QLD Options History — February 2014

In February 2014, QLD traded between $2.85 and $3.30. ATM implied volatility averaged 28.1%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 5.9% (HV 20d: 33.9%). Max pain ranged from $2.22 to $2.22. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2014-02-04: Highest Volume — 111,328 contracts
  • 2014-02-07: Largest IV drop — 17.0% change
  • 2014-02-03: Highest IV Rank — 100.0%
  • 2014-02-04: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.15$2.85$3.30$2.85$3.29
Max Pain$2.22$2.22$2.22$2.22$2.22
ATM IV28.1%24.3%39.4%39.4%24.9%
Expected Move10.1%9.7%10.7%10.7%9.9%
HV 20d33.9%26.5%38.4%35.1%26.5%
HV 60d26.3%25.6%26.9%26.8%26.2%
IV Rank40.6%21.0%100.0%100.0%24.0%
IV Percentile63.9%34.1%100.0%100.0%40.9%
Term Structure0.4%-3.4%1.5%-3.4%0.9%
VWIV39.1%31.4%47.5%37.8%46.3%
Skew 25d5.9%4.4%10.0%10.0%4.6%
Skew 10d12.7%9.6%20.2%20.2%10.3%
Call IV 25d26.2%23.0%34.5%34.5%23.0%
Put IV 25d32.0%27.5%44.5%44.5%27.6%
Bid-Ask Spread %11.494.7221.6117.6415.47
Gamma HHI0.120.070.210.070.20
Net GEX1.8M-23.1K3.1M-23.1K2.2M
Net DEX-44.9M-75.5M317.3K317.3K-49.1M
Net VEX-286.8K-298.2K-271.2K-271.2K-298.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.182.240.561.29
Total Volume49,719.57919,392111,32871,90427,104
Total OI795,883.789664,832923,072679,488725,376

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$2.85$2.2239.4%10.7%35.1%100.0%37.8%10.0%-3.4%-23.1K317.3K-271.2K0.5617.64N/AN/A45,95225,952363,872315,616
2014-02-04$2.89$2.2235.4%10.7%35.5%79.3%0.0%8.0%-1.3%276.9K-5.9M-278.4K0.189.84N/AN/A94,30417,024379,360326,016
2014-02-05$2.88$2.2236.2%10.7%34.7%83.1%40.4%8.0%-0.4%229.7K-4.1M-288.7K0.8911.68N/AN/A21,66419,232447,744335,840
2014-02-06$2.95$2.2232.8%10.4%36.0%65.5%0.0%6.9%0.5%580.3K-13.4M-293.9K2.036.78N/AN/A6,40012,992445,632346,688
2014-02-07$3.05$2.2227.2%10.1%38.2%36.3%37.0%6.8%0.1%1.4M-31.3M-294.0K0.296.97N/AN/A31,4889,120445,312358,016
2014-02-10$3.09$2.2226.3%10.1%38.4%31.2%40.2%6.3%0.2%1.7M-37.4M-286.9K0.506.48N/AN/A25,82412,800444,064361,824
2014-02-11$3.16$2.2224.3%10.2%37.3%21.0%38.1%5.9%0.5%2.3M-53.6M-282.1K0.404.72N/AN/A50,04819,840458,720368,320
2014-02-12$3.17$2.2224.9%10.1%34.9%24.3%37.6%5.9%0.6%2.6M-58.4M-294.7K0.575.57N/AN/A34,20819,520469,824377,760
2014-02-13$3.22$2.2227.1%9.8%34.9%35.7%0.0%5.5%0.1%2.8M-67.7M-293.5K0.8314.17N/AN/A38,81632,256480,128388,960
2014-02-14$3.23$2.2226.0%9.7%34.9%30.1%0.0%5.2%1.1%2.8M-69.4M-291.4K0.8314.35N/AN/A19,68016,384483,424411,584
2014-02-18$3.26$2.2226.3%9.9%34.6%31.6%47.5%4.7%0.4%3.1M-75.5M-286.4K1.057.57N/AN/A20,12821,216486,880420,192
2014-02-19$3.22$2.2227.6%9.9%34.7%38.2%35.3%5.5%0.3%2.6M-68.3M-285.9K1.7514.17N/AN/A14,17624,768489,952433,120
2014-02-20$3.24$2.2226.4%9.8%34.8%32.2%0.0%4.9%1.2%2.3M-68.0M-278.2K0.9618.54N/AN/A27,29626,080467,488431,168
2014-02-21$3.23$2.2226.7%9.8%34.7%33.5%0.0%5.1%1.2%1.8M-63.4M-272.4K0.3814.06N/AN/A66,40024,992467,392450,336
2014-02-24$3.27$2.2225.4%9.7%30.9%26.5%31.4%4.6%0.9%2.2M-48.0M-285.6K0.9210.29N/AN/A16,22414,912399,200265,632
2014-02-25$3.26$2.2225.7%10.0%29.9%28.2%0.0%4.9%1.2%2.0M-46.0M-286.4K2.2421.61N/AN/A9,79221,888403,168273,760
2014-02-26$3.26$2.2225.7%9.9%29.9%28.5%0.0%4.7%1.5%1.8M-43.3M-293.1K1.3310.71N/AN/A15,16820,224406,944287,648
2014-02-27$3.30$2.2224.5%10.0%28.4%22.0%0.0%4.4%1.5%2.2M-50.9M-287.9K0.787.66N/AN/A22,88017,920412,128292,704
2014-02-28$3.29$2.2224.9%9.9%26.5%24.0%46.3%4.6%0.9%2.2M-49.1M-298.2K1.2915.47N/AN/A11,84015,264424,320301,056