QLD Options History — September 2014

In September 2014, QLD traded between $3.84 and $4.03. ATM implied volatility averaged 25.6%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.9% (HV 20d: 16.8%). Max pain ranged from $3.94 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2014-09-19: Highest Volume — 65,632 contracts
  • 2014-09-22: Largest IV spike — 21.9% change
  • 2014-09-29: Highest IV Rank — 72.1%
  • 2014-09-30: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.97$3.84$4.03$4.02$3.93
Max Pain$3.97$3.94$4.00$4.00$3.94
ATM IV25.6%20.5%32.9%20.5%31.7%
Expected Move8.6%8.1%9.1%8.1%9.1%
HV 20d16.8%12.0%25.8%13.3%25.5%
HV 60d20.1%18.5%22.7%18.6%22.6%
IV Rank42.1%20.8%72.1%20.8%67.1%
IV Percentile46.1%4.0%92.1%4.0%86.5%
Term Structure2.3%-2.6%5.2%2.7%-1.2%
VWIV31.8%29.7%36.3%29.7%33.2%
Skew 25d7.2%3.6%11.2%4.8%9.7%
Skew 10d14.3%9.5%22.0%11.3%22.0%
Call IV 25d22.8%19.1%28.7%19.1%27.5%
Put IV 25d30.0%23.8%38.5%23.8%37.2%
Bid-Ask Spread %32.1922.5650.8031.3150.80
Gamma HHI0.130.090.210.090.21
Net GEX1.8M782.4K2.6M2.1M1.4M
Net DEX-63.4M-80.7M-42.3M-72.7M-49.5M
Net VEX-219.5K-234.8K-198.8K-225.8K-222.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.333.540.750.79
Total Volume20,836.5717,68065,6329,02411,136
Total OI587,399.619487,968674,752580,256562,208

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$4.02$4.0020.5%8.1%13.3%20.8%0.0%4.8%2.7%2.1M-72.7M-225.8K0.7531.31N/AN/A5,1523,872295,232285,024
2014-09-03$3.97$4.0022.6%8.6%12.8%29.4%29.7%5.1%4.9%2.0M-68.2M-234.8K3.5426.91N/AN/A2,5929,184297,600287,744
2014-09-04$3.96$4.0022.3%8.4%12.8%28.2%0.0%5.3%3.0%2.0M-67.5M-234.1K0.5032.61N/AN/A10,1445,088298,144292,128
2014-09-05$4.00$4.0021.8%8.4%12.3%25.9%0.0%6.5%5.2%2.2M-71.7M-229.5K2.2526.64N/AN/A2,5605,760303,616296,096
2014-09-08$4.02$4.0022.2%8.5%12.0%27.9%0.0%6.4%4.0%2.3M-73.7M-227.7K0.5622.56N/AN/A11,1686,272304,384297,504
2014-09-09$3.95$4.0023.1%8.6%13.9%31.6%0.0%7.6%5.1%2.1M-67.1M-229.3K0.8128.36N/AN/A8,7687,136306,848300,256
2014-09-10$4.01$4.0024.6%8.4%14.4%37.8%0.0%3.6%3.2%2.5M-75.2M-216.6K0.9229.70N/AN/A5,4084,992309,856303,264
2014-09-11$4.01$4.0023.7%8.4%13.0%33.9%0.0%6.9%3.3%2.6M-74.7M-220.1K1.6032.67N/AN/A4,0326,432312,928307,584
2014-09-12$3.97$4.0026.3%8.4%13.7%44.6%0.0%7.8%3.9%2.2M-67.3M-230.5K2.4627.26N/AN/A4,19210,304314,080310,848
2014-09-15$3.89$4.0026.4%8.8%15.6%45.2%0.0%8.5%1.8%1.9M-55.5M-223.5K2.5929.32N/AN/A9,85625,536314,816317,280
2014-09-16$3.96$4.0026.9%8.5%15.8%47.3%30.0%7.7%0.6%1.9M-64.3M-223.4K0.3327.84N/AN/A36,92812,224316,864335,520
2014-09-17$3.97$4.0024.9%8.5%15.4%38.8%36.3%5.0%2.7%2.5M-73.0M-214.4K0.9347.17N/AN/A7,2006,720332,224342,528
2014-09-18$4.03$3.9423.4%8.2%16.1%32.5%31.1%5.7%2.9%2.1M-80.7M-198.8K0.7225.23N/AN/A18,27213,152319,840324,544
2014-09-19$4.02$3.9422.1%8.2%16.2%27.2%0.0%7.4%4.7%2.1M-79.7M-205.1K0.3929.39N/AN/A47,29618,336328,448335,360
2014-09-22$3.95$3.9426.9%8.6%17.5%47.3%0.0%7.1%1.2%782.4K-49.3M-208.9K0.4242.10N/AN/A20,8648,800237,024250,944
2014-09-23$3.93$3.9427.0%8.8%17.4%47.6%0.0%8.9%1.5%957.9K-49.1M-216.5K2.2040.75N/AN/A2,4005,280249,856255,808
2014-09-24$4.01$3.9427.4%8.8%19.0%49.3%31.4%7.6%2.7%1.0M-55.8M-199.6K0.5831.55N/AN/A8,4484,928249,440258,048
2014-09-25$3.84$3.9432.3%9.1%24.4%69.6%0.0%11.2%-2.6%838.4K-42.3M-221.7K2.1437.39N/AN/A6,84814,688253,600261,568
2014-09-26$3.93$3.9429.8%8.8%25.8%59.3%31.0%7.9%-0.6%932.3K-47.1M-212.3K0.5029.90N/AN/A7,3603,680255,392274,144
2014-09-29$3.92$3.9432.9%9.1%25.6%72.1%33.2%9.8%-1.0%947.6K-46.9M-213.6K0.3626.55N/AN/A25,3769,184259,808276,992
2014-09-30$3.93$3.9431.7%9.1%25.5%67.1%0.0%9.7%-1.2%1.4M-49.5M-222.9K0.7950.80N/AN/A6,2084,928279,104283,104