QLD Options History — January 2008

In January 2008, QLD traded between $1.13 and $1.51. ATM implied volatility averaged 56.4%. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 9.6% (HV 20d: 46.8%). Max pain ranged from $1.09 to $1.56. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2008-01-23: Highest Volume — 132,864 contracts
  • 2008-01-10: Largest IV spike — 24.5% change
  • 2008-01-23: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.26$1.13$1.51$1.50$1.17
Max Pain$1.30$1.09$1.56$1.56$1.09
ATM IV56.4%43.2%73.0%45.7%60.3%
Expected Move16.6%12.9%20.9%13.1%17.3%
HV 20d46.8%35.4%52.4%35.6%52.4%
HV 60d51.4%50.1%52.5%52.0%50.3%
Term Structure-0.8%-10.1%5.5%5.5%1.0%
VWIV56.6%45.6%72.3%48.0%55.9%
Skew 25d4.6%-0.4%14.4%7.4%8.5%
Skew 10d9.2%-0.1%23.4%7.4%12.9%
Call IV 25d53.9%40.7%71.4%46.3%41.7%
Put IV 25d58.5%50.2%75.3%53.7%50.2%
Bid-Ask Spread %45.3317.95101.2536.07101.25
Gamma HHI0.340.230.530.430.25
Net GEX207.2K-12.6K728.8K4.6K728.8K
Net DEX-2.6M-14.7M710.0K17.5K-14.7M
Net VEX-11.8K-34.6K-1.1K-1.1K-34.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.002.922.920.42
Total Volume47,518.476192132,8646,52869,376
Total OI126,162.2868,256357,2488,256357,248

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$1.50$1.5645.7%13.1%35.6%0.0%48.0%7.4%5.5%4.6K17.5K-1.1K2.9236.07N/AN/A1,6644,8644,4803,776
2008-01-03$1.51$1.5645.1%12.9%35.4%0.0%45.6%5.9%4.3%-9.6K173.1K-2.5K0.0017.95N/AN/A19206,1448,640
2008-01-04$1.38$1.4148.8%15.4%47.0%0.0%51.7%5.3%-0.8%-12.6K673.0K-1.6K0.4127.80N/AN/A8,8323,5845,6968,640
2008-01-07$1.36$1.4148.2%15.6%44.3%0.0%53.9%6.3%-1.3%-1.5K517.9K-2.4K0.1827.06N/AN/A9,9201,79211,2009,920
2008-01-08$1.30$1.4146.1%15.1%44.5%0.0%48.1%3.0%-0.0%4.2K710.0K-2.5K0.0337.77N/AN/A23,87283215,80810,624
2008-01-09$1.34$1.4143.2%15.6%46.8%0.0%50.2%6.9%-1.8%65.1K-51.5K-4.1K0.0432.44N/AN/A33,2161,47228,6729,088
2008-01-10$1.34$1.4153.8%15.4%46.6%0.0%51.4%7.0%-0.2%162.6K-737.7K-6.4K0.2130.72N/AN/A19,5844,03254,59210,240
2008-01-11$1.30$1.4153.8%15.4%45.5%0.0%53.6%14.4%-0.0%118.2K-92.4K-5.3K0.1341.46N/AN/A14,0801,85656,00012,032
2008-01-14$1.34$1.4154.5%15.6%46.6%0.0%53.2%7.5%-5.3%210.6K-1.4M-7.2K0.0928.72N/AN/A17,5361,66465,72812,864
2008-01-15$1.28$1.4155.4%15.9%48.3%0.0%53.4%3.9%-0.6%135.0K-298.1K-5.7K0.1837.02N/AN/A24,7684,48074,94412,352
2008-01-16$1.24$1.3355.3%15.9%48.6%0.0%54.1%2.7%-0.3%103.2K64.0K-5.7K0.0451.75N/AN/A55,2322,43285,69615,616
2008-01-17$1.21$1.2558.9%16.9%47.3%0.0%58.0%2.2%-3.3%183.8K-384.4K-7.5K0.0557.94N/AN/A49,5362,432109,44017,728
2008-01-18$1.20$1.1759.6%17.1%47.1%0.0%58.5%2.9%-2.8%274.2K-1.1M-9.1K0.1766.68N/AN/A40,3206,912139,20017,280
2008-01-22$1.13$1.1769.3%19.9%48.8%0.0%68.5%2.5%-10.1%104.5K-851.2K-8.8K0.1863.73N/AN/A78,91214,20878,14415,616
2008-01-23$1.14$1.1773.0%20.9%47.6%0.0%72.3%3.9%-7.8%201.0K-3.3M-16.8K0.1562.47N/AN/A115,26417,600132,60825,216
2008-01-24$1.18$1.1770.8%20.3%49.3%0.0%70.4%3.2%-7.3%302.4K-6.7M-24.8K0.2751.50N/AN/A52,35213,888174,52839,296
2008-01-25$1.13$1.1761.0%17.5%49.3%0.0%60.2%1.2%4.2%311.7K-4.3M-22.4K0.1070.14N/AN/A63,6806,080179,96834,048
2008-01-28$1.14$1.1763.0%18.1%50.6%0.0%61.9%1.9%1.5%368.2K-5.4M-22.9K0.2343.38N/AN/A38,4008,832193,66435,328
2008-01-29$1.15$1.1759.4%17.0%50.9%0.0%60.2%0.0%4.9%409.2K-5.7M-24.4K0.0336.39N/AN/A94,4642,560205,18441,152
2008-01-30$1.15$1.0960.0%17.2%51.1%0.0%60.0%-0.4%3.7%686.8K-12.1M-31.8K0.2929.75N/AN/A67,58419,584291,32839,680
2008-01-31$1.17$1.0960.3%17.3%52.4%0.0%55.9%8.5%1.0%728.8K-14.7M-34.6K0.42101.25N/AN/A48,70420,672308,48048,768