QLD Options History — March 2014 In March 2014, QLD traded between $3.05 and $3.35. ATM implied volatility averaged 28.0%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 6.4% (HV 20d: 21.6%). Max pain ranged from $2.22 to $2.31. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.17.
Notable Days 2014-03-26 : Highest Volume — 117,056 contracts2014-03-13 : Largest IV spike — 19.5% change2014-03-14 : Highest IV Rank — 61.3%2014-03-14 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.23 $3.05 $3.35 $3.24 $3.11 Max Pain $2.25 $2.22 $2.31 $2.22 $2.31 ATM IV 28.0% 24.3% 32.0% 28.6% 31.8% Expected Move 10.2% 9.9% 10.5% 10.0% 10.2% HV 20d 21.6% 16.0% 27.2% 27.2% 25.1% HV 60d 27.2% 26.2% 28.1% 26.4% 28.0% IV Rank 40.1% 21.2% 61.3% 43.5% 60.3% IV Percentile 68.8% 33.3% 94.0% 81.0% 93.7% Term Structure 1.3% -0.6% 2.5% 0.1% -0.6% VWIV 40.1% 36.2% 47.6% 42.4% 39.9% Skew 25d 6.6% 4.4% 7.8% 6.0% 6.7% Skew 10d 13.1% 8.5% 16.0% 12.6% 12.3% Call IV 25d 25.6% 22.5% 28.9% 26.7% 28.9% Put IV 25d 32.1% 27.2% 36.0% 32.7% 35.5% Bid-Ask Spread % 16.31 5.67 25.85 21.15 25.73 Gamma HHI 0.23 0.06 0.49 0.19 0.07 Net GEX 2.1M -27.4K 5.4M 1.8M 353.6K Net DEX -38.7M -61.7M -6.1M -41.0M -15.1M Net VEX -287.6K -306.1K -266.8K -297.8K -286.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.17 0.27 5.57 1.56 0.87 Total Volume 55,916.19 19,520 117,056 62,048 79,104 Total OI 784,275.81 567,456 940,896 730,368 715,680
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-03-03 $3.24 $2.22 28.6% 10.0% 27.2% 43.5% 42.4% 6.0% 0.1% 1.8M -41.0M -297.8K 1.56 21.15 N/A N/A 24,192 37,856 427,776 302,592 2014-03-04 $3.33 $2.22 25.6% 10.0% 20.8% 27.9% 0.0% 4.8% 1.1% 2.9M -59.4M -290.0K 1.15 7.66 N/A N/A 13,440 15,392 436,352 301,408 2014-03-05 $3.35 $2.22 24.6% 9.9% 20.7% 22.4% 40.3% 4.4% 1.6% 3.0M -61.7M -289.4K 0.77 15.39 N/A N/A 11,040 8,480 439,648 313,664 2014-03-06 $3.34 $2.22 24.3% 10.0% 20.5% 21.2% 0.0% 4.8% 1.8% 3.0M -60.7M -291.4K 1.49 25.85 N/A N/A 8,928 13,312 448,128 320,320 2014-03-07 $3.30 $2.22 24.4% 10.2% 20.4% 21.4% 0.0% 6.2% 2.2% 2.6M -52.3M -295.6K 0.63 13.92 N/A N/A 37,152 23,392 452,096 326,272 2014-03-10 $3.31 $2.22 24.8% 10.1% 17.2% 23.5% 0.0% 6.0% 2.2% 3.0M -57.3M -294.1K 0.60 5.67 N/A N/A 16,832 10,016 478,336 333,824 2014-03-11 $3.28 $2.22 25.6% 10.1% 17.5% 27.8% 0.0% 6.5% 2.3% 2.8M -52.3M -290.0K 0.56 16.12 N/A N/A 16,512 9,216 487,808 334,400 2014-03-12 $3.31 $2.22 24.6% 10.1% 16.0% 22.5% 0.0% 6.3% 2.2% 3.4M -58.7M -299.5K 0.89 6.89 N/A N/A 22,048 19,712 496,192 337,248 2014-03-13 $3.21 $2.22 29.4% 10.2% 19.3% 47.7% 0.0% 6.8% 1.2% 1.9M -34.6M -298.5K 1.12 13.82 N/A N/A 25,152 28,064 500,320 349,600 2014-03-14 $3.17 $2.22 32.0% 10.5% 19.3% 61.3% 0.0% 7.8% 0.4% 1.2M -25.3M -306.1K 0.48 22.24 N/A N/A 31,904 15,424 508,128 364,000 2014-03-17 $3.23 $2.22 30.1% 10.2% 20.3% 51.1% 0.0% 7.6% 0.7% 2.2M -38.7M -290.6K 1.27 17.60 N/A N/A 25,472 32,448 523,936 369,696 2014-03-18 $3.30 $2.22 27.2% 10.3% 21.8% 36.0% 39.7% 7.2% 1.9% 4.3M -61.4M -285.0K 1.03 11.80 N/A N/A 20,096 20,640 535,008 388,576 2014-03-19 $3.27 $2.22 26.9% 10.0% 21.5% 34.5% 36.2% 6.8% 2.3% 4.0M -49.5M -285.9K 2.25 25.32 N/A N/A 8,608 19,328 542,848 398,048 2014-03-20 $3.28 $2.31 26.9% 10.1% 21.4% 34.6% 0.0% 6.7% 2.5% 5.4M -54.2M -270.9K 0.27 22.70 N/A N/A 28,480 7,616 530,208 396,576 2014-03-21 $3.20 $2.31 28.0% 10.0% 23.2% 40.1% 47.6% 7.7% 2.2% 214.7K -20.7M -269.7K 1.18 13.58 N/A N/A 50,496 59,808 523,104 397,792 2014-03-24 $3.15 $2.31 29.5% 10.4% 23.4% 48.1% 0.0% 7.7% 2.2% 202.4K -18.8M -266.8K 0.94 14.21 N/A N/A 49,600 46,624 265,600 301,856 2014-03-25 $3.17 $2.31 28.9% 10.2% 23.6% 45.2% 37.3% 6.6% 1.4% 637.1K -24.0M -276.0K 0.69 10.74 N/A N/A 40,128 27,840 293,952 308,320 2014-03-26 $3.09 $2.31 31.1% 10.5% 25.1% 56.4% 37.4% 7.5% 0.1% 357.7K -12.3M -279.5K 5.57 11.29 N/A N/A 17,824 99,232 304,288 323,232 2014-03-27 $3.05 $2.31 31.2% 10.4% 24.6% 56.9% 0.0% 7.0% -0.2% -27.4K -6.1M -285.2K 0.67 18.63 N/A N/A 35,904 24,064 309,664 371,264 2014-03-28 $3.07 $2.31 31.7% 10.2% 24.7% 59.8% 39.9% 6.8% -0.5% 46.0K -7.8M -291.2K 0.52 22.31 N/A N/A 61,120 31,744 326,016 386,016 2014-03-31 $3.11 $2.31 31.8% 10.2% 25.1% 60.3% 0.0% 6.7% -0.6% 353.6K -15.1M -286.7K 0.87 25.73 N/A N/A 42,368 36,736 327,968 387,712
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