QLD Options History — January 2014

In January 2014, QLD traded between $2.90 and $3.17. ATM implied volatility averaged 26.1%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 1.4% (HV 20d: 24.7%). Max pain ranged from $2.22 to $2.34. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2014-01-27: Highest Volume — 107,872 contracts
  • 2014-01-13: Largest IV spike — 24.5% change
  • 2014-01-29: Highest IV Rank — 60.6%
  • 2014-01-24: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.05$2.90$3.17$3.06$2.99
Max Pain$2.22$2.22$2.34$2.34$2.22
ATM IV26.1%21.2%31.7%25.7%30.9%
Expected Move10.2%9.9%10.5%10.5%10.2%
HV 20d24.7%18.7%32.0%19.5%31.6%
HV 60d22.0%20.0%25.0%22.8%25.0%
IV Rank31.0%4.8%60.6%29.0%56.4%
IV Percentile51.7%3.2%94.8%56.0%91.3%
Term Structure1.2%-0.9%2.3%1.2%0.5%
VWIV34.8%29.3%37.7%36.1%37.0%
Skew 25d6.0%4.6%8.1%4.8%7.5%
Skew 10d12.9%10.1%16.6%10.1%15.2%
Call IV 25d24.4%21.9%28.8%24.2%28.3%
Put IV 25d30.4%27.4%36.6%29.0%35.8%
Bid-Ask Spread %7.563.1321.343.4713.86
Gamma HHI0.110.070.230.100.08
Net GEX937.0K-204.2K2.6M1.6M512.1K
Net DEX-35.0M-63.4M-2.0M-52.5M-16.9M
Net VEX-252.5K-286.5K-235.8K-244.1K-286.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.261.500.851.06
Total Volume50,953.14318,208107,87253,40839,872
Total OI683,649.524412,832836,096711,040673,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$3.06$2.3425.7%10.5%19.5%29.0%36.1%4.8%1.2%1.6M-52.5M-244.1K0.853.47N/AN/A28,92824,480330,816380,224
2014-01-03$3.02$2.2225.0%10.5%20.4%24.9%34.7%4.6%2.1%1.4M-44.0M-254.6K0.874.97N/AN/A19,55216,960337,536398,976
2014-01-06$3.00$2.2224.3%10.4%20.6%21.2%0.0%5.7%1.4%1.4M-41.1M-248.1K1.046.57N/AN/A26,24027,232347,872409,472
2014-01-07$3.05$2.2223.9%10.3%21.0%19.5%0.0%5.8%1.9%1.6M-50.7M-251.6K1.047.52N/AN/A27,52028,672357,056425,696
2014-01-08$3.07$2.2224.2%10.2%21.0%21.0%29.3%5.6%1.7%1.5M-53.8M-255.6K0.294.26N/AN/A23,7766,976365,728445,536
2014-01-09$3.04$2.2224.7%10.3%21.2%23.5%35.9%5.7%1.9%1.5M-49.0M-254.0K1.146.03N/AN/A12,03213,664371,808448,256
2014-01-10$3.06$2.2221.2%10.1%18.7%4.8%0.0%5.5%2.1%1.6M-48.8M-252.4K0.304.71N/AN/A26,7528,128358,336453,280
2014-01-13$2.97$2.2226.4%10.3%22.0%32.5%35.9%5.9%1.7%795.7K-26.5M-246.8K1.143.72N/AN/A21,79224,896362,016452,320
2014-01-14$3.09$2.2223.4%10.1%25.5%16.8%37.1%5.7%2.2%2.1M-53.3M-240.8K0.644.01N/AN/A38,94424,864361,280455,264
2014-01-15$3.14$2.2221.3%10.0%25.8%5.4%29.5%5.6%2.2%2.6M-62.6M-237.6K0.603.61N/AN/A43,55226,144354,400459,680
2014-01-16$3.14$2.2225.0%10.1%25.6%24.9%0.0%5.6%2.2%2.5M-63.4M-239.3K0.503.91N/AN/A12,1606,048359,200476,896
2014-01-17$3.10$2.2225.0%10.0%25.2%25.0%37.7%5.5%2.3%270.0K-49.0M-241.0K0.473.13N/AN/A39,23218,528348,736477,088
2014-01-21$3.15$2.2224.0%10.0%25.3%19.8%30.9%5.5%1.9%181.1K-24.8M-235.8K1.193.85N/AN/A17,37620,704189,568223,264
2014-01-22$3.17$2.2224.4%9.9%24.6%22.1%0.0%5.5%1.3%225.8K-26.8M-237.5K1.236.08N/AN/A19,26423,616197,792236,480
2014-01-23$3.15$2.2225.7%10.1%23.8%29.0%35.5%5.6%0.7%204.2K-24.4M-247.6K1.5021.34N/AN/A18,72028,128209,216251,968
2014-01-24$3.02$2.2230.5%10.5%28.2%54.2%37.4%7.4%-0.2%-91.4K-13.0M-262.6K1.1210.20N/AN/A19,93622,368218,208269,024
2014-01-27$2.96$2.2231.5%10.4%28.7%59.6%35.5%8.1%-0.9%-184.0K-7.6M-256.0K0.569.56N/AN/A69,21638,656226,080273,696
2014-01-28$2.96$2.2229.6%10.1%28.7%49.3%35.3%7.0%-0.1%-204.2K-7.5M-261.8K0.3712.58N/AN/A67,96825,152271,200296,832
2014-01-29$2.90$2.2231.7%10.4%29.5%60.6%0.0%7.7%-0.6%-194.3K-2.0M-269.1K0.2718.32N/AN/A37,82410,176324,864308,704
2014-01-30$3.00$2.2229.8%10.4%32.0%50.6%37.0%6.9%0.3%393.6K-17.0M-279.1K0.267.04N/AN/A50,81613,152339,616309,504
2014-01-31$2.99$2.2230.9%10.2%31.6%56.4%0.0%7.5%0.5%512.1K-16.9M-286.5K1.0613.86N/AN/A19,32820,544361,248311,904