2013-09-23: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.45$2.31$2.53$2.31$2.50
Max Pain$2.36$2.19$2.53$2.19$2.53
ATM IV26.4%23.9%31.3%31.3%29.0%
Expected Move9.1%7.7%10.1%9.0%9.9%
HV 20d23.2%16.3%26.7%24.7%16.3%
HV 60d22.6%20.7%25.7%25.4%20.8%
IV Rank27.9%16.3%50.2%50.2%39.9%
IV Percentile42.7%19.0%79.8%79.8%65.5%
Term Structure2.3%0.8%4.1%0.9%0.8%
VWIV31.7%27.1%36.8%31.6%34.6%
Skew 25d5.9%4.5%7.3%7.0%7.3%
Skew 10d11.9%8.9%15.0%14.2%14.6%
Call IV 25d24.5%22.3%28.5%28.5%26.2%
Put IV 25d30.4%27.1%35.4%35.4%33.5%
Bid-Ask Spread %12.836.1623.0115.606.43
Gamma HHI0.100.060.190.090.06
Net GEX1.2M349.7K2.1M1.1M349.7K
Net DEX-44.7M-71.2M-22.6M-27.0M-23.1M
Net VEX-181.6K-227.4K-157.1K-227.4K-160.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.343.061.572.08
Total Volume25,897.612,09650,01614,49643,072
Total OI897,769.6581,1841,073,472989,152612,704

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$2.31$2.1931.3%9.0%24.7%50.2%31.6%7.0%0.9%1.1M-27.0M-227.4K1.5715.60N/AN/A5,6328,864664,800324,352
2013-09-04$2.36$2.1929.4%8.4%25.7%41.6%29.8%6.1%1.4%1.4M-37.7M-218.2K0.7417.42N/AN/A11,8408,736665,568327,584
2013-09-05$2.37$2.1927.9%8.0%25.7%34.9%33.7%5.8%1.8%1.5M-39.8M-218.5K3.0615.14N/AN/A2,9769,120668,736328,864
2013-09-06$2.37$2.2827.5%8.5%25.5%32.8%31.0%7.3%2.0%1.5M-41.0M-216.0K1.8416.64N/AN/A4,8968,992669,632331,680
2013-09-09$2.42$2.2827.1%8.2%26.6%31.1%31.0%6.9%2.6%1.6M-53.7M-199.4K0.5214.79N/AN/A11,2965,888671,328334,816
2013-09-10$2.45$2.2825.8%8.1%26.7%25.3%29.2%6.4%1.6%1.7M-59.4M-190.6K0.7915.34N/AN/A13,15210,400673,216336,224
2013-09-11$2.44$2.2823.9%7.7%26.6%16.3%27.4%6.1%2.5%1.8M-56.1M-190.4K0.9715.26N/AN/A8,8648,640671,520340,192
2013-09-12$2.44$2.2827.0%7.7%26.4%30.7%28.3%6.4%3.0%1.8M-55.3M-190.5K0.3415.13N/AN/A19,0726,432673,472342,880
2013-09-13$2.44$2.2826.8%7.7%22.9%29.5%27.1%6.2%2.6%2.0M-57.2M-182.2K0.7812.28N/AN/A12,5129,728684,960344,000
2013-09-16$2.43$0.0027.2%9.5%23.1%31.7%32.9%6.4%2.5%2.1M-54.7M-183.0K0.9623.01N/AN/A23,07222,112693,408350,208
2013-09-17$2.46$2.2526.4%9.7%23.2%28.1%33.6%6.1%2.7%1.8M-60.1M-171.4K1.8421.61N/AN/A13,56824,928688,064366,528
2013-09-18$2.52$2.3425.2%9.8%24.2%22.3%36.8%5.6%3.1%1.3M-70.0M-166.0K2.1418.82N/AN/A15,36032,800684,000381,120
2013-09-19$2.53$2.3424.7%9.9%23.8%20.2%34.1%4.7%3.3%1.4M-71.2M-157.1K0.797.10N/AN/A27,90422,112671,968391,168
2013-09-20$2.51$2.5324.6%10.0%23.7%19.7%33.9%4.5%4.1%1.3M-65.9M-160.6K1.456.47N/AN/A14,91221,568674,880398,592
2013-09-23$2.50$2.5325.2%10.1%23.5%22.3%0.0%4.9%2.6%427.0K-24.2M-160.2K0.928.02N/AN/A10,1449,344314,464266,720
2013-09-24$2.50$2.5324.7%10.0%23.5%20.3%0.0%4.5%2.1%430.1K-24.5M-159.0K0.687.39N/AN/A7,8405,344320,512271,328
2013-09-25$2.49$2.5324.4%9.9%16.8%19.0%0.0%5.2%2.4%352.7K-22.6M-160.2K2.516.96N/AN/A6,30415,808321,344274,496
2013-09-26$2.52$2.5324.2%9.9%17.1%17.8%34.6%5.0%2.5%423.6K-26.2M-158.0K0.696.16N/AN/A7,5845,216322,272286,272
2013-09-27$2.52$2.5325.6%9.9%17.0%24.1%0.0%6.0%2.0%354.1K-24.7M-161.8K0.437.09N/AN/A15,3286,592324,032287,488
2013-09-30$2.50$2.5329.0%9.9%16.3%39.9%0.0%7.3%0.8%349.7K-23.1M-160.9K2.086.43N/AN/A13,98429,088325,184287,520