QLD Options History — August 2014

In August 2014, QLD traded between $3.57 and $4.00. ATM implied volatility averaged 24.7%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.8% (HV 20d: 22.9%). Max pain ranged from $2.34 to $4.22. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2014-08-18: Highest Volume — 79,872 contracts
  • 2014-08-04: Largest IV drop — 14.6% change
  • 2014-08-01: Highest IV Rank — 70.1%
  • 2014-08-08: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.79$3.57$4.00$3.60$4.00
Max Pain$3.07$2.34$4.22$2.34$4.00
ATM IV24.7%19.6%32.4%32.4%20.7%
Expected Move9.0%8.2%9.8%9.4%8.3%
HV 20d22.9%13.6%26.5%26.1%13.6%
HV 60d19.5%18.7%20.8%20.4%18.7%
IV Rank38.2%17.0%70.1%70.1%21.5%
IV Percentile35.4%2.0%90.9%90.9%4.0%
Term Structure1.9%-3.2%4.4%-3.2%2.1%
VWIV29.1%21.6%34.2%34.2%28.0%
Skew 25d6.3%4.2%9.2%9.2%4.2%
Skew 10d12.9%8.2%18.4%16.2%8.2%
Call IV 25d22.3%18.2%28.3%26.2%19.2%
Put IV 25d28.6%22.6%36.1%35.4%23.5%
Bid-Ask Spread %37.0120.5349.2348.4939.19
Gamma HHI0.120.100.170.120.10
Net GEX1.4M127.3K2.4M255.0K2.2M
Net DEX-54.8M-75.7M-26.4M-31.4M-69.4M
Net VEX-246.8K-267.0K-220.9K-257.6K-232.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.082.912.911.32
Total Volume23,733.3334,60879,87226,40012,480
Total OI584,827.429526,848639,360542,784577,248

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$3.60$2.3432.4%9.4%26.1%70.1%0.0%9.2%-3.2%255.0K-31.4M-257.6K2.9148.49N/AN/A6,75219,648262,464280,320
2014-08-04$3.65$2.3427.7%9.6%26.5%50.5%34.2%5.6%2.2%417.9K-36.8M-256.5K0.9347.72N/AN/A5,1524,768266,464297,184
2014-08-05$3.59$2.3429.5%9.6%25.6%58.0%21.6%8.5%1.4%160.3K-29.5M-261.5K0.5548.45N/AN/A23,04012,640269,344298,848
2014-08-06$3.59$2.3432.3%9.7%25.1%69.7%0.0%8.3%1.9%245.5K-29.6M-267.0K1.1144.47N/AN/A4,2244,672285,728307,296
2014-08-07$3.57$2.3430.6%9.7%25.1%62.6%0.0%7.8%0.6%127.3K-26.4M-260.9K0.3232.01N/AN/A13,5044,256289,280309,728
2014-08-08$3.62$2.3429.7%9.8%25.2%59.1%0.0%7.1%0.6%332.7K-33.4M-255.4K0.0848.59N/AN/A41,6643,424293,952310,080
2014-08-11$3.66$2.3427.4%9.7%25.1%49.5%0.0%7.3%1.4%1.1M-42.3M-265.4K0.9633.65N/AN/A7,9047,584318,336310,496
2014-08-12$3.65$2.3427.1%9.7%25.0%48.1%34.1%7.0%0.8%1.1M-40.2M-258.8K0.9535.99N/AN/A2,3682,240321,472314,752
2014-08-13$3.73$2.3424.0%9.4%26.1%35.3%0.0%5.0%0.9%2.0M-55.9M-243.9K0.3249.23N/AN/A16,4485,184322,880316,480
2014-08-14$3.77$2.3424.2%9.3%24.2%36.2%33.6%5.7%1.7%2.4M-60.8M-225.3K0.3439.64N/AN/A14,0484,736315,936305,408
2014-08-15$3.81$2.3423.9%9.3%22.1%35.0%0.0%6.6%1.6%2.1M-66.5M-220.9K0.4549.06N/AN/A41,95218,848321,568308,960
2014-08-18$3.87$0.0022.3%8.4%22.6%28.0%0.0%6.0%2.7%1.8M-61.1M-235.4K0.2938.90N/AN/A61,95217,920286,464240,384
2014-08-19$3.91$0.0021.4%8.3%22.4%24.2%28.4%6.4%2.4%1.6M-64.3M-230.1K1.7322.67N/AN/A5,82410,048275,872253,600
2014-08-20$3.91$3.9721.6%8.4%22.1%25.0%26.6%6.2%2.3%1.5M-64.7M-237.3K0.2420.53N/AN/A20,0964,800280,384261,760
2014-08-21$3.93$4.0020.4%8.4%22.1%20.4%28.3%6.0%3.7%1.9M-68.5M-250.3K0.3022.10N/AN/A13,8244,096298,208265,120
2014-08-22$3.94$4.2221.4%8.4%21.7%24.5%0.0%6.0%2.4%1.9M-70.9M-251.7K0.7121.27N/AN/A4,5443,232305,856266,528
2014-08-25$3.97$4.2221.2%8.2%21.8%23.5%27.7%5.6%2.7%2.1M-74.9M-242.3K0.4441.89N/AN/A18,8808,352306,944268,416
2014-08-26$3.98$4.2220.7%8.2%21.7%21.6%29.6%4.3%4.0%2.1M-75.5M-244.0K0.7432.80N/AN/A6,2724,672310,784274,176
2014-08-27$3.98$4.0019.6%8.3%21.6%17.0%28.0%4.4%4.4%2.2M-75.7M-246.0K0.2422.33N/AN/A18,2404,416313,664277,248
2014-08-28$3.96$4.0020.7%8.3%14.3%21.7%0.0%4.8%3.6%2.0M-73.7M-239.9K0.5238.29N/AN/A8,9924,704311,936279,808
2014-08-29$4.00$4.0020.7%8.3%13.6%21.5%28.0%4.2%2.1%2.2M-69.4M-232.9K1.3239.19N/AN/A5,3767,104294,048283,200