QLD Options History — November 2007

In November 2007, QLD traded between $1.49 and $1.88. ATM implied volatility averaged 47.1%. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 14.5% (HV 20d: 61.6%). Max pain ranged from $1.41 to $1.83. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2007-11-30: Highest Volume — 37,056 contracts
  • 2007-11-19: Largest IV spike — 157.6% change
  • 2007-11-28: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.64$1.49$1.88$1.86$1.65
Max Pain$1.61$1.41$1.83$1.83$1.56
ATM IV47.1%21.0%62.3%36.8%45.4%
Expected Move13.2%6.0%17.9%10.5%13.0%
HV 20d61.6%59.8%63.3%63.3%61.3%
Term Structure3.5%-7.6%60.6%3.7%-2.7%
VWIV49.2%36.7%61.9%61.9%49.0%
Skew 25d7.6%1.1%24.0%12.3%6.4%
Skew 10d12.8%-3.3%37.0%37.0%19.8%
Call IV 25d41.7%26.3%55.0%27.5%45.7%
Put IV 25d49.3%39.5%59.0%39.7%52.1%
Bid-Ask Spread %65.5510.81184.25130.4270.57
Gamma HHI0.340.170.750.530.17
Net GEX43.7K0170.4K1.1K170.4K
Net DEX-446.2K-2.8M1.5M-12.8K-2.8M
Net VEX-2.5K-7.6K0-99-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.005.004.690.04
Total Volume7,296037,0564,73637,056
Total OI16,908.19047,87251247,872

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$1.86$1.8336.8%10.5%0.0%0.0%61.9%12.3%3.7%1.1K-12.8K-994.69130.42N/AN/A8323,904320192
2007-11-02$1.88$1.8333.8%9.7%0.0%0.0%36.7%6.3%1.8%8.2K-105.4K-2490.0025.42N/AN/A2,24001,152256
2007-11-05$1.85$1.8035.9%10.8%0.0%0.0%43.2%8.4%-2.3%3.2K-53.0K-2440.0075.63N/AN/A1,4080832256
2007-11-06$1.88$1.7231.9%8.8%0.0%0.0%0.0%9.8%9.2%8.9K-263.4K-5950.0099.92N/AN/A002,240256
2007-11-07$1.80$1.7242.7%11.5%0.0%0.0%0.0%13.9%4.8%6.7K-174.0K-6050.0081.96N/AN/A01282,240256
2007-11-08$1.67$1.7240.9%13.3%0.0%0.0%45.8%10.0%5.5%6.3K-80.7K-5485.0067.89N/AN/A2,04810,2402,240384
2007-11-09$1.57$1.7246.0%12.8%0.0%0.0%43.7%1.5%0.3%10.2K1.5M-6770.0043.26N/AN/A3,39203,58410,624
2007-11-12$1.49$1.7057.8%13.2%0.0%0.0%45.1%1.1%0.2%14.7K1.4M-9010.5757.03N/AN/A3,4561,9846,97610,624
2007-11-13$1.61$1.5645.0%13.0%0.0%0.0%45.3%5.1%5.6%32.4K966.3K-1.7K1.1232.92N/AN/A3,7124,16010,4328,768
2007-11-14$1.59$1.5655.9%13.3%0.0%0.0%42.3%11.4%6.4%31.2K-62.7K-2.4K0.06106.53N/AN/A3,39219212,2243,264
2007-11-15$1.56$1.5653.8%15.4%0.0%0.0%53.1%5.7%0.1%29.9K-41.6K-2.4K0.0126.39N/AN/A16,96012813,1843,328
2007-11-16$1.59$1.4821.0%6.0%0.0%0.0%0.0%0.0%60.6%33.6K-133.5K-8740.00184.25N/AN/A19208,640128
2007-11-19$1.55$1.4854.1%15.5%0.0%0.0%53.7%4.5%-0.4%51.9K-878.0K-3.4K0.1928.84N/AN/A3,77670416,832576
2007-11-20$1.56$1.4852.0%14.9%63.3%0.0%52.7%7.8%2.2%64.1K-1.1M-4.0K0.1376.23N/AN/A9,0881,21619,5201,280
2007-11-21$1.51$1.4854.2%15.5%61.6%0.0%54.2%4.0%-4.1%70.2K-1.0M-4.6K0.2139.40N/AN/A3,00864025,3442,368
2007-11-23$1.55$1.4853.5%15.4%61.3%0.0%54.1%5.2%-6.4%81.5K-1.3M-5.0K1.8234.62N/AN/A7041,28026,6242,880
2007-11-26$1.51$1.5656.9%16.3%59.8%0.0%56.7%3.0%-3.9%66.5K-885.1K-4.6K0.1248.20N/AN/A7,61689626,8804,160
2007-11-27$1.55$1.4156.8%16.3%60.1%0.0%52.3%4.8%-4.0%87.1K-1.6M-5.6K0.0631.25N/AN/A12,22470429,9524,928
2007-11-28$1.65$1.4862.3%17.9%63.2%0.0%47.4%24.0%-7.6%139.5K-2.7M-7.0K0.09105.06N/AN/A14,6561,28037,8245,632
2007-11-29$1.66$0.0051.8%14.8%62.0%0.0%0.0%0.0%0.0%0000.0010.81N/AN/A0000
2007-11-30$1.65$1.5645.4%13.0%61.3%0.0%49.0%6.4%-2.7%170.4K-2.8M-7.6K0.0470.57N/AN/A35,7121,34441,7926,080