QLD Options History — June 2014

In June 2014, QLD traded between $3.34 and $3.55. ATM implied volatility averaged 22.4%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.1% (HV 20d: 16.3%). Max pain ranged from $2.34 to $2.34. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2014-06-05: Highest Volume — 53,696 contracts
  • 2014-06-12: Largest IV spike — 16.3% change
  • 2014-06-12: Highest IV Rank — 25.6%
  • 2014-06-03: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.45$3.34$3.55$3.34$3.55
Max Pain$2.34$2.34$2.34$2.34$2.34
ATM IV22.4%19.2%25.2%24.5%19.8%
Expected Move9.3%8.9%9.6%9.5%9.0%
HV 20d16.3%11.4%22.5%22.5%11.4%
HV 60d29.8%27.8%31.3%31.2%27.8%
IV Rank11.4%0.0%25.6%22.0%2.8%
IV Percentile12.0%0.0%41.7%27.4%0.8%
Term Structure3.3%0.8%5.3%1.5%2.5%
VWIV33.2%22.7%39.7%32.9%39.7%
Skew 25d4.9%2.7%5.7%4.7%4.4%
Skew 10d10.2%6.5%15.5%9.8%9.4%
Call IV 25d20.7%17.3%22.9%22.6%17.7%
Put IV 25d25.6%21.0%28.2%27.3%22.2%
Bid-Ask Spread %16.2012.8726.8812.8722.78
Gamma HHI0.110.070.170.100.08
Net GEX1.8M1.2M3.2M1.8M1.4M
Net DEX-85.8M-102.3M-66.4M-75.3M-78.7M
Net VEX-269.1K-309.9K-232.1K-305.6K-232.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.114.911.070.22
Total Volume26,0488,19253,69621,50442,048
Total OI802,259.81679,072887,552772,448722,528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$3.34$2.3424.5%9.5%22.5%22.0%0.0%4.7%1.5%1.8M-75.3M-305.6K1.0712.87N/AN/A10,36811,136408,384364,064
2014-06-03$3.34$2.3424.5%9.6%22.4%21.9%32.9%5.0%1.2%1.8M-74.0M-309.9K1.0813.39N/AN/A5,8566,336411,360371,040
2014-06-04$3.36$2.3424.3%9.3%19.4%20.9%0.0%5.2%1.2%1.7M-79.3M-300.0K0.6715.55N/AN/A18,68812,480411,872373,568
2014-06-05$3.42$2.3423.4%9.3%19.4%16.3%34.9%5.0%2.4%1.8M-90.5M-289.9K0.3614.63N/AN/A39,42414,272424,704382,944
2014-06-06$3.46$2.3422.1%9.2%19.2%9.2%32.1%5.6%3.9%1.9M-97.9M-285.6K0.5013.30N/AN/A31,77615,840431,488389,952
2014-06-09$3.45$2.3422.3%9.3%19.4%10.6%34.2%5.6%3.5%1.8M-96.9M-287.3K1.9715.27N/AN/A5,66411,136439,808398,624
2014-06-10$3.46$2.3422.3%9.3%17.1%10.5%22.7%4.7%4.0%1.8M-99.5M-271.1K0.6314.71N/AN/A9,1525,792439,552401,984
2014-06-11$3.46$2.3421.7%9.2%17.1%7.4%0.0%5.0%4.1%1.9M-97.5M-279.7K2.0912.96N/AN/A4,4489,312443,872406,880
2014-06-12$3.40$2.3425.2%9.3%18.1%25.6%30.7%5.4%3.1%1.9M-86.7M-289.3K0.8916.20N/AN/A17,08815,264446,240413,664
2014-06-13$3.42$2.3424.2%9.1%16.5%20.4%0.0%4.9%4.4%2.0M-91.7M-278.2K0.8915.28N/AN/A13,76012,224452,608415,872
2014-06-16$3.43$2.3424.0%9.3%16.3%19.3%0.0%5.4%4.7%2.0M-91.6M-281.6K0.4618.28N/AN/A8,4803,936458,528423,424
2014-06-17$3.43$2.3424.0%9.4%16.0%19.1%0.0%5.4%4.5%2.1M-94.4M-277.0K2.6313.03N/AN/A5,82415,296462,112425,440
2014-06-18$3.47$2.3422.7%9.2%15.5%12.7%0.0%5.7%3.5%2.4M-102.3M-264.6K0.9417.17N/AN/A7,6167,136462,528421,760
2014-06-19$3.47$2.3422.1%9.3%14.9%9.2%0.0%5.6%5.3%2.4M-96.6M-245.0K0.7126.88N/AN/A26,11218,560438,656415,616
2014-06-20$3.47$2.3421.3%9.2%14.9%5.0%31.7%5.0%5.3%3.2M-97.9M-246.2K0.1115.06N/AN/A47,3925,152452,832426,304
2014-06-23$3.47$2.3420.4%9.2%14.4%0.8%38.7%4.4%3.5%1.2M-66.4M-243.5K0.5814.53N/AN/A13,4407,744344,672334,400
2014-06-24$3.47$2.3420.7%9.4%12.0%2.2%33.1%4.4%3.9%1.3M-66.6M-244.3K0.7914.40N/AN/A15,39212,192353,536339,776
2014-06-25$3.51$2.3420.9%9.2%12.0%3.0%36.9%3.6%0.8%1.3M-70.9M-239.7K2.3225.14N/AN/A2,4645,728356,832349,088
2014-06-26$3.51$2.3419.7%9.2%11.4%0.0%0.0%2.7%2.5%1.3M-71.6M-239.8K4.9113.62N/AN/A3,07215,072357,472351,328
2014-06-27$3.54$2.3419.2%8.9%11.6%0.0%31.1%4.6%2.9%1.3M-75.3M-240.5K1.5715.20N/AN/A5,5688,768358,976363,168
2014-06-30$3.55$2.3419.8%9.0%11.4%2.8%39.7%4.4%2.5%1.4M-78.7M-232.1K0.2222.78N/AN/A34,5927,456359,168363,360