QLD Options History — July 2014

In July 2014, QLD traded between $3.58 and $3.80. ATM implied volatility averaged 22.6%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.1% (HV 20d: 18.5%). Max pain ranged from $2.34 to $2.34. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.41.

Notable Days

  • 2014-07-01: Highest Volume — 74,144 contracts
  • 2014-07-31: Largest IV spike — 34.1% change
  • 2014-07-31: Highest IV Rank — 61.7%
  • 2014-07-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.69$3.58$3.80$3.63$3.63
Max Pain$2.34$2.34$2.34$2.34$2.34
ATM IV22.6%15.5%30.4%19.4%30.4%
Expected Move9.0%8.7%9.6%8.8%9.6%
HV 20d18.5%12.5%26.4%13.1%26.4%
HV 60d20.7%19.0%25.4%25.4%20.4%
IV Rank28.3%0.0%61.7%1.0%61.7%
IV Percentile21.5%0.0%82.5%0.4%82.5%
Term Structure2.2%-1.1%4.9%1.0%-1.1%
VWIV32.4%25.0%40.7%40.7%28.8%
Skew 25d5.7%2.0%9.5%4.4%9.5%
Skew 10d11.2%5.3%15.7%9.5%13.2%
Call IV 25d20.5%16.0%25.6%16.9%25.6%
Put IV 25d26.2%18.0%35.1%21.3%35.1%
Bid-Ask Spread %34.1815.2752.0718.8643.68
Gamma HHI0.170.120.300.120.15
Net GEX1.4M65.6K2.2M2.0M65.6K
Net DEX-70.9M-97.6M-31.4M-92.8M-31.4M
Net VEX-235.3K-258.6K-222.0K-239.7K-258.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.2017.460.822.68
Total Volume25,243.6365,24874,14474,14446,720
Total OI671,204.364470,144805,952751,168546,048

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$3.63$2.3419.4%8.8%13.1%1.0%0.0%4.4%1.0%2.0M-92.8M-239.7K0.8218.86N/AN/A40,83233,312382,272368,896
2014-07-02$3.64$2.3417.3%8.8%13.1%0.0%40.7%3.0%4.0%1.9M-91.0M-235.4K0.4220.19N/AN/A18,1767,648383,872382,080
2014-07-03$3.69$2.3415.5%8.7%12.5%0.0%30.4%2.0%4.9%2.1M-97.6M-222.0K1.9716.51N/AN/A4,6089,088384,480384,224
2014-07-07$3.66$2.3419.2%8.9%12.6%15.3%35.6%5.7%2.6%1.9M-89.8M-225.2K1.3319.38N/AN/A10,56014,048374,880389,600
2014-07-08$3.58$2.3421.9%9.0%15.8%26.3%29.8%5.4%2.1%1.6M-74.6M-245.1K1.7315.27N/AN/A16,00027,616379,168391,296
2014-07-09$3.63$2.3421.9%9.0%16.4%26.5%0.0%6.5%3.8%1.9M-83.8M-227.4K0.3843.42N/AN/A13,8885,312379,200396,384
2014-07-10$3.61$2.3424.6%9.2%16.7%37.9%33.5%7.8%0.7%1.7M-78.7M-238.1K1.7329.93N/AN/A11,93620,640380,000396,864
2014-07-11$3.65$2.3423.7%8.9%15.4%34.0%25.0%5.6%2.6%1.9M-85.4M-230.5K0.2024.55N/AN/A26,1125,344383,872407,200
2014-07-14$3.70$2.3423.3%8.9%15.7%32.3%35.5%6.1%2.6%1.9M-92.2M-231.4K0.4119.65N/AN/A11,9364,864381,024410,176
2014-07-15$3.67$2.3425.3%8.9%16.2%40.6%0.0%5.6%2.2%2.1M-87.6M-235.5K1.1025.47N/AN/A9,92010,880382,144413,344
2014-07-16$3.70$2.3423.9%8.8%16.2%34.9%32.7%5.5%2.2%2.0M-94.1M-230.7K1.0222.83N/AN/A5,7925,920383,648422,304
2014-07-17$3.60$2.3427.3%9.1%19.1%48.9%31.7%8.8%1.8%1.4M-69.7M-226.7K0.6827.80N/AN/A18,84812,768362,944412,000
2014-07-18$3.71$2.3422.4%9.1%21.5%28.7%33.9%5.8%2.2%2.2M-88.2M-236.8K0.4125.77N/AN/A32,06413,184371,072418,528
2014-07-21$3.70$2.3424.7%9.1%21.6%38.1%0.0%5.3%0.3%825.0K-45.7M-230.2K2.7144.30N/AN/A8,22422,304241,056229,088
2014-07-22$3.75$2.3422.5%9.1%21.9%29.1%30.4%5.3%2.7%853.7K-50.0M-238.9K1.4150.12N/AN/A4,6406,528247,552249,984
2014-07-23$3.80$2.3421.3%9.0%22.0%23.9%33.2%4.9%1.6%908.0K-54.2M-235.2K0.8848.29N/AN/A7,4566,560249,408254,688
2014-07-24$3.79$2.3421.6%9.1%21.9%25.3%28.8%6.1%2.9%920.2K-53.9M-238.4K2.0951.29N/AN/A1,6963,552252,032258,880
2014-07-25$3.76$2.3421.5%9.0%22.4%25.0%0.0%5.0%2.8%932.8K-50.0M-239.5K1.8151.21N/AN/A1,8883,424253,536261,216
2014-07-28$3.76$2.3422.5%9.2%22.3%29.2%0.0%4.9%2.3%1.1M-50.5M-234.3K17.4652.07N/AN/A1,53626,816254,848262,272
2014-07-29$3.75$2.3423.5%9.2%22.4%33.3%0.0%7.1%1.5%332.5K-47.6M-240.5K9.6751.97N/AN/A1,34412,992255,264286,784
2014-07-30$3.78$2.3422.7%9.1%21.4%29.7%0.0%5.7%1.8%411.6K-50.2M-236.3K2.1649.28N/AN/A2,6565,728256,352286,016
2014-07-31$3.63$2.3430.4%9.6%26.4%61.7%0.0%9.5%-1.1%65.6K-31.4M-258.6K2.6843.68N/AN/A12,70434,016256,960289,088