QLD Options History — April 2014

In April 2014, QLD traded between $2.85 and $3.23. ATM implied volatility averaged 33.7%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 4.8% (HV 20d: 38.5%). Max pain ranged from $2.31 to $2.34. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2014-04-10: Highest Volume — 148,384 contracts
  • 2014-04-04: Largest IV spike — 22.7% change
  • 2014-04-11: Highest IV Rank — 100.0%
  • 2014-04-08: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.03$2.85$3.23$3.22$3.07
Max Pain$2.34$2.31$2.34$2.34$2.31
ATM IV33.7%27.6%39.6%27.8%31.9%
Expected Move10.2%9.8%10.6%9.9%9.8%
HV 20d38.5%26.6%43.7%26.6%41.8%
HV 60d32.0%28.6%33.7%28.7%31.3%
IV Rank69.8%38.0%100.0%39.5%60.4%
IV Percentile91.0%70.2%100.0%73.0%88.5%
Term Structure-1.2%-3.7%1.5%1.1%-0.8%
VWIV35.6%21.1%41.6%41.6%37.4%
Skew 25d7.5%4.5%9.8%5.5%7.1%
Skew 10d14.5%9.5%18.2%10.0%12.8%
Call IV 25d30.2%25.4%35.1%25.7%28.9%
Put IV 25d37.7%30.2%44.9%31.2%36.0%
Bid-Ask Spread %26.616.8037.326.8022.58
Gamma HHI0.080.050.400.110.07
Net GEX621.7K-818.3K2.6M1.0M1.3M
Net DEX-12.7M-40.4M26.0M-36.3M-30.1M
Net VEX-280.9K-305.2K-257.9K-300.0K-285.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.153.110.151.01
Total Volume69,412.57121,312148,384103,84021,312
Total OI809,455.238516,4481,111,680790,880670,976

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$3.22$2.3427.8%9.9%26.6%39.5%0.0%5.5%1.1%1.0M-36.3M-300.0K0.156.80N/AN/A90,04813,792362,976427,904
2014-04-02$3.23$2.3427.6%9.8%26.6%38.0%0.0%4.8%1.4%1.2M-40.4M-304.7K1.8425.78N/AN/A12,00022,112377,024432,352
2014-04-03$3.18$2.3428.8%10.1%27.0%44.3%0.0%4.5%0.5%739.8K-28.5M-305.2K1.2823.36N/AN/A19,39224,832379,872441,120
2014-04-04$3.01$2.3435.3%10.3%32.9%78.4%41.6%8.7%1.5%-334.7K2.4M-286.3K1.1824.23N/AN/A45,02452,928387,200428,960
2014-04-07$2.96$2.3437.9%10.4%33.2%92.2%37.2%7.3%-1.6%-661.5K12.9M-276.9K0.2230.58N/AN/A81,66418,048397,376437,504
2014-04-08$3.01$2.3434.6%10.6%34.1%74.8%0.0%8.0%-1.9%-240.2K3.2M-285.2K1.3926.09N/AN/A24,09633,408443,648441,760
2014-04-09$3.11$2.3430.9%10.1%36.6%55.4%0.0%7.2%0.2%1.4M-24.9M-288.5K0.4420.47N/AN/A34,33615,040461,152437,856
2014-04-10$2.92$2.3436.6%10.4%41.7%85.1%21.1%8.4%-1.7%-476.1K14.9M-268.9K0.2628.22N/AN/A117,40830,976468,704440,224
2014-04-11$2.85$2.3439.6%10.6%42.1%100.0%36.7%9.8%-3.7%-818.3K26.0M-268.2K0.5632.47N/AN/A51,36028,864551,424447,360
2014-04-14$2.90$2.3437.9%10.3%41.9%91.0%0.0%8.3%-3.6%-572.6K17.5M-257.9K0.8329.91N/AN/A45,34437,504579,936456,128
2014-04-15$2.92$2.3438.9%10.4%40.7%96.5%0.0%8.8%-3.4%-139.1K11.7M-267.2K1.6230.42N/AN/A47,71277,312600,832468,608
2014-04-16$2.99$2.3436.1%10.6%42.2%81.8%0.0%8.6%-2.9%1.1M-9.1M-271.9K0.6820.02N/AN/A46,59231,904603,328475,360
2014-04-17$2.99$2.3433.7%10.3%42.1%69.5%0.0%8.1%-0.9%2.6M-11.1M-265.5K0.3329.18N/AN/A44,96014,816617,888493,792
2014-04-21$3.04$2.3433.3%10.2%42.0%67.2%38.1%7.7%-1.6%672.0K-21.7M-265.1K0.3036.64N/AN/A57,95217,408296,000220,448
2014-04-22$3.09$2.3430.7%10.0%42.1%53.9%37.1%7.0%-0.5%1.2M-31.2M-278.1K0.2337.32N/AN/A58,62413,600335,712235,296
2014-04-23$3.03$2.3432.9%10.3%42.4%65.1%37.4%7.9%-1.2%1.2M-26.0M-281.6K3.1133.56N/AN/A9,56829,728358,816238,560
2014-04-24$3.09$2.3131.5%10.0%42.1%57.9%0.0%7.1%-1.1%1.2M-30.2M-286.6K0.4524.35N/AN/A30,40013,632359,744265,120
2014-04-25$2.99$2.3134.1%10.4%43.6%71.4%0.0%8.2%-1.7%723.2K-16.9M-285.1K1.4925.72N/AN/A21,69632,352371,232274,400
2014-04-28$3.01$2.3134.8%10.1%43.6%75.3%0.0%6.9%-1.6%941.9K-20.9M-283.0K0.8323.38N/AN/A30,08025,056376,320275,200
2014-04-29$3.06$2.3133.3%10.0%43.7%67.3%0.0%7.4%-1.3%1.2M-27.6M-287.3K0.8427.80N/AN/A18,88015,904381,152279,296
2014-04-30$3.07$2.3131.9%9.8%41.8%60.4%0.0%7.1%-0.8%1.3M-30.1M-285.9K1.0122.58N/AN/A10,62410,688386,304284,672