QLD Options History — May 2008

In May 2008, QLD traded between $1.31 and $1.42. ATM implied volatility averaged 39.4%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 1.0% (HV 20d: 40.5%). Max pain ranged from $1.20 to $1.34. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2008-05-01: Highest Volume — 299,648 contracts
  • 2008-05-13: Largest IV drop — 12.8% change
  • 2008-05-27: Highest IV Rank — 42.3%
  • 2008-05-09: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.36$1.31$1.42$1.34$1.41
Max Pain$1.30$1.20$1.34$1.22$1.25
ATM IV39.4%36.0%43.0%37.5%38.7%
Expected Move11.5%10.3%12.4%10.8%11.1%
HV 20d40.5%34.6%47.3%45.0%34.6%
HV 60d51.6%50.9%52.5%51.8%51.9%
IV Rank35.7%28.9%42.3%28.9%34.1%
IV Percentile12.9%4.0%28.2%4.0%11.7%
Term Structure2.5%-0.5%4.5%1.7%3.0%
VWIV40.9%36.7%47.5%40.1%40.3%
Skew 25d7.0%5.8%8.8%8.5%6.3%
Skew 10d13.0%11.2%15.9%13.3%12.8%
Call IV 25d37.3%31.8%40.3%33.4%35.9%
Put IV 25d44.2%39.7%47.8%41.9%42.1%
Bid-Ask Spread %25.6413.4657.6228.3223.07
Gamma HHI0.130.070.570.120.09
Net GEX1.5M517.5K2.5M996.9K1.7M
Net DEX-54.7M-102.7M-15.6M-57.3M-58.7M
Net VEX-138.6K-168.7K-112.1K-140.6K-168.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.171.340.740.55
Total Volume140,848.76258,944299,648299,648111,616
Total OI1,216,984.381645,1201,561,0881,242,0481,204,864

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$1.34$1.2237.5%10.8%45.0%0.0%40.1%8.5%1.7%996.9K-57.3M-140.6K0.7428.32N/AN/A171,968127,680736,960505,088
2008-05-02$1.36$1.2036.0%10.3%45.1%28.9%36.7%7.9%2.6%1.5M-66.1M-136.7K0.8557.62N/AN/A73,15261,888790,528485,504
2008-05-05$1.34$1.2837.9%11.4%45.4%32.6%39.0%8.0%0.5%1.6M-61.9M-138.5K0.3922.09N/AN/A45,56817,664818,240500,288
2008-05-06$1.37$1.3036.6%11.2%45.4%30.0%39.5%6.3%1.5%1.7M-72.6M-129.2K1.2425.74N/AN/A47,55259,008831,808509,696
2008-05-07$1.32$1.3140.5%12.0%47.3%37.5%41.6%8.0%-0.4%1.6M-52.2M-141.3K0.4813.46N/AN/A97,66447,232845,632526,080
2008-05-08$1.32$1.3140.8%12.0%46.9%38.1%40.6%8.8%0.3%1.8M-58.0M-141.3K1.2413.49N/AN/A66,62482,560884,352537,536
2008-05-09$1.32$1.3140.6%12.4%41.2%37.7%47.5%8.6%-0.5%1.8M-55.5M-143.9K1.3416.44N/AN/A36,09648,192894,656559,616
2008-05-12$1.37$1.3142.8%12.0%41.5%41.9%42.9%7.3%0.7%2.1M-78.4M-124.7K0.7519.99N/AN/A46,91235,200896,384573,632
2008-05-13$1.37$1.3137.3%11.4%41.4%31.4%41.4%6.2%2.2%2.3M-82.5M-121.6K0.6422.72N/AN/A35,96822,976900,992577,024
2008-05-14$1.36$1.3137.2%11.7%35.2%31.1%40.2%6.4%0.9%2.5M-80.0M-117.7K0.4722.39N/AN/A173,18481,472914,048592,320
2008-05-15$1.42$1.3137.7%10.8%36.8%32.2%38.6%6.4%3.9%1.9M-102.6M-115.1K0.6716.56N/AN/A102,20868,544940,416610,944
2008-05-16$1.42$1.3337.6%10.8%35.1%31.9%38.4%6.2%3.8%2.5M-102.7M-113.0K0.3435.04N/AN/A108,41636,544932,800628,288
2008-05-19$1.40$1.3337.1%10.6%35.5%31.0%37.5%6.2%4.1%517.5K-27.1M-112.1K0.4930.11N/AN/A168,19282,688411,456233,664
2008-05-20$1.38$1.3338.8%11.1%35.4%34.2%38.9%6.8%4.5%698.5K-27.0M-133.4K0.5823.25N/AN/A61,50435,520508,480276,544
2008-05-21$1.32$1.3441.6%11.9%39.1%39.7%40.3%6.2%4.0%595.3K-15.8M-137.6K0.3124.21N/AN/A137,79243,392528,384302,272
2008-05-22$1.32$1.3341.8%12.0%38.9%40.0%41.8%6.7%4.4%727.9K-17.7M-152.3K0.6319.68N/AN/A71,48845,120587,328333,248
2008-05-23$1.31$1.3342.7%12.2%39.0%41.7%42.5%6.7%3.8%635.5K-15.6M-154.4K0.7936.35N/AN/A37,37629,376596,672358,400
2008-05-27$1.36$1.3343.0%12.3%40.5%42.3%45.0%6.5%3.8%815.2K-25.8M-155.9K0.2221.03N/AN/A153,21634,112608,320366,848
2008-05-28$1.37$1.3041.7%12.0%40.5%39.8%45.4%5.8%3.4%1.2M-37.8M-164.8K0.1727.75N/AN/A118,14420,160701,440375,040
2008-05-29$1.40$1.2540.5%11.6%40.2%37.5%41.3%6.3%3.6%1.6M-53.8M-167.2K0.3939.04N/AN/A81,79232,064785,920384,960
2008-05-30$1.41$1.2538.7%11.1%34.6%34.1%40.3%6.3%3.0%1.7M-58.7M-168.7K0.5523.07N/AN/A71,87239,744805,824399,040