QLD Options History — November 2014

In November 2014, QLD traded between $4.11 and $4.49. ATM implied volatility averaged 25.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.5% (HV 20d: 25.6%). Max pain ranged from $3.28 to $3.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.32.

Notable Days

  • 2014-11-03: Highest Volume — 182,432 contracts
  • 2014-11-12: Largest IV spike — 12.8% change
  • 2014-11-04: Highest IV Rank — 32.3%
  • 2014-11-03: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.25$4.11$4.49$4.14$4.49
Max Pain$3.41$3.28$3.50$3.47$3.28
ATM IV25.1%21.4%29.0%28.7%22.4%
Expected Move9.0%8.6%9.7%9.7%8.8%
HV 20d25.6%13.5%45.4%45.4%13.6%
HV 60d31.3%31.0%31.5%31.5%31.4%
IV Rank23.0%14.2%32.3%31.7%16.5%
IV Percentile41.3%9.1%71.4%68.7%16.7%
Term Structure1.8%-0.3%4.3%-0.3%1.4%
VWIV33.2%29.2%38.2%33.2%29.2%
Skew 25d5.9%3.9%7.9%3.9%6.8%
Skew 10d12.3%8.8%16.2%10.4%13.5%
Call IV 25d23.3%19.0%27.2%27.1%19.7%
Put IV 25d29.2%25.1%32.2%31.0%26.5%
Bid-Ask Spread %32.8820.4845.8832.3334.10
Gamma HHI0.070.050.090.050.06
Net GEX1.8M795.2K2.5M1.9M795.2K
Net DEX-89.5M-108.0M-67.4M-88.3M-76.9M
Net VEX-189.2K-224.5K-152.2K-222.2K-152.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.321.660.910.90
Total Volume112,2888,064182,432182,43213,888
Total OI593,945.263468,608640,256618,016495,808

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$4.14$3.4728.7%9.7%45.4%31.7%33.2%3.9%-0.3%1.9M-88.3M-222.2K0.9132.33N/AN/A95,58486,848329,728288,288
2014-11-04$4.12$3.5029.0%9.5%44.0%32.3%34.3%5.0%1.1%2.1M-85.2M-221.7K1.2433.84N/AN/A68,28884,608330,688290,688
2014-11-05$4.11$3.5027.7%9.5%41.8%29.2%34.7%5.9%1.4%2.0M-84.7M-224.5K1.4522.26N/AN/A59,00885,504331,520291,936
2014-11-06$4.13$3.5025.7%9.5%39.2%24.3%33.5%6.3%0.9%2.2M-87.8M-219.1K1.5120.48N/AN/A56,06484,928334,368293,248
2014-11-07$4.13$3.5025.6%9.2%33.3%24.2%33.3%6.6%3.1%2.2M-89.4M-213.8K1.5735.11N/AN/A53,63284,288334,752294,080
2014-11-10$4.15$3.5023.5%8.7%30.1%19.2%32.5%5.9%1.0%2.3M-94.1M-192.7K1.6036.18N/AN/A52,92884,544337,024295,680
2014-11-11$4.18$3.4421.4%8.7%29.7%14.2%31.2%6.0%1.3%2.2M-98.4M-189.9K1.6135.51N/AN/A51,87283,424331,776257,408
2014-11-12$4.20$3.5024.2%8.9%25.9%20.7%31.4%5.4%0.4%2.5M-97.5M-195.3K1.5626.51N/AN/A54,62485,344335,232295,840
2014-11-13$4.23$3.5025.7%9.1%24.0%24.3%31.8%6.2%1.6%2.1M-100.5M-194.6K1.5027.41N/AN/A56,73684,864336,576297,472
2014-11-14$4.26$3.5025.2%8.7%23.4%23.3%37.2%4.7%1.9%2.1M-97.7M-181.6K0.3239.16N/AN/A6,1121,952320,480297,312
2014-11-17$4.23$3.5026.8%8.9%22.8%26.9%32.5%7.1%0.9%2.2M-101.5M-189.9K1.6226.98N/AN/A54,17687,552338,688297,952
2014-11-18$4.30$3.5024.8%8.6%18.2%22.2%32.0%5.6%1.0%1.9M-108.0M-181.4K1.4727.42N/AN/A59,74488,064338,688301,568
2014-11-19$4.26$3.2826.6%9.1%18.4%26.4%38.2%5.9%2.2%2.1M-95.2M-180.6K1.6645.88N/AN/A9,28015,392320,160303,584
2014-11-20$4.29$3.2826.1%8.9%16.3%25.4%30.5%5.8%4.3%1.8M-90.1M-178.7K1.4935.83N/AN/A64,16095,488301,696308,288
2014-11-21$4.31$3.2825.5%9.0%16.0%23.9%33.4%7.9%1.4%1.6M-93.6M-173.5K1.5436.89N/AN/A61,88895,040303,904309,408
2014-11-24$4.38$3.2823.1%8.8%16.5%18.1%38.1%6.5%3.1%980.5K-67.4M-158.8K1.3831.98N/AN/A9,08812,512221,920246,688
2014-11-25$4.40$3.2822.6%8.6%14.0%17.0%31.4%4.9%3.3%892.7K-69.1M-166.0K1.3043.27N/AN/A57,76075,264227,200254,336
2014-11-26$4.45$3.2822.2%8.6%13.5%16.1%33.0%6.1%3.9%917.3K-74.0M-158.7K0.4933.65N/AN/A8,7364,288231,808259,168
2014-11-28$4.49$3.2822.4%8.8%13.6%16.5%29.2%6.8%1.4%795.2K-76.9M-152.2K0.9034.10N/AN/A7,3286,560233,696262,112