QLD Options History — March 2008

In March 2008, QLD traded between $0.98 and $1.15. ATM implied volatility averaged 52.8%. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 1.4% (HV 20d: 51.4%). Max pain ranged from $1.06 to $1.09. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2008-03-24: Highest Volume — 309,888 contracts
  • 2008-03-18: Largest IV drop — 24.2% change
  • 2008-03-17: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.06$0.98$1.15$1.05$1.09
Max Pain$1.08$1.06$1.09$1.09$1.09
ATM IV52.8%46.2%64.7%59.6%51.3%
Expected Move15.7%13.5%18.6%17.1%14.7%
HV 20d51.4%32.9%67.8%37.2%66.6%
HV 60d48.4%42.3%54.1%42.7%53.7%
Term Structure0.0%-10.6%8.1%-1.2%-0.1%
VWIV53.6%45.9%63.5%58.8%50.9%
Skew 25d8.4%4.2%13.6%9.2%7.5%
Skew 10d15.1%4.2%21.6%14.9%18.1%
Call IV 25d49.5%43.7%58.5%53.6%46.4%
Put IV 25d57.9%48.3%68.3%62.8%53.9%
Bid-Ask Spread %24.3313.4958.2922.4516.06
Gamma HHI0.150.080.300.090.26
Net GEX592.7K117.1K1.2M230.0K1.2M
Net DEX-8.9M-26.5M7.2M108.1K-18.4M
Net VEX-61.1K-97.6K-38.6K-46.7K-94.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.060.760.630.31
Total Volume123,308.827,200309,888150,33651,648
Total OI746,316.8494,400987,264494,400987,264

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$1.05$1.0959.6%17.1%37.2%0.0%58.8%9.2%-1.2%230.0K108.1K-46.7K0.6322.45N/AN/A92,03258,304322,368172,032
2008-03-04$1.06$1.0953.0%15.2%36.0%0.0%52.1%7.4%1.9%287.3K-1.4M-54.6K0.6418.07N/AN/A66,75242,496367,552208,192
2008-03-05$1.08$1.0947.1%13.5%32.9%0.0%45.9%4.3%8.1%292.5K-2.3M-54.1K0.2642.95N/AN/A21,5685,632372,608217,344
2008-03-06$1.02$1.0951.5%14.8%34.5%0.0%50.0%4.2%4.5%156.6K3.5M-49.3K0.3323.27N/AN/A39,48812,864377,472220,608
2008-03-07$1.02$1.0946.2%17.6%33.5%0.0%59.3%13.6%-4.6%317.2K2.7M-38.6K0.1326.97N/AN/A63,4888,192359,424142,848
2008-03-10$0.98$1.0854.8%18.1%35.4%0.0%59.3%9.7%-7.4%117.1K7.2M-41.3K0.2214.76N/AN/A99,13622,208417,984220,032
2008-03-11$1.07$1.0649.9%16.3%47.6%0.0%56.6%11.5%-1.9%419.2K-5.2M-55.0K0.0719.70N/AN/A130,9448,832433,856233,088
2008-03-12$1.05$1.0650.4%16.1%47.9%0.0%55.2%11.0%-2.2%495.5K-8.7M-53.9K0.1316.92N/AN/A110,14414,336504,128233,152
2008-03-13$1.06$1.0656.2%16.1%46.4%0.0%55.1%10.6%-1.5%738.5K-13.2M-56.0K0.0615.10N/AN/A71,3604,224541,952232,576
2008-03-14$1.02$1.0663.5%18.2%47.2%0.0%63.5%6.8%-10.0%601.9K-6.0M-52.2K0.4158.29N/AN/A46,91219,456557,120231,360
2008-03-17$0.99$1.0664.7%18.6%47.8%0.0%63.1%9.8%-10.6%477.5K-202.8K-45.7K0.1628.06N/AN/A122,62420,224573,888242,816
2008-03-18$1.08$1.0649.1%14.1%57.2%0.0%49.3%9.2%5.7%1.1M-24.1M-43.9K0.1326.58N/AN/A100,60813,120643,200241,664
2008-03-19$1.03$1.0655.5%15.9%59.7%0.0%53.9%6.2%-1.4%351.2K-4.6M-40.2K0.7613.49N/AN/A170,112129,152589,696241,216
2008-03-20$1.06$1.0852.8%15.1%60.6%0.0%53.3%7.7%4.9%517.7K-1.6M-58.8K0.2435.74N/AN/A184,70444,864575,040340,160
2008-03-24$1.14$1.0849.2%14.1%67.0%0.0%49.9%9.2%6.9%640.3K-20.8M-70.2K0.4919.07N/AN/A208,448101,440438,208195,904
2008-03-25$1.15$1.0948.6%13.9%67.0%0.0%49.1%9.0%3.9%926.0K-26.3M-89.0K0.3724.06N/AN/A62,78422,976558,208244,288
2008-03-26$1.13$1.0951.0%14.6%67.4%0.0%48.6%8.6%1.5%946.7K-26.5M-90.1K0.4521.09N/AN/A58,68826,304585,024259,712
2008-03-27$1.10$1.0951.2%14.7%67.8%0.0%49.9%6.3%1.4%904.1K-16.6M-91.7K0.1517.39N/AN/A108,22416,064604,352274,688
2008-03-28$1.09$1.0949.6%14.2%67.5%0.0%47.7%6.8%2.7%1.1M-15.9M-97.6K0.1526.59N/AN/A74,75211,072682,304283,008
2008-03-31$1.09$1.0951.3%14.7%66.6%0.0%50.9%7.5%-0.1%1.2M-18.4M-94.1K0.3116.06N/AN/A39,29612,352698,112289,152