QLD Options History — November 2013

In November 2013, QLD traded between $2.66 and $2.94. ATM implied volatility averaged 23.9%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 1.2% (HV 20d: 22.7%). Max pain ranged from $2.03 to $2.31. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2013-11-12: Highest Volume — 72,704 contracts
  • 2013-11-07: Largest IV spike — 21.5% change
  • 2013-11-07: Highest IV Rank — 36.1%
  • 2013-11-20: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.79$2.66$2.94$2.75$2.94
Max Pain$2.13$2.03$2.31$2.03$2.31
ATM IV23.9%21.9%28.2%23.5%22.8%
Expected Move10.1%9.4%10.5%9.6%10.3%
HV 20d22.7%20.4%27.4%27.4%22.8%
HV 60d24.2%23.0%25.3%24.1%23.1%
IV Rank16.3%7.4%36.1%14.5%11.6%
IV Percentile22.9%6.0%66.7%15.5%12.7%
Term Structure1.5%0.5%2.8%2.8%2.0%
VWIV36.5%31.0%39.3%36.8%39.3%
Skew 25d4.9%3.8%6.4%3.8%4.1%
Skew 10d10.1%7.7%12.8%8.6%8.6%
Call IV 25d22.6%20.3%25.8%22.0%21.1%
Put IV 25d27.6%24.5%32.2%25.8%25.2%
Bid-Ask Spread %4.122.495.625.302.86
Gamma HHI0.110.060.140.140.13
Net GEX948.3K431.7K1.3M1.2M1.1M
Net DEX-36.6M-50.9M-22.4M-37.2M-48.2M
Net VEX-246.4K-271.8K-225.0K-242.3K-262.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.282.200.820.80
Total Volume40,070.416,12872,70418,20835,360
Total OI699,166.4542,400794,272698,496717,600

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$2.75$2.0323.5%9.6%27.4%14.5%36.8%3.8%2.8%1.2M-37.2M-242.3K0.825.30N/AN/A9,9848,224356,608341,888
2013-11-04$2.76$2.0322.6%9.4%26.3%10.4%31.0%5.6%1.1%1.2M-38.4M-237.1K1.094.68N/AN/A8,8329,632360,928347,104
2013-11-05$2.77$2.0322.4%9.4%20.8%9.8%38.0%5.3%1.0%1.1M-39.5M-237.1K0.675.19N/AN/A9,6326,496361,728354,304
2013-11-06$2.77$2.0323.2%9.5%20.4%13.4%31.8%5.5%0.9%1.2M-39.8M-236.0K1.314.93N/AN/A9,12011,904363,968355,296
2013-11-07$2.66$2.0328.2%9.6%22.4%36.1%37.9%6.4%0.5%431.7K-22.5M-243.5K2.205.62N/AN/A13,50429,760367,904364,608
2013-11-08$2.73$2.0323.0%9.5%23.5%12.4%31.4%5.3%0.8%937.0K-35.0M-237.4K1.604.96N/AN/A14,01622,464372,000365,984
2013-11-11$2.73$2.0325.9%10.3%23.3%25.5%35.4%5.5%1.1%614.2K-33.6M-234.5K0.943.71N/AN/A9,5048,928376,352381,248
2013-11-12$2.73$2.0325.5%10.3%23.0%23.8%0.0%5.3%1.2%698.7K-35.5M-230.5K1.204.49N/AN/A33,05639,648378,752382,656
2013-11-13$2.80$2.0323.2%10.2%23.2%13.3%35.6%4.9%1.5%1.3M-47.4M-231.2K0.975.37N/AN/A23,58422,944388,096389,376
2013-11-14$2.81$2.0323.8%10.1%23.0%15.9%36.5%4.6%1.8%1.2M-49.4M-225.0K0.543.97N/AN/A34,81618,944379,488395,168
2013-11-15$2.83$2.0323.6%10.2%20.5%15.1%38.6%4.7%2.0%857.7K-50.9M-230.8K0.353.67N/AN/A41,95214,528385,728408,544
2013-11-18$2.77$2.0324.8%10.2%21.7%20.4%37.8%5.2%1.7%730.9K-27.3M-234.3K1.024.69N/AN/A33,37633,920256,832285,568
2013-11-19$2.75$2.2225.4%10.3%21.9%23.5%0.0%5.3%1.5%759.9K-26.3M-256.0K1.753.59N/AN/A16,06428,064283,136307,680
2013-11-20$2.74$2.2224.6%10.5%21.6%19.4%38.0%5.1%1.6%687.4K-22.4M-258.8K0.974.25N/AN/A15,16814,784289,440328,448
2013-11-21$2.80$2.3124.0%10.3%22.3%16.8%38.5%4.6%1.5%880.1K-29.4M-265.8K0.943.46N/AN/A15,23214,272295,072336,960
2013-11-22$2.83$2.3123.4%10.3%22.2%14.0%0.0%4.4%1.6%966.4K-33.1M-267.1K1.483.16N/AN/A19,87229,440298,624344,160
2013-11-25$2.84$2.3123.1%10.4%22.2%12.9%38.5%4.2%1.5%966.9K-34.1M-263.7K1.923.43N/AN/A17,02432,608304,800358,176
2013-11-26$2.87$2.3122.3%10.3%22.4%9.2%0.0%4.3%1.8%1.1M-37.7M-271.8K1.802.49N/AN/A20,57637,088309,696383,040
2013-11-27$2.91$2.3121.9%10.2%22.8%7.4%38.2%4.2%2.3%1.1M-43.3M-262.0K0.282.64N/AN/A28,8968,192306,816399,552
2013-11-29$2.94$2.3122.8%10.3%22.8%11.6%39.3%4.1%2.0%1.1M-48.2M-262.5K0.802.86N/AN/A19,64815,712314,560403,040