QLD Options History — November 2008

In November 2008, QLD traded between $0.32 and $0.58. ATM implied volatility averaged 112.0%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 32.0%. IV traded below realized volatility by 25.2% (HV 20d: 137.2%). Max pain ranged from $0.34 to $0.52. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.38.

Notable Days

  • 2008-11-21: Highest Volume — 1,712,832 contracts
  • 2008-11-24: Largest IV drop — 23.2% change
  • 2008-11-20: Highest IV Rank — 81.7%
  • 2008-11-20: Largest Expected Move — 43.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.43$0.32$0.58$0.55$0.41
Max Pain$0.46$0.34$0.52$0.52$0.39
ATM IV112.0%86.3%150.2%99.9%95.0%
Expected Move32.0%24.7%43.1%28.6%27.2%
HV 20d137.2%117.7%164.7%160.4%119.9%
HV 60d122.3%113.6%131.1%113.6%130.7%
IV Rank57.3%36.0%81.7%51.0%42.2%
IV Percentile91.7%83.7%98.4%91.3%84.5%
Term Structure-2.4%-13.6%13.1%-2.2%5.8%
VWIV109.5%87.5%146.6%102.1%93.1%
Skew 25d27.8%14.1%42.0%23.5%33.8%
Skew 10d47.3%22.6%78.5%42.4%57.1%
Call IV 25d96.7%72.5%134.6%87.4%78.5%
Put IV 25d124.6%100.9%158.4%110.9%112.3%
Bid-Ask Spread %19.9515.2130.7115.5216.44
Gamma HHI0.080.060.130.060.13
Net GEX444.6K-183.2K1.3M1.0M468.0K
Net DEX7.0M-50.7M48.0M-32.5M-11.9M
Net VEX-129.5K-196.4K-70.3K-193.8K-115.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.170.880.440.17
Total Volume677,537.684123,1361,712,832203,072123,136
Total OI5,167,838.3162,731,3926,783,4244,546,8803,575,616

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$0.55$0.5299.9%28.6%160.4%51.0%102.1%23.5%-2.2%1.0M-32.5M-193.8K0.4415.52N/AN/A140,60862,4643,087,4881,459,392
2008-11-04$0.58$0.5289.0%25.5%157.5%44.0%89.2%21.1%-5.5%1.3M-50.7M-196.4K0.1815.21N/AN/A728,640130,7523,114,6881,461,888
2008-11-05$0.51$0.5299.3%28.5%162.6%50.6%100.1%14.1%-4.5%1.1M-21.3M-189.6K0.3915.89N/AN/A407,168160,5763,434,3681,495,552
2008-11-06$0.47$0.52118.5%34.0%163.9%62.9%118.0%16.5%-12.4%750.9K-2.3M-167.6K0.7221.07N/AN/A633,152454,8483,485,8881,542,656
2008-11-07$0.49$0.50101.2%28.8%164.7%51.8%98.1%30.4%-1.6%915.9K-6.7M-175.1K0.3320.31N/AN/A314,560102,3363,608,2561,774,400
2008-11-10$0.48$0.50107.8%29.4%142.0%56.1%99.7%25.5%-0.4%809.5K118.6K-156.0K0.3018.77N/AN/A247,80874,1123,654,3361,790,528
2008-11-11$0.46$0.50104.5%30.3%139.0%53.9%103.7%25.3%-0.0%581.3K10.8M-140.3K0.4117.99N/AN/A549,696227,7123,673,2161,812,608
2008-11-12$0.41$0.50121.9%33.8%125.2%65.2%114.4%20.9%-5.8%161.9K25.8M-125.9K0.4616.63N/AN/A353,728162,8163,750,0161,942,400
2008-11-13$0.46$0.48104.6%30.0%125.6%54.0%112.0%28.9%-2.3%596.4K10.5M-138.8K0.3530.71N/AN/A699,584243,0083,821,0561,980,352
2008-11-14$0.42$0.47116.8%33.5%130.1%61.9%113.4%27.8%-4.1%231.2K24.1M-125.0K0.2524.18N/AN/A759,488187,7123,952,6402,017,600
2008-11-17$0.40$0.47123.4%35.4%127.1%66.1%121.0%28.7%-7.2%137.3K30.3M-107.3K0.2823.13N/AN/A302,01685,0564,161,3442,059,456
2008-11-18$0.40$0.44128.5%36.9%122.8%69.5%117.6%35.0%-4.7%-138.3K37.5M-92.9K0.1822.24N/AN/A448,25682,8164,257,4722,075,264
2008-11-19$0.35$0.44139.3%39.9%125.9%73.9%134.0%25.0%-9.0%-125.6K42.2M-78.7K0.6119.61N/AN/A386,240236,7364,365,4402,058,112
2008-11-20$0.32$0.44150.2%43.1%129.1%81.7%146.6%23.8%-13.6%-183.2K47.3M-70.3K0.4124.07N/AN/A602,560244,2884,452,7362,143,104
2008-11-21$0.35$0.42134.5%38.6%132.4%70.5%126.0%30.7%-2.7%-31.6K48.0M-74.6K0.8825.21N/AN/A909,376803,4564,555,0722,228,352
2008-11-24$0.39$0.34103.3%29.6%138.2%48.1%101.1%42.0%8.0%147.6K-2.1M-92.0K0.2715.84N/AN/A703,040188,4801,784,192947,200
2008-11-25$0.39$0.38104.2%29.9%117.7%48.7%103.8%41.6%3.0%268.4K-3.7M-106.7K0.3317.35N/AN/A390,400126,9762,158,7841,088,896
2008-11-26$0.42$0.3986.3%24.7%122.0%36.0%87.5%34.6%13.1%433.6K-11.9M-113.0K0.3118.93N/AN/A456,704142,9122,272,3201,146,240
2008-11-28$0.41$0.3995.0%27.2%119.9%42.2%93.1%33.8%5.8%468.0K-11.9M-115.6K0.1716.44N/AN/A104,89618,2402,387,2001,188,416