QLD Options History — January 2015

In January 2015, QLD traded between $3.98 and $4.34. ATM implied volatility averaged 36.2%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 1.3% (HV 20d: 34.9%). Max pain ranged from $4.06 to $4.22. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-01-15: Highest Volume — 162,176 contracts
  • 2015-01-12: Largest IV spike — 26.5% change
  • 2015-01-13: Highest IV Rank — 69.0%
  • 2015-01-15: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.16$3.98$4.34$4.27$4.08
Max Pain$4.12$4.06$4.22$4.22$4.09
ATM IV36.2%29.4%44.3%32.6%39.1%
Expected Move10.3%8.4%12.4%9.7%11.2%
HV 20d34.9%30.1%38.4%31.7%37.3%
HV 60d29.3%27.3%32.2%32.2%29.3%
IV Rank49.6%33.2%69.0%40.9%56.4%
IV Percentile86.7%63.1%98.4%83.3%93.3%
Term Structure0.4%-3.0%4.6%1.6%-2.3%
VWIV36.2%31.6%42.7%34.1%36.7%
Skew 25d10.4%6.7%13.5%13.5%10.7%
Skew 10d21.7%17.9%26.1%17.9%21.4%
Call IV 25d31.1%25.2%36.7%26.5%33.1%
Put IV 25d41.6%34.3%47.6%40.0%43.8%
Bid-Ask Spread %50.0934.1276.1849.1062.03
Gamma HHI0.090.040.220.130.04
Net GEX512.3K150.8K966.7K531.5K364.1K
Net DEX-35.8M-52.6M-22.6M-49.9M-25.2M
Net VEX-147.7K-160.7K-138.0K-146.4K-160.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.362.452.110.89
Total Volume77,718.46,944162,176133,44083,520
Total OI392,003.2206,592546,624479,104278,560

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$4.27$4.2232.6%9.7%31.7%40.9%34.1%13.5%1.6%531.5K-49.9M-146.4K2.1149.10N/AN/A42,84890,592206,624272,480
2015-01-05$4.13$4.2240.8%10.7%33.6%60.6%36.8%11.3%0.4%422.0K-41.6M-145.1K1.0336.99N/AN/A9,1529,440207,456273,824
2015-01-06$4.02$4.1639.3%11.4%34.6%56.9%36.6%11.4%0.3%281.5K-34.6M-146.1K0.6245.39N/AN/A13,1208,096208,544280,000
2015-01-07$4.12$4.1937.6%10.4%35.9%53.0%36.7%11.3%1.7%363.8K-39.9M-144.7K0.8143.39N/AN/A3,8403,104211,360281,600
2015-01-08$4.27$4.0934.0%9.5%38.4%44.2%35.4%12.5%-0.3%646.9K-52.6M-140.3K1.6434.12N/AN/A57,12093,664214,944282,368
2015-01-09$4.23$4.0930.3%9.5%36.5%35.4%36.0%9.4%2.9%881.3K-50.7M-150.7K1.8442.69N/AN/A50,78493,472226,048291,520
2015-01-12$4.14$4.0938.3%10.8%37.0%54.6%38.7%7.3%-2.9%778.7K-44.4M-144.3K1.7939.44N/AN/A53,63296,192227,680291,616
2015-01-13$4.12$4.1344.3%10.8%36.6%69.0%37.2%7.1%-1.5%705.6K-41.7M-145.6K1.6353.65N/AN/A57,69694,048230,048295,680
2015-01-14$4.08$4.1339.8%11.4%36.2%58.3%42.1%13.0%-0.6%688.4K-37.9M-143.5K1.8541.65N/AN/A52,19296,704235,040297,696
2015-01-15$3.98$4.1343.2%12.4%35.2%66.3%42.7%10.9%-3.0%367.7K-31.1M-144.3K1.8244.85N/AN/A57,568104,608235,328304,288
2015-01-16$4.07$4.0938.2%11.0%33.9%54.4%38.0%10.4%-0.7%966.7K-35.9M-142.5K0.8344.78N/AN/A22,46418,720238,944307,680
2015-01-20$4.13$4.0937.7%10.8%30.1%53.2%38.4%12.8%-0.3%150.8K-22.6M-138.0K0.3646.82N/AN/A19,1046,848122,08084,512
2015-01-21$4.18$4.0634.8%10.0%30.2%46.2%33.8%10.6%0.2%279.0K-26.8M-147.8K0.3844.58N/AN/A10,5604,032132,64088,128
2015-01-22$4.32$4.0631.5%9.0%32.9%38.4%33.7%10.9%0.3%507.0K-33.7M-145.2K0.7254.36N/AN/A39,13628,224141,18489,824
2015-01-23$4.34$4.0629.4%8.4%32.9%33.2%32.0%9.5%1.5%604.9K-35.5M-150.0K0.7255.51N/AN/A40,70429,120146,36895,840
2015-01-26$4.34$4.0630.8%8.8%32.9%36.7%31.6%7.3%0.9%661.3K-35.5M-150.2K2.4554.14N/AN/A2,6566,496151,32897,536
2015-01-27$4.12$4.1334.8%10.0%37.2%46.2%35.2%10.7%0.3%388.0K-25.0M-154.7K0.5369.23N/AN/A6,4963,456153,376103,584
2015-01-28$4.08$4.1333.0%9.5%37.3%41.9%33.2%6.7%4.6%327.8K-26.1M-156.8K0.8376.18N/AN/A38,49631,968158,400106,464
2015-01-29$4.15$4.1334.9%10.0%37.7%46.4%35.9%11.8%4.4%329.1K-24.2M-157.9K0.8962.85N/AN/A39,42435,072160,128109,344
2015-01-30$4.08$4.0939.1%11.2%37.3%56.4%36.7%10.7%-2.3%364.1K-25.2M-160.7K0.8962.03N/AN/A44,19239,328163,040115,520