QLD Options History — October 2008 In October 2008, QLD traded between $0.42 and $0.80. ATM implied volatility averaged 128.0%, placing in the 77.0% IV rank vs the trailing year. The 30-day expected move averaged 33.3%. IV traded below realized volatility by 14.9% (HV 20d: 142.9%). Max pain ranged from $0.48 to $0.88. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.34.
Notable Days 2008-10-13 : Highest Volume — 1,238,080 contracts2008-10-06 : Largest IV spike — 26.0% change2008-10-02 : Highest IV Rank — 100.0%2008-10-09 : Largest Expected Move — 40.8%Monthly Statistics Metric Avg Min Max Open Close Price $0.56 $0.42 $0.80 $0.80 $0.54 Max Pain $0.63 $0.48 $0.88 $0.88 $0.52 ATM IV 128.0% 94.7% 175.8% 94.7% 103.3% Expected Move 33.3% 27.1% 40.8% 27.1% 29.6% HV 20d 142.9% 107.4% 164.7% 107.4% 163.5% HV 60d 94.4% 69.8% 114.5% 69.8% 114.1% IV Rank 77.0% 50.6% 100.0% 81.7% 53.2% IV Percentile 97.2% 91.7% 100.0% 99.6% 91.7% Term Structure -12.8% -24.5% -2.6% -14.7% -2.6% VWIV 113.8% 94.0% 136.9% 94.0% 102.5% Skew 25d 19.7% 3.8% 34.2% 3.9% 24.8% Skew 10d 34.1% 6.7% 61.2% 8.2% 46.8% Call IV 25d 105.1% 83.9% 130.9% 92.3% 89.1% Put IV 25d 124.8% 96.3% 144.1% 96.3% 114.0% Bid-Ask Spread % 38.07 15.15 72.27 25.22 17.78 Gamma HHI 0.08 0.04 0.29 0.09 0.06 Net GEX 690.4K 220.2K 1.4M 1.2M 939.4K Net DEX 2.8M -33.5M 27.0M 1.7M -33.5M Net VEX -135.4K -202.8K -97.7K -166.6K -202.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.34 0.11 0.79 0.21 0.42 Total Volume 672,395.13 334,464 1,238,080 671,936 410,688 Total OI 4,140,591.304 2,201,984 6,389,056 3,087,296 4,435,712
Daily Data (23 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 2008-10-01 $0.80 $0.88 94.7% 27.1% 107.4% 81.7% 94.0% 3.9% -14.7% 1.2M 1.7M -166.6K 0.21 25.22 N/A N/A 553,600 118,336 2,410,624 676,672 2008-10-02 $0.73 $0.84 112.5% 32.2% 108.7% 100.0% 109.8% 15.9% -16.4% 1.1M 7.1M -162.3K 0.11 69.32 N/A N/A 363,520 38,784 2,771,392 746,880 2008-10-03 $0.70 $0.81 111.0% 31.8% 109.0% 98.4% 105.5% 18.6% -24.5% 838.9K 17.3M -128.2K 0.14 72.27 N/A N/A 731,008 103,232 2,855,488 753,920 2008-10-06 $0.63 $0.78 139.9% 30.5% 112.4% 100.0% 102.5% 5.7% -13.8% 786.6K 20.1M -117.6K 0.27 53.66 N/A N/A 654,272 175,296 3,291,392 817,088 2008-10-07 $0.57 $0.75 140.9% 31.7% 116.0% 100.0% 107.0% 3.8% -15.4% 591.3K 23.4M -102.5K 0.16 55.35 N/A N/A 341,312 55,360 3,612,224 826,048 2008-10-08 $0.56 $0.75 145.2% 32.4% 115.1% 100.0% 106.2% 11.2% -13.2% 705.4K 17.3M -110.6K 0.26 50.42 N/A N/A 521,152 138,048 3,779,200 800,512 