QLD Options History — September 2008 In September 2008, QLD traded between $0.74 and $1.14. ATM implied volatility averaged 63.7%, placing in the 75.8% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 8.8% (HV 20d: 54.9%). Max pain ranged from $0.92 to $1.22. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.35.
Notable Days 2008-09-18 : Highest Volume — 939,776 contracts2008-09-29 : Largest IV spike — 50.8% change2008-09-17 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 31.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.97 $0.74 $1.14 $1.14 $0.82 Max Pain $1.04 $0.92 $1.22 $1.22 $0.92 ATM IV 63.7% 48.6% 111.2% 48.6% 84.4% Expected Move 18.3% 13.9% 31.9% 13.9% 24.2% HV 20d 54.9% 34.5% 107.4% 40.2% 107.4% HV 60d 49.0% 42.4% 70.2% 42.4% 70.2% IV Rank 75.8% 53.2% 100.0% 53.2% 70.3% IV Percentile 83.8% 46.2% 100.0% 46.2% 99.6% Term Structure -4.5% -13.6% 3.9% 3.9% -9.9% VWIV 62.7% 47.8% 109.9% 47.8% 83.4% Skew 25d 5.9% -5.7% 12.3% 5.1% 12.3% Skew 10d 13.2% -2.3% 34.8% 6.4% 24.0% Call IV 25d 60.8% 45.9% 117.2% 45.9% 79.7% Put IV 25d 66.7% 51.0% 111.5% 51.0% 92.0% Bid-Ask Spread % 42.06 14.61 86.75 23.29 34.62 Gamma HHI 0.12 0.05 0.18 0.06 0.08 Net GEX 1.3M -123.2K 3.3M 806.1K 1.1M Net DEX 9.1M -40.4M 46.7M 8.0M 6.3M Net VEX -188.2K -259.1K -129.0K -170.7K -156.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.07 0.81 0.60 0.23 Total Volume 449,743.238 177,216 939,776 243,904 377,280 Total OI 2,963,279.238 1,765,952 4,502,528 1,765,952 2,910,400
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 2008-09-02 $1.14 $1.22 48.6% 13.9% 40.2% 53.2% 47.8% 5.1% 3.9% 806.1K 8.0M -170.7K 0.60 23.29 N/A N/A 152,704 91,200 1,086,912 679,040 2008-09-03 $1.12 $1.22 50.0% 14.3% 34.5% 55.9% 49.7% 5.5% 1.9% 482.1K 17.0M -165.9K 0.49 20.83 N/A N/A 217,024 106,816 1,115,968 744,640 2008-09-04 $1.05 $1.20 54.1% 15.5% 39.4% 63.7% 50.9% 4.4% -0.3% -123.2K 38.8M -140.1K 0.15 19.56 N/A N/A 673,856 101,504 1,198,528 822,208 2008-09-05 $1.05 $1.11 49.3% 15.0% 39.4% 54.5% 51.5% 6.9% 1.1% 783.4K 30.6M -168.3K 0.27 14.61 N/A N/A 461,952 125,440 1,641,728 860,352 2008-09-08 $1.03 $1.08 52.2% 15.6% 35.6% 60.0% 53.2% 5.5% -0.3% 1.2M 22.1M -176.5K 0.43 20.72 N/A N/A 383,104 164,544 1,915,840 916,864 2008-09-09 $1.00 $1.08 53.3% 15.9% 35.5% 62.1% 54.1% 5.9% -1.8% 726.1K 33.8M -168.3K 0.41 29.60 N/A N/A 337,792 139,584 2,087,040 977,408 2008-09-10 $1.00 $1.08 54.2% 15.4% 35.9% 63.8% 52.0% 5.2% -0.6% 941.8K 28.4M -181.3K 0.16 23.55 N/A N/A 325,248 50,880 2,166,016 1,041,472 2008-09-11 $1.05 $1.06 52.4% 15.0% 40.2% 60.3% 51.4% 6.2% 0.3% 2.3M -4.5M -223.6K 0.07 27.45 N/A N/A 469,312 32,960 2,313,856 1,051,840 2008-09-12 $1.05 $1.06 53.6% 15.4% 38.6% 62.8% 52.2% 6.1% -1.8% 3.0M -15.2M -246.7K 0.15 33.12 N/A N/A 378,560 58,496 2,594,880 1,046,592 2008-09-15 $0.98 $1.06 61.4% 17.6% 43.4% 77.7% 60.0% 6.4% -5.7% 1.6M 23.8M -197.1K 0.81 54.04 N/A N/A 166,848 135,488 2,655,360 1,069,056 2008-09-16 $0.99 $1.06 60.1% 17.2% 43.8% 75.2% 58.5% 6.5% -5.7% 1.5M 20.9M -203.6K 0.47 41.59 N/A N/A 236,096 111,744 2,699,840 1,127,168 2008-09-17 $0.89 $1.06 73.4% 21.0% 54.7% 100.0% 76.5% -3.3% -11.5% 575.7K 46.7M -170.7K 0.68 79.92 N/A N/A 323,648 219,776 2,803,584 1,124,672 2008-09-18 $0.95 $1.02 63.1% 18.1% 62.6% 80.4% 64.2% 5.4% -11.4% 1.1M 26.8M -205.0K 0.27 71.58 N/A N/A 738,432 201,344 2,958,720 1,174,720 2008-09-19 $0.99 $0.92 63.6% 18.2% 65.1% 81.4% 56.2% 7.1% -2.6% 3.3M -40.4M -259.1K 0.14 86.75 N/A N/A 779,968 109,120 3,418,752 1,083,776 2008-09-22 $0.92 $0.92 65.0% 18.6% 67.5% 84.1% 62.7% 9.8% -5.8% 1.7M -16.7M -191.0K 0.37 57.20 N/A N/A 229,056 84,800 1,860,864 523,392 2008-09-23 $0.90 $0.94 73.3% 21.0% 67.0% 99.7% 71.1% 7.6% -9.9% 1.3M -5.6M -188.7K 0.20 56.45 N/A N/A 177,280 35,968 1,802,880 576,704 2008-09-24 $0.92 $0.94 70.7% 20.3% 68.1% 94.8% 70.2% 8.2% -6.6% 1.6M -11.7M -199.1K 0.35 26.76 N/A N/A 131,584 45,632 1,867,904 581,440 2008-09-25 $0.92 $0.94 69.3% 19.9% 68.1% 92.3% 67.1% 9.2% -6.5% 1.8M -15.0M -202.6K 0.15 25.61 N/A N/A 242,688 37,184 1,928,832 586,112 2008-09-26 $0.92 $0.94 73.7% 21.1% 67.8% 100.0% 74.5% 8.8% -8.7% 1.7M -17.8M -208.3K 0.70 56.88 N/A N/A 148,800 104,256 1,973,632 600,704 2008-09-29 $0.74 $0.94 111.2% 31.9% 98.3% 100.0% 109.9% -5.7% -13.6% 619.5K 14.4M -129.0K 0.17 79.04 N/A N/A 457,024 79,616 2,022,784 616,384 2008-09-30 $0.82 $0.92 84.4% 24.2% 107.4% 70.3% 83.4% 12.3% -9.9% 1.1M 6.3M -156.8K 0.23 34.62 N/A N/A 307,136 70,144 2,266,944 643,456
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