QLD Options History — July 2008 In July 2008, QLD traded between $1.09 and $1.18. ATM implied volatility averaged 55.7%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 8.2% (HV 20d: 47.4%). Max pain ranged from $1.11 to $1.20. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.41.
Notable Days 2008-07-18 : Highest Volume — 432,384 contracts2008-07-22 : Largest IV drop — 9.5% change2008-07-14 : Highest IV Rank — 81.4%2008-07-14 : Largest Expected Move — 18.1%Monthly Statistics Metric Avg Min Max Open Close Price $1.13 $1.09 $1.18 $1.18 $1.15 Max Pain $1.14 $1.11 $1.20 $1.20 $1.13 ATM IV 55.7% 48.8% 63.3% 54.1% 48.8% Expected Move 15.9% 14.0% 18.1% 15.5% 14.0% HV 20d 47.4% 38.8% 53.6% 52.3% 38.8% HV 60d 44.4% 43.0% 46.2% 45.0% 43.5% IV Rank 66.7% 53.4% 81.4% 63.7% 53.4% IV Percentile 75.9% 43.6% 96.6% 79.0% 43.6% Term Structure -0.8% -4.1% 2.0% 1.1% 0.1% VWIV 54.7% 48.5% 62.6% 53.5% 48.5% Skew 25d 8.6% 4.7% 12.9% 8.6% 5.5% Skew 10d 15.8% 8.7% 21.8% 16.2% 10.6% Call IV 25d 51.0% 45.1% 59.1% 49.1% 45.1% Put IV 25d 59.6% 50.6% 70.3% 57.7% 50.6% Bid-Ask Spread % 27.00 17.89 45.35 20.26 19.32 Gamma HHI 0.11 0.08 0.17 0.10 0.10 Net GEX 1.3M -59.3K 2.3M 1.5M 1.9M Net DEX -6.1M -31.2M 18.9M -6.6M -30.8M Net VEX -143.0K -164.0K -114.3K -161.1K -163.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.41 0.14 1.01 0.29 0.28 Total Volume 210,781.091 85,952 432,384 226,432 127,488 Total OI 1,706,280.727 963,200 2,328,000 1,641,472 1,535,872
Daily Data (22 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 2008-07-01 $1.18 $1.20 54.1% 15.5% 52.3% 63.7% 53.5% 8.6% 1.1% 1.5M -6.6M -161.1K 0.29 20.26 N/A N/A 175,744 50,688 1,128,704 512,768 2008-07-02 $1.12 $1.20 59.0% 16.9% 53.6% 73.1% 57.9% 10.0% -0.6% 1.1M 5.4M -147.6K 0.31 26.77 N/A N/A 121,536 37,824 1,182,016 532,736 2008-07-03 $1.11 $1.20 56.3% 16.1% 50.6% 67.9% 54.4% 7.1% 1.2% 1.2M 5.8M -143.6K 0.48 35.15 N/A N/A 91,648 44,352 1,227,968 538,752 2008-07-07 $1.13 $1.11 60.3% 16.8% 47.0% 75.6% 56.0% 8.5% -3.1% 1.3M 3.5M -136.2K 0.21 19.88 N/A N/A 190,336 40,640 1,251,776 550,912 2008-07-08 $1.17 $1.13 55.1% 16.2% 49.4% 65.6% 55.0% 9.8% -1.0% 2.1M -13.9M -151.5K 0.23 24.62 N/A N/A 313,408 70,592 1,302,400 570,624 2008-07-09 $1.12 $1.14 59.1% 16.6% 50.7% 73.4% 55.0% 8.8% -1.3% 1.5M 2.1M -148.2K 0.36 23.85 N/A N/A 174,016 62,784 1,376,448 611,392 2008-07-10 $1.14 $1.14 58.3% 16.7% 49.3% 71.7% 57.6% 8.5% -1.6% 2.0M -5.3M -156.1K 0.24 17.89 N/A N/A 111,680 26,560 1,415,872 625,280 2008-07-11 $1.11 $1.16 60.2% 17.3% 50.1% 75.5% 59.8% 10.7% -2.3% 1.4M 6.8M -140.3K 0.45 24.68 N/A N/A 149,888 67,200 1,436,288 631,808 2008-07-14 $1.09 $1.14 63.3% 18.1% 47.4% 81.4% 62.4% 11.2% -4.1% 1.1M 14.3M -127.6K 1.01 23.65 N/A N/A 100,672 101,760 1,484,096 667,136 2008-07-15 $1.09 $1.14 62.5% 17.9% 46.6% 79.9% 62.6% 12.9% -2.7% 678.1K 18.9M -120.8K 0.52 34.91 N/A N/A 185,216 96,192 1,517,568 700,800 2008-07-16 $1.14 $1.13 56.7% 16.3% 50.8% 68.7% 56.7% 11.5% -0.1% 2.3M -3.7M -136.6K 0.35 28.23 N/A N/A 175,168 61,952 1,565,184 723,840 2008-07-17 $1.14 $1.13 56.4% 16.2% 50.5% 68.2% 54.6% 10.4% -1.8% 2.2M -1.4M -130.8K 0.38 43.31 N/A N/A 169,792 63,936 1,572,800 733,888 2008-07-18 $1.12 $1.14 57.3% 16.4% 48.9% 69.8% 55.3% 11.4% -3.0% -59.3K 12.1M -114.3K 0.24 24.42 N/A N/A 349,056 83,328 1,593,600 734,400 2008-07-21 $1.12 $1.13 55.5% 15.9% 46.4% 66.5% 55.4% 8.4% -0.4% 733.0K -10.7M -131.0K 0.33 45.35 N/A N/A 102,592 34,176 638,208 324,992 2008-07-22 $1.12 $1.13 50.2% 14.4% 46.0% 56.3% 49.9% 8.6% 2.0% 886.6K -10.6M -129.2K 1.00 25.98 N/A N/A 93,696 93,248 683,520 345,664 2008-07-23 $1.15 $1.13 53.4% 15.3% 47.0% 62.3% 51.8% 8.5% -1.6% 1.0M -19.5M -139.9K 0.50 29.98 N/A N/A 184,512 93,056 719,552 363,840 2008-07-24 $1.11 $1.13 53.5% 15.3% 47.3% 62.5% 52.9% 6.4% 0.3% 1.1M -13.9M -145.2K 0.75 20.26 N/A N/A 88,320 66,240 812,736 394,816 2008-07-25 $1.14 $1.13 49.7% 14.3% 41.5% 55.3% 49.4% 7.2% 0.3% 1.2M -19.5M -155.1K 0.14 29.14 N/A N/A 75,136 10,816 844,288 442,944 2008-07-28 $1.10 $1.13 54.3% 15.6% 42.7% 64.0% 53.9% 4.7% -0.3% 1.1M -10.8M -145.5K 0.27 30.42 N/A N/A 137,344 37,376 869,504 451,264 2008-07-29 $1.14 $1.13 51.1% 14.6% 43.5% 57.9% 50.0% 5.1% 0.3% 1.6M -25.1M -158.0K 0.32 23.83 N/A N/A 137,280 43,776 952,896 475,456 2008-07-30 $1.16 $1.13 49.5% 14.2% 42.9% 54.8% 50.1% 4.9% 1.3% 1.8M -31.2M -164.0K 0.31 22.15 N/A N/A 149,568 46,592 992,768 500,800 2008-07-31 $1.15 $1.13 48.8% 14.0% 38.8% 53.4% 48.5% 5.5% 0.1% 1.9M -30.8M -163.7K 0.28 19.32 N/A N/A 99,968 27,520 1,022,016 513,856
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