QLD Options History — December 2013

In December 2013, QLD traded between $2.88 and $3.11. ATM implied volatility averaged 25.3%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 6.6% (HV 20d: 18.7%). Max pain ranged from $2.34 to $2.34. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2013-12-20: Highest Volume — 120,320 contracts
  • 2013-12-11: Largest IV spike — 13.6% change
  • 2013-12-11: Highest IV Rank — 39.4%
  • 2013-12-13: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.98$2.88$3.11$2.93$3.11
Max Pain$2.34$2.34$2.34$2.34$2.34
ATM IV25.3%22.3%28.9%24.2%25.1%
Expected Move10.5%10.2%10.8%10.3%10.4%
HV 20d18.7%15.6%23.1%23.0%18.4%
HV 60d23.2%22.7%23.9%23.1%22.8%
IV Rank23.2%9.0%39.4%17.8%25.3%
IV Percentile43.2%7.9%79.4%29.0%44.4%
Term Structure2.2%0.5%4.7%1.2%1.5%
VWIV38.0%31.5%46.4%36.3%34.8%
Skew 25d5.0%4.0%6.2%4.4%4.3%
Skew 10d10.3%8.0%13.1%8.7%10.5%
Call IV 25d23.6%20.9%26.8%22.9%23.7%
Put IV 25d28.5%25.2%32.5%27.3%28.0%
Bid-Ask Spread %5.162.6010.112.868.17
Gamma HHI0.120.090.220.120.10
Net GEX1.3M172.4K2.3M1.1M1.6M
Net DEX-50.6M-71.6M-36.2M-45.2M-58.7M
Net VEX-256.6K-282.7K-233.4K-269.1K-243.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.344.800.801.17
Total Volume37,685.33311,136120,32042,59225,632
Total OI781,276.952621,792875,936730,112695,488

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$2.93$2.3424.2%10.3%23.0%17.8%36.3%4.4%1.2%1.1M-45.2M-269.1K0.802.86N/AN/A23,71218,880319,904410,208
2013-12-03$2.92$2.3424.5%10.2%23.0%19.2%38.1%4.6%1.3%1.1M-45.1M-268.2K1.618.16N/AN/A24,12838,880327,456417,984
2013-12-04$2.93$2.3424.6%10.5%23.0%19.6%40.4%4.9%1.4%1.3M-47.9M-269.1K1.546.83N/AN/A13,53620,832341,728435,296
2013-12-05$2.92$2.3427.4%10.4%23.1%32.4%36.3%5.5%0.5%1.2M-45.1M-282.7K1.705.34N/AN/A13,56823,008347,936443,680
2013-12-06$2.96$2.3424.3%10.4%17.6%18.1%37.7%5.4%3.2%1.4M-54.0M-268.7K0.546.68N/AN/A46,17625,120351,808458,880
2013-12-09$2.99$2.3423.7%10.4%15.7%15.7%0.0%5.1%3.3%1.3M-58.7M-262.7K0.482.66N/AN/A19,2329,152363,168478,784
2013-12-10$2.98$2.3425.4%10.5%15.6%23.5%0.0%4.9%3.1%1.3M-56.8M-269.3K0.853.67N/AN/A7,7126,528365,376482,496
2013-12-11$2.91$2.3428.9%10.5%19.0%39.4%34.5%5.8%2.5%1.3M-41.4M-272.5K0.754.90N/AN/A18,56013,920366,080484,704
2013-12-12$2.89$2.3427.6%10.5%17.5%33.4%0.0%5.3%2.2%1.3M-38.3M-273.7K0.663.40N/AN/A9,6326,400370,336488,512
2013-12-13$2.88$2.3427.9%10.8%17.5%34.6%0.0%5.5%2.2%1.4M-36.2M-276.1K0.542.60N/AN/A12,7046,880372,480487,776
2013-12-16$2.91$2.3428.6%10.6%17.8%37.9%0.0%5.5%1.6%1.6M-44.3M-264.4K2.435.46N/AN/A7,07217,216375,488487,808
2013-12-17$2.90$2.3428.9%10.6%16.3%39.1%38.7%5.7%1.7%1.5M-41.8M-262.5K1.863.67N/AN/A7,07213,184376,736492,320
2013-12-18$2.97$2.3426.6%10.6%17.4%29.0%0.0%6.2%2.1%1.5M-58.6M-252.8K0.607.35N/AN/A43,45626,016377,152497,856
2013-12-19$2.95$2.3426.1%10.5%17.6%26.5%0.0%5.1%2.9%2.3M-54.1M-243.4K0.672.76N/AN/A20,32013,536373,184498,048
2013-12-20$3.01$2.3423.7%10.6%17.8%15.6%43.1%5.0%4.7%172.4K-71.6M-233.5K0.342.82N/AN/A89,76030,560377,920498,016
2013-12-23$3.08$2.3422.9%10.4%18.6%12.1%38.1%4.2%2.3%976.1K-51.9M-233.4K0.7110.11N/AN/A31,36022,400281,696340,096
2013-12-24$3.08$2.3422.3%10.5%18.6%9.0%46.4%4.5%2.3%1.1M-52.4M-240.6K4.805.81N/AN/A1,9209,216294,528352,544
2013-12-26$3.10$2.3422.4%10.4%18.5%9.8%31.5%4.3%2.5%1.1M-55.3M-233.6K0.363.82N/AN/A12,8964,704293,440358,112
2013-12-27$3.08$2.3423.1%10.5%18.4%13.0%34.8%4.4%1.6%1.1M-52.6M-234.7K0.383.53N/AN/A16,4486,176294,688360,928
2013-12-30$3.07$2.3424.0%10.4%18.3%17.1%0.0%4.0%1.9%1.2M-51.9M-235.7K0.387.82N/AN/A24,5129,376300,768365,408
2013-12-31$3.11$2.3425.1%10.4%18.4%25.3%0.0%4.3%1.5%1.6M-58.7M-243.1K1.178.17N/AN/A11,80813,824324,224371,264