QLD Options History — May 2015

In May 2015, QLD traded between $4.52 and $4.90. ATM implied volatility averaged 28.7%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.9% (HV 20d: 29.6%). Max pain ranged from $4.53 to $9.25. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2015-05-12: Highest Volume — 191,936 contracts
  • 2015-05-11: Largest IV spike — 31.9% change
  • 2015-05-12: Highest IV Rank — 61.0%
  • 2015-05-06: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.75$4.52$4.90$4.74$4.83
Max Pain$4.91$4.53$9.25$4.56$4.81
ATM IV28.7%23.3%41.0%28.4%27.1%
Expected Move8.0%6.7%9.7%8.2%7.8%
HV 20d29.6%27.0%32.8%27.7%27.7%
HV 60d27.1%26.3%28.0%26.5%28.0%
IV Rank31.6%18.6%61.0%30.9%27.7%
IV Percentile55.7%20.2%96.4%57.9%50.8%
Term Structure-1.7%-25.5%3.2%0.3%-25.5%
VWIV28.2%24.1%33.2%26.4%28.2%
Skew 25d8.2%3.9%11.2%5.7%8.0%
Skew 10d15.8%9.7%20.3%9.7%12.2%
Call IV 25d23.9%20.6%28.6%25.6%24.0%
Put IV 25d32.0%26.8%37.9%31.3%32.0%
Bid-Ask Spread %35.2322.2267.3167.3146.24
Gamma HHI0.070.040.140.080.04
Net GEX1.3M-2.3K3.6M1.6M492.1K
Net DEX-48.4M-71.2M18.2M-57.0M-66.0M
Net VEX-239.1K-273.5K-80.5K-239.4K-156.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.642.890.660.90
Total Volume100,7563,424191,936154,33688,992
Total OI476,244199,472542,512409,696542,512

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$4.74$4.5628.4%8.2%27.7%30.9%26.4%5.7%0.3%1.6M-57.0M-239.4K0.6667.31N/AN/A92,89661,440262,272147,424
2015-05-04$4.75$4.5326.6%8.2%27.4%26.5%29.2%9.1%1.6%2.0M-65.0M-267.9K1.0423.24N/AN/A3,2963,424285,504159,424
2015-05-05$4.61$4.5331.4%9.0%29.9%38.2%30.5%11.2%-0.5%1.4M-50.7M-267.5K0.7324.83N/AN/A87,26463,872287,776162,208
2015-05-06$4.52$4.6336.8%9.7%30.2%51.0%32.8%9.3%-0.8%890.0K-39.8M-263.8K0.7733.95N/AN/A89,69669,056289,888168,096
2015-05-07$4.59$4.6635.5%9.0%30.3%47.9%32.0%9.3%0.7%1.1M-44.7M-268.6K0.8224.46N/AN/A87,93671,776294,016179,424
2015-05-08$4.70$4.6925.0%8.1%31.4%22.7%27.7%8.4%0.7%1.6M-57.7M-273.5K0.9422.97N/AN/A10,2729,696296,800186,272
2015-05-11$4.66$4.6633.0%8.4%31.5%41.8%33.2%10.7%0.5%1.4M-51.6M-261.5K2.8922.22N/AN/A4,86414,048291,680192,416
2015-05-12$4.64$4.6641.0%8.8%31.5%61.0%30.2%7.8%-0.1%885.1K-44.6M-261.7K1.0330.64N/AN/A94,36897,568294,112204,320
2015-05-13$4.64$4.6928.9%8.3%31.1%32.2%29.0%10.9%0.3%1.1M-46.6M-267.9K0.9327.13N/AN/A98,01691,136301,792221,312
2015-05-14$4.78$4.6628.0%8.0%32.8%30.0%27.0%8.0%1.8%3.3M-71.2M-251.2K0.9022.91N/AN/A98,75288,800310,464222,720
2015-05-15$4.78$4.6325.8%7.4%30.3%24.6%27.3%8.3%3.2%3.6M-68.5M-256.9K0.7525.13N/AN/A104,22477,824309,184230,272
2015-05-18$4.82$4.6325.4%7.3%28.7%23.6%26.9%8.1%0.6%973.1K-54.7M-248.9K0.6430.36N/AN/A6,2403,968231,136160,032
2015-05-19$4.81$4.6325.7%7.4%28.6%24.4%27.1%7.9%2.0%1.0M-55.4M-254.5K2.1540.20N/AN/A1,0882,336234,496162,528
2015-05-20$4.82$9.2526.3%7.5%28.5%25.9%27.7%8.2%0.4%-2.3K18.2M-80.5K0.7556.07N/AN/A41,74431,232117,45682,016
2015-05-21$4.86$4.8125.7%7.4%28.5%24.4%24.6%6.7%1.9%1.2M-32.3M-256.6K0.7340.42N/AN/A45,44033,296312,800226,000
2015-05-22$4.86$4.8123.3%6.7%27.0%18.6%24.1%6.7%2.7%1.1M-40.0M-263.8K0.7239.37N/AN/A45,93633,184312,352226,384
2015-05-26$4.74$4.8127.2%7.8%28.3%28.0%27.6%8.9%-25.2%350.0K-61.4M-230.5K0.8541.09N/AN/A47,28040,416310,800226,448
2015-05-27$4.90$4.8128.0%8.0%30.6%29.9%25.5%3.9%1.1%1.3M-46.2M-163.0K0.8941.26N/AN/A46,38441,504311,344228,784
2015-05-28$4.88$4.8125.5%7.3%30.4%23.9%26.6%6.6%1.2%1.2M-33.2M-248.0K0.9144.72N/AN/A44,88040,976310,864231,552
2015-05-29$4.83$4.8127.1%7.8%27.7%27.7%28.2%8.0%-25.5%492.1K-66.0M-156.0K0.9046.24N/AN/A46,76842,224310,880231,632