QLD Options History — August 2008

In August 2008, QLD traded between $1.10 and $1.29. ATM implied volatility averaged 45.1%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 4.5% (HV 20d: 40.6%). Max pain ranged from $1.11 to $1.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2008-08-15: Highest Volume — 563,904 contracts
  • 2008-08-05: Largest IV drop — 16.8% change
  • 2008-08-04: Highest IV Rank — 69.2%
  • 2008-08-04: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.22$1.10$1.29$1.12$1.17
Max Pain$1.20$1.11$1.25$1.13$1.23
ATM IV45.1%40.7%57.0%51.5%41.3%
Expected Move13.0%11.7%15.1%14.8%11.8%
HV 20d40.6%39.0%43.8%39.8%39.8%
HV 60d44.6%43.0%45.6%43.0%44.3%
IV Rank46.4%37.9%69.2%58.7%39.1%
IV Percentile31.1%11.1%83.7%61.4%13.9%
Term Structure3.4%0.7%5.7%0.9%5.7%
VWIV45.6%39.7%52.6%51.5%40.6%
Skew 25d7.6%4.6%11.1%5.8%4.6%
Skew 10d14.2%8.4%19.4%10.4%8.5%
Call IV 25d41.6%37.9%49.2%49.2%38.4%
Put IV 25d49.2%43.0%57.7%55.0%43.0%
Bid-Ask Spread %25.9815.8538.0929.7124.73
Gamma HHI0.100.070.350.090.07
Net GEX2.3M956.3K4.7M1.7M1.0M
Net DEX-47.0M-122.5M1.5M-21.8M1.5M
Net VEX-181.1K-225.1K-148.5K-158.4K-178.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.161.260.490.43
Total Volume242,505.143108,032563,904226,112178,048
Total OI1,728,853.3331,180,2242,297,2801,571,8401,676,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$1.12$1.1351.5%14.8%39.8%58.7%51.5%5.8%0.9%1.7M-21.8M-158.4K0.4929.71N/AN/A152,06474,0481,054,016517,824
2008-08-04$1.10$1.1357.0%15.1%40.1%69.2%52.6%10.6%1.9%1.5M-13.5M-148.5K0.1818.78N/AN/A130,17623,4881,107,456558,592
2008-08-05$1.17$1.1147.4%13.7%43.8%50.8%48.8%11.1%3.2%2.7M-44.7M-159.4K0.1621.90N/AN/A215,16834,8801,158,464563,328
2008-08-06$1.20$1.1342.8%12.8%42.5%41.9%45.5%10.4%4.4%3.4M-64.8M-159.6K0.2023.73N/AN/A277,18456,3841,202,816567,360
2008-08-07$1.19$1.1344.2%12.9%42.5%44.7%45.6%10.1%5.1%3.6M-60.3M-166.3K0.5425.12N/AN/A152,12882,4321,263,552577,728
2008-08-08$1.24$1.1441.8%13.2%42.4%40.0%44.2%8.9%2.4%3.8M-87.2M-163.0K0.4215.85N/AN/A321,216133,6321,278,016594,176
2008-08-11$1.26$1.2044.5%13.3%42.0%45.3%47.4%9.8%1.6%3.6M-96.6M-168.9K0.4422.03N/AN/A255,488113,6001,343,616688,768
2008-08-12$1.27$1.2244.2%13.6%41.8%44.7%48.8%8.7%1.3%3.8M-99.2M-171.1K0.5021.08N/AN/A177,08889,2801,386,240720,960
2008-08-13$1.26$1.2247.6%13.8%39.3%51.2%48.7%8.7%0.7%3.8M-93.3M-174.4K0.2021.11N/AN/A172,99234,4321,403,648761,408
2008-08-14$1.29$1.2044.0%12.6%39.7%44.3%45.3%8.6%4.0%3.8M-118.8M-169.4K0.4332.09N/AN/A184,57679,5521,453,760772,672
2008-08-15$1.29$1.2242.7%12.2%39.1%41.7%42.8%7.6%3.7%4.7M-122.5M-169.5K0.2435.09N/AN/A453,184110,7201,488,064809,216
2008-08-18$1.26$1.2544.6%12.8%40.4%45.4%45.0%6.1%2.5%1.1M-27.6M-182.4K1.0838.09N/AN/A161,280173,568769,792410,432
2008-08-19$1.23$1.2545.9%13.2%41.8%47.9%45.9%6.3%2.8%956.3K-19.8M-200.9K0.4227.17N/AN/A147,00862,336850,112496,832
2008-08-20$1.22$1.2545.9%13.2%41.4%48.0%47.2%6.0%3.5%1.1M-20.1M-211.8K1.2625.36N/AN/A87,936111,104912,064527,232
2008-08-21$1.21$1.2345.7%13.1%39.4%47.6%45.5%5.8%4.2%1.0M-17.1M-213.9K0.3426.62N/AN/A109,37636,672938,624572,160
2008-08-22$1.24$1.2241.8%12.0%39.5%40.0%41.2%6.5%5.3%1.3M-28.6M-225.1K0.2227.97N/AN/A105,85623,040973,632595,840
2008-08-25$1.20$1.2344.9%12.9%40.4%45.9%44.0%6.4%4.0%1.1M-10.6M-193.8K0.3021.57N/AN/A135,61640,064937,344580,032
2008-08-26$1.19$1.2245.8%13.1%39.3%47.8%45.1%6.7%3.6%1.1M-10.0M-195.9K0.2522.68N/AN/A86,46421,568973,760598,016
2008-08-27$1.20$1.2243.1%12.4%39.1%42.6%42.4%6.0%4.5%1.3M-15.3M-197.0K0.2137.76N/AN/A91,39219,456992,256601,856
2008-08-28$1.21$1.2240.7%11.7%39.0%37.9%39.7%5.2%5.5%1.4M-17.3M-195.7K0.7427.11N/AN/A102,46475,6481,012,608615,296
2008-08-29$1.17$1.2341.3%11.8%39.8%39.1%40.6%4.6%5.7%1.0M1.5M-178.6K0.4324.73N/AN/A124,16053,8881,026,432649,920