QLD Options History — June 2008 In June 2008, QLD traded between $1.15 and $1.44. ATM implied volatility averaged 49.7%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 6.3% (HV 20d: 43.4%). Max pain ranged from $1.20 to $1.36. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.42.
Notable Days 2008-06-20 : Highest Volume — 752,192 contracts2008-06-06 : Largest IV spike — 15.0% change2008-06-30 : Highest IV Rank — 71.3%2008-06-30 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $1.30 $1.15 $1.44 $1.38 $1.15 Max Pain $1.27 $1.20 $1.36 $1.25 $1.20 ATM IV 49.7% 41.0% 58.1% 41.0% 58.1% Expected Move 14.2% 11.8% 16.6% 11.8% 16.6% HV 20d 43.4% 34.0% 51.2% 35.6% 50.8% HV 60d 46.5% 41.8% 51.0% 50.9% 44.7% IV Rank 55.3% 38.5% 71.3% 38.5% 71.3% IV Percentile 56.5% 17.8% 88.0% 17.8% 88.0% Term Structure 1.2% -1.1% 4.1% 1.2% -1.1% VWIV 49.0% 41.8% 56.6% 41.8% 56.6% Skew 25d 9.1% 6.4% 11.7% 6.4% 9.2% Skew 10d 15.9% 11.2% 18.9% 11.2% 17.5% Call IV 25d 45.0% 37.6% 53.3% 37.6% 53.3% Put IV 25d 54.1% 44.0% 62.5% 44.0% 62.5% Bid-Ask Spread % 21.15 10.86 49.74 21.39 12.59 Gamma HHI 0.13 0.07 0.35 0.11 0.10 Net GEX 1.5M 32.1K 4.2M 1.7M 1.2M Net DEX -20.9M -56.1M 18.9M -49.1M -73.1K Net VEX -168.5K -190.7K -135.2K -168.3K -153.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.18 0.87 0.25 0.51 Total Volume 242,127.238 57,856 752,192 202,112 122,560 Total OI 1,512,222.476 1,180,928 1,967,104 1,240,384 1,591,104
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-06-02 $1.38 $1.25 41.0% 11.8% 35.6% 38.5% 41.8% 6.4% 1.2% 1.7M -49.1M -168.3K 0.25 21.39 N/A N/A 161,280 40,832 835,456 404,928 2008-06-03 $1.37 $1.25 45.9% 13.2% 35.5% 48.0% 46.4% 7.5% -0.2% 1.7M -45.6M -180.3K 0.76 49.74 N/A N/A 185,152 141,248 881,856 429,120 2008-06-04 $1.39 $1.33 45.0% 12.9% 35.2% 46.1% 45.5% 7.1% 0.5% 1.3M -45.9M -190.7K 0.45 28.25 N/A N/A 83,264 37,376 864,896 522,304 2008-06-05 $1.44 $1.36 41.6% 11.9% 34.0% 39.6% 42.6% 7.3% 1.9% 1.3M -56.1M -180.5K 0.76 21.78 N/A N/A 121,664 91,904 808,896 531,008 2008-06-06 $1.35 $1.28 47.8% 13.5% 42.8% 51.6% 47.1% 10.6% 4.1% 995.6K -24.4M -180.1K 0.87 22.38 N/A N/A 104,896 91,456 820,032 534,784 2008-06-09 $1.34 $1.28 50.6% 14.0% 42.8% 57.0% 48.7% 10.8% 2.5% 985.4K -20.7M -175.5K 0.31 16.75 N/A N/A 161,152 49,536 852,480 556,928 2008-06-10 $1.33 $1.28 52.6% 14.5% 40.9% 60.9% 49.6% 11.7% 0.5% 1.0M -18.2M -182.3K 0.27 12.13 N/A N/A 105,600 28,288 915,008 575,872 2008-06-11 $1.26 $1.28 51.9% 15.1% 43.9% 59.4% 50.8% 10.8% -0.4% 488.2K 5.7M -160.5K 0.35 10.86 N/A N/A 203,712 71,296 940,608 585,216 2008-06-12 $1.27 $1.30 52.6% 15.1% 43.9% 60.9% 50.9% 10.5% 0.7% 567.4K 3.7M -170.5K 0.28 12.14 N/A N/A 183,488 52,288 1,021,952 613,184 2008-06-13 $1.31 $1.30 48.8% 14.0% 43.7% 53.4% 47.0% 9.1% 1.5% 1.0M -13.9M -175.3K 0.25 12.10 N/A N/A 218,752 55,360 1,005,568 619,392 2008-06-16 $1.33 $1.30 47.4% 13.6% 44.1% 50.9% 47.7% 9.8% 2.3% 1.7M -28.3M -172.1K 0.31 20.95 N/A N/A 232,960 72,960 1,074,240 634,304 2008-06-17 $1.33 $1.30 46.7% 13.4% 44.1% 49.4% 46.7% 9.2% 2.8% 3.1M -31.8M -173.1K 0.38 16.49 N/A N/A 41,984 15,872 1,208,256 627,328 2008-06-18 $1.30 $1.30 49.6% 14.2% 44.3% 55.0% 48.1% 9.2% 0.2% 2.5M -11.9M -161.1K 0.71 17.45 N/A N/A 94,592 67,584 1,210,752 633,664 2008-06-19 $1.33 $1.30 46.5% 13.3% 43.1% 49.0% 46.9% 8.9% 2.9% 4.2M -37.7M -162.2K 0.62 17.99 N/A N/A 198,784 123,392 1,248,448 670,016 2008-06-20 $1.27 $1.30 51.9% 14.9% 46.7% 59.4% 52.8% 9.6% 0.6% 32.1K 18.9M -135.2K 0.28 22.08 N/A N/A 585,856 166,336 1,246,720 720,384 2008-06-23 $1.24 $1.23 51.5% 14.8% 47.3% 58.7% 49.4% 9.0% 1.9% 1.3M -18.3M -159.2K 0.18 21.54 N/A N/A 186,432 32,768 817,088 363,840 2008-06-24 $1.23 $1.23 52.5% 15.1% 45.3% 60.7% 52.5% 8.7% 1.1% 1.4M -16.9M -166.2K 0.20 24.38 N/A N/A 231,232 46,592 876,608 379,584 2008-06-25 $1.26 $1.20 49.5% 14.2% 45.9% 54.8% 47.9% 8.6% 2.0% 2.0M -40.2M -189.4K 0.30 25.65 N/A N/A 116,288 34,496 1,032,512 388,224 2008-06-26 $1.17 $1.23 56.7% 16.2% 51.2% 68.6% 55.5% 8.7% -0.2% 1.2M -4.5M -155.0K 0.41 30.65 N/A N/A 238,528 97,728 953,088 403,968 2008-06-27 $1.17 $1.23 56.2% 16.1% 50.8% 67.7% 55.0% 8.7% 0.7% 1.2M -2.7M -147.4K 0.43 26.88 N/A N/A 132,224 56,960 953,088 403,968 2008-06-30 $1.15 $1.20 58.1% 16.6% 50.8% 71.3% 56.6% 9.2% -1.1% 1.2M -73.1K -153.1K 0.51 12.59 N/A N/A 80,960 41,600 1,104,448 486,656
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