QLD Options History — February 2016

In February 2016, QLD traded between $3.59 and $4.24. ATM implied volatility averaged 52.0%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 1.9% (HV 20d: 53.9%). Max pain ranged from $3.81 to $4.06. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2016-02-09: Highest Volume — 61,584 contracts
  • 2016-02-08: Largest IV spike — 22.1% change
  • 2016-02-08: Highest IV Rank — 92.4%
  • 2016-02-09: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.93$3.59$4.24$4.24$4.08
Max Pain$3.93$3.81$4.06$4.00$3.94
ATM IV52.0%42.2%72.2%44.4%43.3%
Expected Move14.5%12.1%17.4%12.7%12.4%
HV 20d53.9%45.9%59.5%57.3%45.9%
HV 60d46.1%42.9%47.9%42.9%47.7%
IV Rank54.9%36.9%92.4%40.9%38.9%
IV Percentile87.4%73.8%99.6%83.3%75.8%
Term Structure-2.1%-5.4%1.8%0.5%1.8%
VWIV50.0%41.5%61.8%44.2%41.5%
Skew 25d13.1%6.5%19.4%10.0%11.1%
Skew 10d23.1%14.5%30.2%23.0%16.5%
Call IV 25d43.7%37.7%52.8%37.7%38.2%
Put IV 25d56.8%45.6%71.4%47.7%49.2%
Bid-Ask Spread %61.2142.8683.5475.6178.27
Gamma HHI0.070.050.110.110.06
Net GEX361.8K61.6K754.4K629.5K443.0K
Net DEX-1.6M-8.7M7.4M-8.7M-5.9M
Net VEX-70.0K-84.4K-59.4K-84.4K-72.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.440.950.730.76
Total Volume45,726.434,56061,58445,60034,560
Total OI190,284.8160,736217,296177,152181,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$4.24$4.0044.4%12.7%57.3%40.9%44.2%10.0%0.5%629.5K-8.7M-84.4K0.7375.61N/AN/A26,35219,248117,79259,360
2016-02-02$4.05$4.0647.8%13.7%56.8%47.3%43.2%12.2%-1.4%486.8K-4.1M-80.8K0.7079.08N/AN/A26,68818,656118,33660,368
2016-02-03$4.02$4.0648.1%13.8%56.7%47.8%46.7%9.8%-1.0%433.7K-2.2M-76.5K0.7283.54N/AN/A28,08020,320119,42460,368
2016-02-04$4.00$4.0649.7%13.6%56.4%50.7%49.6%13.5%-1.5%421.9K-1.6M-75.5K0.8442.86N/AN/A25,61621,488120,27263,488
2016-02-05$3.71$4.0659.2%15.8%59.5%68.2%54.7%18.9%-0.1%156.5K4.7M-65.4K0.7450.01N/AN/A26,60819,744120,30465,376
2016-02-08$3.61$4.0672.2%17.4%59.4%92.4%61.8%14.9%-5.4%61.6K7.4M-59.4K0.5953.48N/AN/A35,05620,624121,98467,232
2016-02-09$3.59$3.9470.3%17.4%59.1%88.7%60.9%18.2%-4.2%98.5K6.5M-62.3K0.6451.84N/AN/A37,56824,016124,70470,512
2016-02-10$3.62$3.8858.1%16.7%58.2%66.3%59.0%15.5%-2.8%122.7K5.6M-64.6K0.6753.43N/AN/A34,72023,408132,25673,584
2016-02-11$3.64$3.8860.2%17.3%53.4%70.1%59.3%19.4%-3.8%149.5K5.8M-63.0K0.6150.74N/AN/A34,25620,928132,65671,888
2016-02-12$3.71$3.8856.2%16.1%51.8%62.8%57.0%16.1%-2.5%176.5K4.6M-65.2K0.5250.29N/AN/A35,48818,320133,23272,944
2016-02-16$3.87$3.8852.6%15.1%50.0%56.2%52.6%12.6%-2.8%458.7K-174.6K-65.8K0.5054.75N/AN/A32,84816,512136,09673,392
2016-02-17$4.06$3.8149.6%14.2%52.9%50.5%49.6%13.0%-1.3%754.4K-7.8M-70.2K0.5855.52N/AN/A29,37616,928138,65673,440
2016-02-18$3.97$3.8850.0%14.3%53.5%51.2%50.3%14.2%-2.2%729.8K-6.0M-68.6K0.6056.66N/AN/A25,37615,296142,25674,448
2016-02-19$3.99$3.8848.2%13.8%53.5%48.0%45.9%11.8%-1.1%211.4K-4.8M-66.9K0.4454.29N/AN/A34,04814,928141,77675,520
2016-02-22$4.11$3.8845.6%13.1%51.8%43.2%42.4%10.6%-2.7%344.1K-5.3M-69.9K0.5963.33N/AN/A21,77612,944100,59260,144
2016-02-23$3.99$3.8847.0%13.5%51.9%45.7%47.7%14.4%-2.3%337.6K-3.6M-68.6K0.8458.11N/AN/A19,63216,560106,60861,296
2016-02-24$4.05$3.8849.8%14.3%51.9%50.8%46.9%6.5%-4.6%330.4K-3.5M-69.1K0.6666.42N/AN/A20,88013,808109,13665,072
2016-02-25$4.12$3.8845.0%12.9%49.1%42.0%44.2%11.5%-1.8%414.3K-6.0M-73.3K0.9569.98N/AN/A18,70417,712111,68065,184
2016-02-26$4.13$3.9442.2%12.1%48.2%36.9%42.4%7.7%-2.0%475.9K-7.3M-78.2K0.8476.07N/AN/A19,31216,144113,23269,248
2016-02-29$4.08$3.9443.3%12.4%45.9%38.9%41.5%11.1%1.8%443.0K-5.9M-72.3K0.7678.27N/AN/A19,60014,960112,64069,200