2008-10-09 $0.51 $0.73 175.8% 40.8% 113.4% 100.0% 131.2% 13.0% -23.9% 620.5K 14.2M -115.9K 0.23 48.71 N/A N/A 435,392 99,840 3,882,368 883,520 2008-10-10 $0.52 $0.70 172.5% 39.9% 114.0% 97.8% 136.9% 16.5% -16.6% 564.1K 15.6M -115.3K 0.18 51.59 N/A N/A 507,904 93,568 4,039,424 884,928 2008-10-13 $0.65 $0.63 142.7% 31.2% 144.7% 78.6% 106.5% 26.2% -14.7% 1.4M -12.4M -153.0K 0.23 37.27 N/A N/A 1,010,048 228,032 4,316,160 890,752 2008-10-14 $0.59 $0.61 152.2% 31.7% 146.8% 84.7% 108.3% 20.3% -15.8% 1.1M 173.7K -140.3K 0.35 38.18 N/A N/A 546,880 190,912 4,615,296 1,029,888 2008-10-15 $0.48 $0.61 154.9% 34.5% 157.3% 86.5% 118.0% 11.4% -13.9% 355.5K 27.0M -97.7K 0.25 46.48 N/A N/A 749,248 188,928 4,682,624 1,110,528 2008-10-16 $0.54 $0.58 123.8% 35.5% 161.1% 66.4% 123.4% 24.5% -14.0% 826.5K 13.0M -122.2K 0.36 43.85 N/A N/A 737,280 263,936 4,944,832 1,120,192 2008-10-17 $0.53 $0.55 109.4% 31.4% 159.5% 57.1% 107.7% 15.8% -8.9% 966.2K 12.6M -115.4K 0.21 54.00 N/A N/A 708,928 146,624 5,141,504 1,247,552 2008-10-20 $0.57 $0.55 99.4% 28.5% 162.1% 50.6% 103.6% 34.2% -9.5% 508.2K -9.3M -120.5K 0.64 54.54 N/A N/A 345,920 219,968 1,668,864 533,120 2008-10-21 $0.51 $0.55 111.2% 31.9% 164.7% 58.3% 108.2% 23.1% -13.3% 367.8K -1.4M -116.7K 0.79 21.00 N/A N/A 318,016 250,048 1,791,808 709,696 2008-10-22 $0.48 $0.55 129.9% 37.2% 164.3% 70.3% 126.7% 24.4% -14.9% 293.7K 222.8K -126.3K 0.42 20.18 N/A N/A 303,808 127,168 1,947,776 839,872 2008-10-23 $0.47 $0.53 129.7% 37.2% 163.7% 70.2% 129.1% 29.3% -11.5% 316.2K -122.4K -131.0K 0.63 26.34 N/A N/A 485,632 308,352 2,046,336 886,464 2008-10-24 $0.45 $0.52 129.5% 37.1% 163.7% 70.1% 127.4% 20.4% -9.8% 260.8K 3.5M -128.5K 0.52 21.92 N/A N/A 362,688 188,032 2,187,072 1,023,680 2008-10-27 $0.42 $0.50 134.9% 38.7% 150.0% 73.6% 130.5% 18.0% -12.1% 220.2K 7.9M -121.2K 0.33 15.15 N/A N/A 251,712 82,752 2,347,072 1,134,656 2008-10-28 $0.51 $0.50 109.2% 31.3% 163.1% 57.0% 113.7% 30.3% -5.5% 514.1K -11.8M -158.3K 0.30 19.61 N/A N/A 540,672 159,744 2,414,016 1,159,360 2008-10-29 $0.51 $0.48 109.4% 31.4% 163.6% 57.1% 107.6% 30.4% -3.1% 620.8K -16.7M -164.4K 0.36 17.43 N/A N/A 597,696 217,984 2,603,840 1,213,056 2008-10-30 $0.54 $0.50 112.2% 32.2% 163.8% 58.9% 111.7% 31.5% -5.3% 807.1K -32.3M -197.2K 0.44 15.46 N/A N/A 410,432 182,336 2,842,624 1,317,568 2008-10-31 $0.54 $0.52 103.3% 29.6% 163.5% 53.2% 102.5% 24.8% -2.6% 939.4K -33.5M -202.8K 0.42 17.78 N/A N/A 289,728 120,960 3,014,848 1,420,864
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