QLD Options History — April 2008

In April 2008, QLD traded between $1.11 and $1.28. ATM implied volatility averaged 45.9%. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 11.8% (HV 20d: 57.7%). Max pain ranged from $1.06 to $1.17. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2008-04-18: Highest Volume — 363,776 contracts
  • 2008-04-03: Largest IV spike — 16.7% change
  • 2008-04-14: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.21$1.11$1.28$1.18$1.26
Max Pain$1.13$1.06$1.17$1.09$1.17
ATM IV45.9%39.6%53.5%42.7%41.8%
Expected Move13.2%11.4%15.3%12.2%12.0%
HV 20d57.7%39.6%71.8%71.8%40.1%
HV 60d52.7%51.4%56.5%56.5%51.4%
Term Structure0.7%-5.6%5.5%3.6%1.0%
VWIV46.0%40.1%53.2%42.9%40.8%
Skew 25d8.2%5.2%11.8%9.0%9.4%
Skew 10d15.0%7.2%20.0%16.1%17.0%
Call IV 25d41.7%35.5%48.8%36.9%37.3%
Put IV 25d49.9%41.6%56.5%46.0%46.7%
Bid-Ask Spread %24.748.3049.4930.7333.95
Gamma HHI0.220.080.640.290.08
Net GEX1.7M672.9K3.4M1.6M1.4M
Net DEX-39.4M-91.2M-9.4M-45.6M-37.5M
Net VEX-105.5K-135.5K-83.9K-88.6K-132.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.102.700.482.70
Total Volume163,819.63658,496363,776147,328339,904
Total OI1,185,329.455693,1841,649,0881,001,0241,079,552

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$1.18$1.0942.7%12.2%71.8%0.0%42.9%9.0%3.6%1.6M-45.6M-88.6K0.4830.73N/AN/A99,71247,616709,248291,776
2008-04-02$1.19$1.0941.6%11.9%71.8%0.0%40.6%6.5%4.7%1.9M-48.0M-85.5K0.3427.69N/AN/A105,21635,392735,744321,664
2008-04-03$1.20$1.0948.6%13.9%71.6%0.0%48.6%8.3%0.7%1.6M-47.0M-98.3K0.6537.66N/AN/A70,91246,016759,040332,480
2008-04-04$1.20$1.0653.5%14.7%68.3%0.0%50.8%6.9%1.2%1.5M-50.1M-100.0K0.6123.68N/AN/A92,41656,192792,896370,624
2008-04-07$1.19$1.0951.5%14.8%68.3%0.0%50.0%8.5%-0.0%1.7M-49.5M-102.1K0.3111.61N/AN/A97,79230,784832,896409,344
2008-04-08$1.18$1.0950.7%14.8%66.2%0.0%51.2%7.7%1.7%1.8M-44.3M-106.2K0.5911.55N/AN/A61,24835,904875,520427,328
2008-04-09$1.16$1.1348.6%14.8%60.4%0.0%51.4%8.3%0.6%1.9M-33.8M-105.7K0.768.30N/AN/A86,72066,112896,960445,056
2008-04-10$1.19$1.1650.1%14.4%60.1%0.0%49.9%8.4%-1.8%2.2M-49.4M-108.1K0.3611.51N/AN/A73,79226,880918,976477,120
2008-04-11$1.12$1.1651.1%14.7%63.7%0.0%50.9%7.1%-2.5%1.7M-17.8M-103.6K0.4717.10N/AN/A121,92057,152938,560488,576
2008-04-14$1.11$1.1653.2%15.3%62.0%0.0%53.2%7.0%-2.4%1.6M-9.6M-93.0K0.4614.34N/AN/A69,82432,000943,424517,952
2008-04-15$1.11$1.1353.2%15.2%61.0%0.0%51.6%7.0%-2.7%1.7M-9.4M-90.9K0.1015.80N/AN/A96,6409,600977,408539,328
2008-04-16$1.19$1.1345.0%12.9%59.1%0.0%44.7%9.1%0.9%3.0M-62.8M-83.9K0.2317.51N/AN/A227,64852,3521,000,768542,080
2008-04-17$1.19$1.1144.2%12.7%55.4%0.0%43.8%5.2%2.6%3.2M-64.7M-89.0K0.1229.35N/AN/A239,74429,1841,067,648562,560
2008-04-18$1.24$1.1439.6%11.4%56.0%0.0%40.1%5.9%5.5%3.4M-91.2M-84.6K0.2849.49N/AN/A284,60879,1681,080,576568,512
2008-04-21$1.26$1.1441.0%11.8%49.5%0.0%42.3%10.2%2.5%745.5K-23.9M-103.8K1.8220.54N/AN/A53,37696,896438,400257,984
2008-04-22$1.23$1.1442.0%12.1%50.2%0.0%43.7%9.0%1.0%694.4K-19.7M-101.7K0.7918.89N/AN/A88,70470,016435,200257,984
2008-04-23$1.24$1.1741.6%11.9%49.5%0.0%41.8%8.6%1.6%672.9K-21.9M-117.7K0.3424.49N/AN/A90,88030,720497,728329,088
2008-04-24$1.26$1.1741.2%11.8%48.6%0.0%41.7%7.0%2.4%903.0K-29.6M-123.0K0.2932.77N/AN/A144,32041,408546,432338,368
2008-04-25$1.26$1.1742.3%12.1%48.0%0.0%45.7%11.8%-5.6%1.0M-29.0M-133.3K0.3432.67N/AN/A130,49644,224600,768350,784
2008-04-28$1.27$1.1743.5%12.5%48.0%0.0%43.8%9.9%0.5%1.3M-39.1M-135.5K0.7634.10N/AN/A33,28025,216694,144360,448
2008-04-29$1.28$1.1742.3%12.1%39.6%0.0%42.2%9.5%-0.1%1.4M-43.4M-133.1K0.1940.45N/AN/A68,73613,312696,704369,600
2008-04-30$1.26$1.1741.8%12.0%40.1%0.0%40.8%9.4%1.0%1.4M-37.5M-132.4K2.7033.95N/AN/A91,840248,064706,496373,056