QLD Options History — April 2015

In April 2015, QLD traded between $4.40 and $4.87. ATM implied volatility averaged 28.4%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 1.5% (HV 20d: 26.9%). Max pain ranged from $4.22 to $4.56. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2015-04-30: Highest Volume — 152,992 contracts
  • 2015-04-06: Largest IV spike — 16.4% change
  • 2015-04-06: Highest IV Rank — 44.1%
  • 2015-04-01: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.62$4.40$4.87$4.40$4.60
Max Pain$4.45$4.22$4.56$4.22$4.56
ATM IV28.4%24.4%33.9%33.5%32.0%
Expected Move8.1%7.0%9.6%9.6%9.2%
HV 20d26.9%23.0%30.6%30.6%26.0%
HV 60d27.1%25.1%29.8%29.8%25.9%
IV Rank30.9%21.3%44.1%43.0%39.4%
IV Percentile54.2%31.0%81.3%79.4%76.2%
Term Structure1.9%-2.1%3.9%-2.1%0.8%
VWIV28.9%25.5%34.8%34.8%29.6%
Skew 25d8.4%4.7%10.5%8.3%4.7%
Skew 10d16.3%10.3%20.8%15.3%10.3%
Call IV 25d24.6%19.8%31.6%28.8%31.6%
Put IV 25d33.0%28.1%37.4%37.2%36.3%
Bid-Ask Spread %51.4033.3373.5973.5567.71
Gamma HHI0.100.070.210.070.07
Net GEX1.2M555.3K2.7M667.3K933.4K
Net DEX-45.2M-57.2M-31.1M-31.1M-33.6M
Net VEX-188.2K-225.3K-166.0K-181.8K-225.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.552.041.220.55
Total Volume107,399.61911,200152,992116,928152,992
Total OI366,852.571257,056449,920377,792344,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$4.40$4.2233.5%9.6%30.6%43.0%34.8%8.3%-2.1%667.3K-31.1M-181.8K1.2273.55N/AN/A52,57664,352220,064157,728
2015-04-02$4.43$4.4129.2%8.9%30.6%32.7%30.6%10.4%2.2%776.2K-33.4M-182.3K1.2733.33N/AN/A50,72064,256223,296159,744
2015-04-06$4.49$4.3833.9%8.7%30.0%44.1%30.4%10.5%3.6%929.6K-38.2M-170.4K1.1041.78N/AN/A56,64062,240224,032159,968
2015-04-07$4.47$4.4731.6%8.9%29.9%38.5%31.7%10.3%2.4%964.0K-39.6M-181.6K1.1137.92N/AN/A58,33664,640231,552166,656
2015-04-08$4.54$4.3829.3%8.4%27.4%32.9%33.5%7.6%2.4%1.2M-43.7M-175.5K2.0440.73N/AN/A3,6807,520234,496170,752
2015-04-09$4.60$4.3827.6%7.9%27.2%28.9%29.1%9.4%2.6%1.4M-49.7M-177.0K1.2639.64N/AN/A52,54466,016237,056175,424
2015-04-10$4.63$4.4126.7%7.7%26.9%26.9%28.3%8.6%2.7%1.7M-54.4M-166.0K1.1238.70N/AN/A56,35263,168237,248176,128
2015-04-13$4.61$4.4129.6%8.5%26.7%33.6%29.5%10.0%2.5%1.8M-56.4M-167.6K1.0942.63N/AN/A56,16061,248239,328175,520
2015-04-14$4.57$4.4429.1%8.3%25.4%32.5%30.2%9.5%2.2%1.5M-49.1M-166.8K1.2846.78N/AN/A54,88070,080239,744176,416
2015-04-15$4.64$4.4426.5%7.6%25.8%26.3%28.3%9.4%3.3%2.3M-52.8M-171.9K0.9542.08N/AN/A75,61672,096236,960186,080
2015-04-16$4.63$4.4427.3%7.8%24.9%28.2%28.0%8.2%3.0%2.7M-57.2M-184.1K0.8539.33N/AN/A75,45664,480255,296188,992
2015-04-17$4.48$4.4430.5%8.7%27.3%35.9%30.3%9.7%1.3%555.3K-36.9M-182.9K0.9553.76N/AN/A70,97667,776258,112191,808
2015-04-20$4.62$4.4727.4%7.8%29.1%28.4%26.8%8.1%2.1%678.1K-34.5M-180.5K0.8051.74N/AN/A47,74438,176158,52898,528
2015-04-21$4.66$4.4726.1%7.5%29.3%25.3%27.0%7.7%1.5%921.1K-40.0M-192.1K0.7949.48N/AN/A49,12039,008172,352103,744
2015-04-22$4.71$4.5026.2%7.5%29.3%25.5%25.7%6.8%0.7%1.1M-43.3M-198.8K0.9655.64N/AN/A41,34439,680183,360109,440
2015-04-23$4.75$4.5324.4%7.0%23.3%21.3%25.5%5.8%1.9%1.2M-46.5M-200.4K1.0557.12N/AN/A39,74441,696186,656112,320
2015-04-24$4.87$4.5325.1%7.2%24.3%23.0%25.5%8.2%1.0%1.2M-55.1M-200.5K1.1057.87N/AN/A44,57648,960192,736118,816
2015-04-27$4.83$4.5625.5%7.3%24.7%23.9%27.0%7.7%3.9%1.2M-55.0M-210.2K1.1263.77N/AN/A43,48848,896200,256127,168
2015-04-28$4.81$4.5625.9%7.4%23.9%24.9%28.1%8.5%2.5%1.2M-51.2M-218.8K1.1572.15N/AN/A44,38450,848202,144131,008
2015-04-29$4.77$4.5629.2%8.4%23.0%32.8%27.8%7.4%-0.2%1.2M-46.9M-217.9K1.2073.59N/AN/A42,33650,592203,616136,128
2015-04-30$4.60$4.5632.0%9.2%26.0%39.4%29.6%4.7%0.8%933.4K-33.6M-225.3K0.5567.71N/AN/A98,43254,560204,480140,224