QLD Options History — February 2008

In February 2008, QLD traded between $1.07 and $1.21. ATM implied volatility averaged 50.6%. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 5.7% (HV 20d: 45.0%). Max pain ranged from $1.02 to $1.17. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2008-02-04: Highest Volume — 129,344 contracts
  • 2008-02-04: Largest IV spike — 34.6% change
  • 2008-02-11: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.12$1.07$1.21$1.21$1.07
Max Pain$1.10$1.02$1.17$1.09$1.11
ATM IV50.6%42.5%63.8%42.5%45.4%
Expected Move14.5%12.2%17.4%12.2%13.0%
HV 20d45.0%38.3%54.4%54.4%39.2%
HV 60d46.7%42.4%51.6%50.9%42.7%
Term Structure1.6%-5.6%14.7%14.7%2.8%
VWIV49.3%41.2%59.0%42.0%44.3%
Skew 25d6.8%1.7%15.1%1.7%4.8%
Skew 10d7.0%-72.4%26.6%-0.1%10.5%
Call IV 25d45.7%38.1%54.5%41.8%41.6%
Put IV 25d52.5%43.5%64.5%43.5%46.4%
Bid-Ask Spread %20.679.8858.1458.1421.84
Gamma HHI0.230.080.440.260.10
Net GEX632.7K133.9K1.4M975.8K194.6K
Net DEX-7.7M-20.0M617.8K-20.0M617.8K
Net VEX-36.2K-47.2K-12.0K-33.3K-42.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.082.550.330.27
Total Volume67,561.627,712129,34445,12085,504
Total OI418,995.2150,208605,056381,248442,816

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$1.21$1.0942.5%12.2%54.4%0.0%42.0%1.7%14.7%975.8K-20.0M-33.3K0.3358.14N/AN/A33,98411,136333,12048,128
2008-02-04$1.17$1.1757.3%16.9%46.7%0.0%56.7%7.5%-1.4%882.8K-15.1M-32.0K0.1911.29N/AN/A108,80020,544332,73651,776
2008-02-05$1.11$1.1758.7%17.4%48.9%0.0%59.0%8.8%-3.0%1.1M-13.8M-37.3K0.1811.16N/AN/A55,87210,304425,85663,360
2008-02-06$1.07$1.0959.1%17.0%48.5%0.0%58.3%6.7%-1.3%617.1K-4.6M-28.6K0.2513.13N/AN/A48,64012,352357,76070,784
2008-02-07$1.09$1.1762.7%16.9%47.4%0.0%58.1%6.7%-0.8%667.8K-5.9M-32.0K0.3212.57N/AN/A64,06420,288359,61680,832
2008-02-08$1.10$1.0260.8%16.7%48.0%0.0%57.0%15.1%0.4%133.9K-1.6M-12.0K0.7010.83N/AN/A24,51217,152115,39234,816
2008-02-11$1.13$1.0963.8%17.4%48.8%0.0%58.1%7.8%-5.6%975.0K-10.6M-32.3K0.0842.46N/AN/A54,8484,160385,53696,000
2008-02-12$1.12$1.0958.6%16.6%47.2%0.0%56.2%7.8%-1.8%1.1M-9.9M-32.1K0.1718.35N/AN/A93,63215,680412,92899,392
2008-02-13$1.16$1.0942.8%14.3%47.4%0.0%49.9%8.0%4.3%1.4M-19.6M-36.3K0.389.88N/AN/A77,56829,504456,064109,824
2008-02-14$1.12$1.0948.7%14.0%47.6%0.0%47.9%5.9%3.5%1.4M-11.4M-36.4K0.2918.50N/AN/A76,67222,144456,512122,816
2008-02-15$1.12$1.0946.8%13.4%46.8%0.0%44.6%5.7%6.4%1.2M-9.1M-36.3K0.2321.11N/AN/A51,13611,648463,552141,504
2008-02-19$1.11$1.0947.1%13.5%46.8%0.0%46.7%5.2%0.5%222.4K-3.0M-30.1K0.4115.39N/AN/A62,65625,792189,63273,344
2008-02-20$1.12$1.0948.7%14.0%42.8%0.0%47.1%6.8%-0.7%252.5K-4.8M-35.5K0.5017.86N/AN/A27,64813,824211,26489,536
2008-02-21$1.10$1.0947.0%13.5%42.9%0.0%44.7%5.3%-0.4%254.6K-3.6M-36.4K2.5520.89N/AN/A20,48052,288228,41696,576
2008-02-22$1.11$1.0945.7%13.1%41.6%0.0%44.7%5.7%2.2%181.8K-2.2M-43.9K0.2719.10N/AN/A47,80812,672234,368139,328
2008-02-25$1.11$1.0946.6%13.4%38.6%0.0%45.3%6.1%1.4%216.9K-3.9M-45.5K0.3517.84N/AN/A28,86410,048246,976147,520
2008-02-26$1.12$1.0944.2%12.7%38.3%0.0%42.6%7.0%2.4%249.5K-4.6M-46.7K0.3622.31N/AN/A31,16811,136258,048150,848
2008-02-27$1.13$1.0943.3%12.4%38.4%0.0%42.0%6.3%4.1%334.1K-6.0M-47.2K0.2324.75N/AN/A22,5285,184271,936148,800
2008-02-28$1.11$1.0942.7%12.2%39.1%0.0%41.2%7.5%5.4%355.9K-5.8M-46.7K0.4026.02N/AN/A20,6728,320281,472150,720
2008-02-29$1.07$1.1145.4%13.0%39.2%0.0%44.3%4.8%2.8%194.6K617.8K-42.9K0.2721.84N/AN/A67,32818,176285,184157,632