QLD Options History — May 2014

In May 2014, QLD traded between $3.01 and $3.35. ATM implied volatility averaged 27.4%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 0.8% (HV 20d: 28.2%). Max pain ranged from $2.31 to $2.34. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-05-19: Highest Volume — 94,688 contracts
  • 2014-05-09: Largest IV drop — 13.7% change
  • 2014-05-08: Highest IV Rank — 61.5%
  • 2014-05-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.15$3.01$3.35$3.09$3.35
Max Pain$2.34$2.31$2.34$2.31$2.34
ATM IV27.4%23.5%32.2%30.7%23.7%
Expected Move9.7%9.4%10.2%10.2%9.4%
HV 20d28.2%21.0%41.8%41.8%22.5%
HV 60d30.9%30.1%31.7%31.3%31.2%
IV Rank36.8%16.7%61.5%54.1%17.8%
IV Percentile54.4%13.9%88.9%82.1%17.1%
Term Structure0.8%-0.4%1.9%-0.3%1.9%
VWIV35.7%30.2%42.9%34.3%35.6%
Skew 25d6.6%4.8%8.1%6.6%4.8%
Skew 10d12.9%9.0%15.9%12.1%9.0%
Call IV 25d24.9%21.4%27.8%27.8%21.7%
Put IV 25d31.5%26.4%35.7%34.3%26.4%
Bid-Ask Spread %17.0212.0229.7517.5514.92
Gamma HHI0.100.070.160.080.10
Net GEX1.7M653.4K3.2M1.5M1.8M
Net DEX-44.8M-77.8M-18.7M-34.5M-77.0M
Net VEX-301.3K-327.3K-277.7K-281.9K-308.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.232.330.351.12
Total Volume45,479.61911,71294,68827,00825,472
Total OI738,008.381599,776819,328679,840759,904

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$3.09$2.3130.7%10.2%41.8%54.1%0.0%6.6%-0.3%1.5M-34.5M-281.9K0.3517.55N/AN/A20,0007,008391,584288,256
2014-05-02$3.08$2.3129.4%9.9%41.5%47.0%0.0%6.7%1.0%1.6M-34.5M-284.9K0.8715.14N/AN/A16,35214,208401,408289,888
2014-05-05$3.11$2.3129.3%9.7%36.4%46.5%34.3%7.6%0.5%1.8M-38.8M-277.7K2.3316.24N/AN/A14,27233,312406,848293,088
2014-05-06$3.03$2.3431.9%10.0%37.1%59.9%36.7%8.1%0.5%1.1M-24.8M-297.1K1.7615.16N/AN/A12,73622,464411,936313,504
2014-05-07$3.01$2.3431.9%9.9%36.7%59.9%32.8%8.1%-0.3%841.8K-19.2M-290.1K2.0515.03N/AN/A25,31251,840417,024319,968
2014-05-08$3.01$2.3432.2%10.0%34.4%61.5%42.9%8.0%-0.4%653.4K-18.7M-294.8K1.0316.41N/AN/A38,40039,552425,184331,264
2014-05-09$3.03$2.3427.8%9.9%25.6%38.7%0.0%7.9%-0.1%1.2M-25.2M-301.6K0.7018.98N/AN/A24,67217,312448,320335,136
2014-05-12$3.13$2.3428.6%9.6%25.8%42.9%30.2%6.8%0.1%2.8M-49.2M-293.0K0.6616.05N/AN/A35,87223,840458,560330,656
2014-05-13$3.13$2.3425.8%9.7%25.5%28.5%30.4%6.9%0.9%3.2M-49.9M-295.6K0.8021.80N/AN/A14,24011,328461,888345,248
2014-05-14$3.10$2.3425.7%9.9%26.0%27.9%37.5%7.3%1.0%2.7M-41.5M-296.6K0.8713.61N/AN/A10,2408,928467,488351,840
2014-05-15$3.05$2.3429.0%9.7%25.3%45.1%0.0%7.1%0.6%1.6M-29.1M-292.5K1.9316.59N/AN/A19,80838,272449,376342,592
2014-05-16$3.09$2.3427.7%9.7%25.7%38.1%0.0%6.8%0.9%1.2M-37.2M-288.8K0.5717.75N/AN/A50,72029,120456,512358,496
2014-05-19$3.14$2.3427.2%9.8%25.6%35.7%0.0%6.6%0.7%967.1K-36.6M-297.1K0.2314.62N/AN/A76,89617,792314,656285,120
2014-05-20$3.11$2.3427.2%9.7%25.2%35.8%42.6%6.4%0.8%1.5M-39.2M-327.3K1.9312.02N/AN/A13,24825,632372,992297,664
2014-05-21$3.17$2.3425.7%9.6%25.0%28.1%0.0%5.6%0.9%1.7M-47.5M-326.3K1.6213.96N/AN/A11,42418,560381,856314,432
2014-05-22$3.20$2.3425.6%9.6%24.3%27.2%0.0%6.0%1.3%1.6M-52.6M-325.5K0.8114.42N/AN/A12,0969,824383,776324,512
2014-05-23$3.25$2.3423.7%9.4%21.0%17.8%0.0%5.9%1.9%1.9M-60.2M-318.7K0.9629.75N/AN/A16,48015,840389,248328,992
2014-05-27$3.33$2.3423.5%9.4%22.3%16.7%36.2%5.3%1.5%2.0M-75.9M-303.4K0.3818.62N/AN/A57,60022,112400,064339,040
2014-05-28$3.31$2.3424.8%9.5%22.3%23.2%33.4%5.2%1.3%1.8M-71.3M-318.6K0.9916.42N/AN/A20,38420,192399,808350,112
2014-05-29$3.35$2.3424.2%9.5%22.5%20.0%0.0%5.2%1.6%1.7M-77.8M-306.7K1.1522.43N/AN/A5,4406,272405,440354,496
2014-05-30$3.35$2.3423.7%9.4%22.5%17.8%35.6%4.8%1.9%1.8M-77.0M-308.3K1.1214.92N/AN/A12,03213,440403,840356,064