QLD Options History — February 2015

In February 2015, QLD traded between $4.16 and $4.74. ATM implied volatility averaged 29.1%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.4% (HV 20d: 30.5%). Max pain ranged from $4.13 to $4.38. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2015-02-12: Highest Volume — 110,240 contracts
  • 2015-02-10: Largest IV drop — 11.0% change
  • 2015-02-02: Highest IV Rank — 50.4%
  • 2015-02-02: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.48$4.16$4.74$4.16$4.68
Max Pain$4.23$4.13$4.38$4.13$4.38
ATM IV29.1%23.1%36.6%36.6%23.1%
Expected Move8.4%6.6%10.5%10.5%6.6%
HV 20d30.5%19.3%38.0%38.0%20.1%
HV 60d30.6%29.5%31.1%29.5%30.5%
IV Rank32.5%18.1%50.4%50.4%18.1%
IV Percentile56.3%19.0%88.9%88.9%19.0%
Term Structure1.6%-2.1%4.4%0.7%4.4%
VWIV31.7%21.8%38.6%35.8%29.7%
Skew 25d9.4%6.5%13.1%12.8%6.8%
Skew 10d18.5%12.0%25.8%23.2%14.1%
Call IV 25d25.3%21.0%33.5%33.5%21.1%
Put IV 25d34.7%27.6%46.2%46.2%27.9%
Bid-Ask Spread %53.6623.7882.4878.5767.98
Gamma HHI0.070.040.250.040.05
Net GEX921.4K319.7K1.7M319.7K769.6K
Net DEX-47.0M-72.3M-24.8M-24.8M-51.2M
Net VEX-152.4K-163.1K-140.6K-157.7K-154.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.421.460.531.14
Total Volume86,745.2634,960110,2404,96099,360
Total OI329,856294,688388,480294,688316,672

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$4.16$4.1336.6%10.5%38.0%50.4%35.8%12.8%0.7%319.7K-24.8M-157.7K0.5378.57N/AN/A3,2321,728169,792124,896
2015-02-03$4.24$4.1335.2%10.1%36.6%47.1%31.6%9.6%-2.1%515.7K-31.1M-153.4K1.0675.37N/AN/A43,84046,336170,720125,952
2015-02-04$4.22$4.1333.2%9.5%35.2%42.3%33.7%11.6%1.6%540.9K-29.9M-163.1K1.0982.48N/AN/A43,29647,296173,536133,088
2015-02-05$4.30$4.2232.6%9.0%34.8%41.0%35.3%10.5%1.7%702.4K-34.1M-156.1K1.0724.38N/AN/A44,48047,648174,560134,112
2015-02-06$4.24$4.2232.4%9.6%32.6%40.5%36.8%13.1%1.8%713.3K-32.4M-160.2K1.2531.93N/AN/A42,75253,408177,824137,088
2015-02-09$4.23$4.2234.1%10.0%32.4%44.5%38.6%12.1%-0.4%630.6K-29.2M-159.2K1.3723.78N/AN/A41,79257,216178,752142,784
2015-02-10$4.36$4.2230.4%9.4%33.1%35.6%38.2%12.4%-1.3%1.1M-38.7M-149.4K1.4638.82N/AN/A40,35258,880178,816149,888
2015-02-11$4.38$4.2231.1%8.9%32.9%37.2%37.8%11.5%1.4%1.1M-41.1M-153.3K0.9932.14N/AN/A46,01645,536180,480150,208
2015-02-12$4.49$4.2228.8%8.3%33.4%31.9%34.0%9.0%0.8%1.6M-52.0M-144.0K1.0942.14N/AN/A52,83257,408188,000150,112
2015-02-13$4.56$4.2227.3%7.8%31.5%28.3%30.7%8.8%1.5%1.7M-58.8M-155.9K0.9338.65N/AN/A56,73652,960199,936167,328
2015-02-17$4.56$4.2228.8%8.3%31.0%31.9%31.9%8.7%3.5%1.4M-61.1M-153.2K0.9854.11N/AN/A55,20053,984204,672167,904
2015-02-18$4.58$4.2227.9%8.0%30.8%29.7%31.5%8.4%2.0%1.2M-64.1M-147.0K1.1353.68N/AN/A49,66456,064205,760169,728
2015-02-19$4.63$4.2228.1%8.1%30.8%30.1%30.3%7.8%0.1%823.8K-67.4M-140.6K0.4248.43N/AN/A16,3846,848205,952172,640
2015-02-20$4.69$4.2226.6%7.6%29.0%26.6%23.7%7.3%1.6%1.3M-72.3M-143.2K0.4455.42N/AN/A16,9287,424213,888174,592
2015-02-23$4.70$4.2225.0%7.2%29.0%22.7%27.3%7.2%2.7%717.0K-49.3M-152.6K1.1360.34N/AN/A48,60854,784170,944127,936
2015-02-24$4.71$4.2823.6%6.8%28.9%19.4%24.3%6.6%4.4%809.3K-50.8M-154.3K1.1673.56N/AN/A46,36853,824174,080131,840
2015-02-25$4.69$4.3124.2%6.9%20.2%20.8%29.1%7.7%3.5%757.2K-50.7M-153.6K1.1570.87N/AN/A46,04852,992176,192133,952
2015-02-26$4.74$4.3823.5%6.7%19.3%19.2%21.8%6.5%3.5%827.5K-53.2M-145.4K1.1066.81N/AN/A47,68052,256176,640136,000
2015-02-27$4.68$4.3823.1%6.6%20.1%18.1%29.7%6.8%4.4%769.6K-51.2M-154.2K1.1467.98N/AN/A46,46452,896178,528138,144