QLD Options History — October 2014 In October 2014, QLD traded between $3.38 and $4.12. ATM implied volatility averaged 37.5%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 2.0% (HV 20d: 39.5%). Max pain ranged from $3.28 to $3.94. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.98.
Notable Days 2014-10-31 : Highest Volume — 191,136 contracts2014-10-09 : Largest IV spike — 25.8% change2014-10-09 : Highest IV Rank — 100.0%2014-10-16 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $3.76 $3.38 $4.12 $3.80 $4.12 Max Pain $3.72 $3.28 $3.94 $3.94 $3.41 ATM IV 37.5% 26.4% 57.3% 36.5% 26.4% Expected Move 10.0% 9.1% 11.8% 9.7% 9.3% HV 20d 39.5% 27.7% 47.5% 27.7% 45.5% HV 60d 28.3% 22.9% 32.0% 23.1% 31.6% IV Rank 64.9% 26.1% 100.0% 87.2% 26.1% IV Percentile 89.2% 56.3% 100.0% 96.8% 56.3% Term Structure -0.6% -5.9% 2.3% -0.8% 1.6% VWIV 34.1% 26.1% 36.5% 36.0% 33.8% Skew 25d 10.3% 4.3% 18.9% 10.7% 4.3% Skew 10d 19.5% 9.9% 35.2% 20.1% 9.9% Call IV 25d 30.7% 25.5% 40.8% 31.2% 26.0% Put IV 25d 41.0% 30.4% 59.7% 41.9% 30.4% Bid-Ask Spread % 37.86 23.12 50.71 29.70 23.12 Gamma HHI 0.09 0.05 0.17 0.17 0.06 Net GEX 987.0K -314.4K 2.1M 1.0M 2.1M Net DEX -39.1M -86.3M -1.2M -37.2M -86.3M Net VEX -218.2K -230.7K -203.6K -226.7K -224.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.22 1.69 0.22 0.92 Total Volume 92,055.652 7,904 191,136 28,864 191,136 Total OI 594,902.261 477,984 715,744 568,768 613,152
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $3.80 $3.94 36.5% 9.7% 27.7% 87.2% 36.0% 10.7% -0.8% 1.0M -37.2M -226.7K 0.22 29.70 N/A N/A 23,584 5,280 283,232 285,536 2014-10-02 $3.80 $3.94 34.4% 9.8% 27.7% 78.4% 0.0% 9.7% -3.6% 880.0K -36.0M -218.1K 0.33 26.46 N/A N/A 18,688 6,176 280,608 288,864 2014-10-03 $3.88 $3.94 30.5% 9.6% 28.4% 62.3% 0.0% 9.5% 1.1% 1.6M -46.9M -219.3K 0.24 45.76 N/A N/A 19,424 4,672 291,136 290,304 2014-10-06 $3.86 $3.94 33.6% 9.4% 28.4% 75.2% 26.1% 9.7% -0.2% 1.7M -46.4M -222.4K 0.87 23.62 N/A N/A 4,224 3,680 304,352 294,272 2014-10-07 $3.75 $3.94 37.3% 9.9% 29.5% 90.4% 33.8% 12.0% -0.6% 1.2M -36.2M -218.5K 0.40 36.78 N/A N/A 17,792 7,168 306,144 296,864 2014-10-08 $3.91 $3.94 33.5% 9.1% 32.8% 74.5% 30.6% 11.8% -0.5% 1.9M -55.5M -214.1K 1.22 36.96 N/A N/A 64,832 79,296 325,120 303,584 2014-10-09 $3.77 $3.94 42.1% 9.7% 35.1% 100.0% 0.0% 11.5% 0.6% 1.3M -37.5M -220.5K 0.66 34.82 N/A N/A 23,296 15,360 308,832 304,928 2014-10-10 $3.58 $3.94 43.4% 10.4% 39.0% 100.0% 35.0% 11.7% -2.7% 176.4K -17.7M -217.6K 0.55 35.91 N/A N/A 32,416 17,760 326,496 314,848 2014-10-13 $3.47 $3.94 51.9% 11.0% 39.8% 100.0% 34.4% 11.1% 1.2% -239.1K -7.5M -211.9K 0.37 37.49 N/A N/A 36,448 13,504 340,992 315,968 2014-10-14 $3.54 $3.94 57.3% 10.7% 40.1% 100.0% 35.8% 10.9% -2.6% -122.1K -16.1M -214.0K 0.98 40.54 N/A N/A 77,280 75,456 370,528 318,720 2014-10-15 $3.44 $3.94 57.1% 11.6% 41.0% 99.6% 35.9% 18.9% -5.9% -219.1K -7.7M -223.5K 1.01 44.54 N/A N/A 90,720 91,328 372,704 325,696 2014-10-16 $3.38 $3.94 46.7% 11.8% 40.3% 74.8% 36.5% 14.9% -5.6% -181.1K -1.2M -208.9K 1.49 45.84 N/A N/A 22,368 33,312 361,056 326,912 2014-10-17 $3.47 $3.91 40.6% 11.1% 42.1% 60.0% 36.2% 12.3% -2.2% -314.4K -8.6M -203.9K 1.07 43.87 N/A N/A 17,824 19,008 371,200 344,544 2014-10-20 $3.58 $3.91 39.3% 10.7% 43.9% 56.9% 35.7% 9.6% 1.6% 642.0K -24.0M -207.9K 1.07 50.71 N/A N/A 77,600 83,072 239,840 238,144 2014-10-21 $3.75 $3.28 31.2% 10.0% 47.5% 37.7% 34.7% 9.1% 0.1% 1.2M -40.3M -223.2K 1.51 42.53 N/A N/A 62,720 94,912 263,296 242,432 2014-10-22 $3.72 $3.28 35.3% 10.3% 46.7% 47.4% 34.7% 10.8% -1.0% 1.1M -42.5M -230.7K 1.57 30.17 N/A N/A 56,608 88,896 273,312 259,712 2014-10-23 $3.83 $3.28 33.3% 9.4% 45.8% 42.7% 33.8% 9.8% 0.4% 1.3M -50.9M -229.1K 1.50 36.39 N/A N/A 60,928 91,520 278,208 262,656 2014-10-24 $3.89 $3.47 33.0% 9.3% 45.4% 41.8% 33.3% 8.0% 0.7% 1.4M -54.7M -225.2K 1.59 39.17 N/A N/A 55,200 88,000 282,560 265,952 2014-10-27 $3.90 $3.47 31.8% 9.8% 45.4% 39.1% 34.6% 7.9% -0.6% 1.4M -51.1M -223.9K 1.69 41.45 N/A N/A 4,192 7,104 269,568 267,552 2014-10-28 $4.02 $3.47 28.8% 9.2% 46.6% 31.9% 33.4% 7.2% 2.3% 1.6M -60.9M -203.6K 0.49 40.00 N/A N/A 13,984 6,848 267,360 270,144 2014-10-29 $3.99 $3.41 28.8% 9.5% 45.0% 31.9% 33.6% 7.4% 2.0% 1.6M -65.0M -215.9K 1.44 50.61 N/A N/A 60,416 86,912 289,248 273,984 2014-10-30 $4.00 $3.41 29.8% 9.1% 45.0% 34.3% 33.3% 7.2% 0.7% 1.7M -68.6M -215.5K 1.23 34.24 N/A N/A 74,656 91,680 296,704 275,488 2014-10-31 $4.12 $3.41 26.4% 9.3% 45.5% 26.1% 33.8% 4.3% 1.6% 2.1M -86.3M -224.9K 0.92 23.12 N/A N/A 99,744 91,392 329,408 283,744
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