QLD Options History — December 2008

In December 2008, QLD traded between $0.35 and $0.45. ATM implied volatility averaged 89.9%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded below realized volatility by 23.5% (HV 20d: 113.4%). Max pain ranged from $0.38 to $0.45. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2008-12-08: Highest Volume — 989,248 contracts
  • 2008-12-19: Largest IV drop — 13.9% change
  • 2008-12-01: Highest IV Rank — 56.6%
  • 2008-12-01: Largest Expected Move — 33.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.41$0.35$0.45$0.35$0.42
Max Pain$0.42$0.38$0.45$0.39$0.42
ATM IV89.9%68.9%115.1%115.1%68.9%
Expected Move26.1%19.8%33.0%33.0%19.8%
HV 20d113.4%70.2%133.6%130.5%70.2%
HV 60d133.9%126.0%137.9%134.0%126.0%
IV Rank38.5%23.6%56.6%56.6%23.6%
IV Percentile80.6%71.0%91.7%91.7%71.0%
Term Structure2.6%-3.8%9.8%3.2%4.0%
VWIV90.1%68.3%117.7%117.7%68.3%
Skew 25d14.2%3.6%25.1%16.3%14.0%
Skew 10d26.1%6.5%46.8%33.6%31.1%
Call IV 25d83.8%63.3%112.1%112.1%63.3%
Put IV 25d98.0%75.5%128.4%128.4%77.3%
Bid-Ask Spread %11.805.8822.3017.885.88
Gamma HHI0.140.100.430.100.13
Net GEX963.1K235.6K2.4M235.6K579.9K
Net DEX-18.6M-56.0M4.3M4.3M-7.5M
Net VEX-100.0K-129.6K-73.0K-92.6K-87.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.140.960.650.36
Total Volume448,488.727103,680989,248441,792278,848
Total OI4,155,662.5452,473,9205,584,0003,629,9523,129,472

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$0.35$0.39115.1%33.0%130.5%56.6%117.7%16.3%3.2%235.6K4.3M-92.6K0.6517.88N/AN/A267,136174,6562,432,7041,197,248
2008-12-02$0.37$0.39110.3%31.6%133.6%53.1%110.7%19.4%1.2%317.7K-940.5K-102.3K0.2119.90N/AN/A424,51288,1922,481,4081,254,976
2008-12-03$0.39$0.38106.7%30.6%133.1%50.6%107.3%25.1%1.6%538.8K-11.9M-115.8K0.2814.16N/AN/A308,86485,4402,698,4321,289,024
2008-12-04$0.37$0.38113.5%32.5%129.0%55.4%107.9%21.9%-3.8%472.8K-4.5M-108.8K0.3316.93N/AN/A296,06498,4962,802,8801,296,896
2008-12-05$0.40$0.4599.1%30.7%129.1%45.2%109.1%22.4%-2.3%743.8K-18.4M-121.8K0.3217.18N/AN/A471,872152,8962,950,5281,353,920
2008-12-08$0.43$0.4495.9%28.9%131.4%42.8%101.9%18.1%-3.3%976.3K-36.5M-123.9K0.4022.30N/AN/A706,816282,4323,044,9281,417,024
2008-12-09$0.43$0.4497.8%29.0%131.3%44.2%97.4%15.9%-2.3%1.1M-36.3M-129.6K0.4310.39N/AN/A462,912200,0003,263,9361,539,584
2008-12-10$0.43$0.4491.7%28.5%130.7%39.8%96.8%14.9%0.1%1.3M-39.2M-127.6K0.2610.77N/AN/A302,46479,7443,435,0081,484,672
2008-12-11$0.41$0.4498.2%28.1%126.6%44.4%95.2%9.7%-0.3%1.2M-22.1M-116.7K0.3310.70N/AN/A264,32086,9763,528,5761,501,888
2008-12-12$0.42$0.4496.5%27.7%120.6%43.3%96.9%12.0%0.5%1.5M-32.9M-121.0K0.3715.46N/AN/A345,408129,3443,613,6321,528,896
2008-12-15$0.41$0.44101.4%29.1%115.5%46.8%99.1%8.9%-0.2%1.4M-25.1M-106.3K0.539.83N/AN/A341,248179,3283,749,5041,568,192
2008-12-16$0.45$0.4489.6%25.7%118.8%38.4%85.4%20.3%1.3%2.1M-56.0M-106.8K0.3611.95N/AN/A501,568179,0083,813,3761,626,048
2008-12-17$0.43$0.4485.7%24.6%119.2%35.5%85.1%15.0%3.3%2.4M-48.1M-99.5K0.519.63N/AN/A165,12084,6723,909,1201,663,552
2008-12-18$0.42$0.4486.1%24.7%112.4%35.9%85.2%14.6%3.0%1.9M-29.7M-86.0K0.2310.59N/AN/A534,336122,1763,901,3761,669,248
2008-12-19$0.43$0.4474.2%21.3%105.4%27.3%71.9%18.0%9.8%1.9M-30.8M-74.9K0.289.99N/AN/A643,264177,5363,855,6161,728,384
2008-12-22$0.41$0.4275.7%21.7%104.4%28.4%74.5%10.0%6.5%374.1K-2.2M-73.0K0.648.50N/AN/A310,912197,4401,810,944662,976
2008-12-23$0.40$0.4273.0%20.9%97.0%26.5%72.7%5.6%7.3%359.5K-918.9K-82.6K0.287.11N/AN/A129,85636,8001,944,576812,928
2008-12-24$0.40$0.4272.5%20.8%97.0%26.1%74.2%6.8%9.1%389.5K-1.9M-83.5K0.588.38N/AN/A68,03239,2321,991,296816,064
2008-12-26$0.41$0.4273.3%21.0%92.6%26.7%72.3%3.6%7.5%419.3K-2.8M-82.6K0.147.17N/AN/A91,13612,5442,022,080810,880
2008-12-29$0.39$0.4279.1%22.7%92.9%30.8%77.6%8.4%4.5%382.8K-112.6K-77.3K0.207.44N/AN/A153,08830,5922,058,176820,928
2008-12-30$0.41$0.4273.0%20.9%72.9%26.4%74.5%12.4%6.6%520.6K-4.8M-80.9K0.967.40N/AN/A184,192177,2802,106,496837,184
2008-12-31$0.42$0.4268.9%19.8%70.2%23.6%68.3%14.0%4.0%579.9K-7.5M-87.5K0.365.88N/AN/A205,76073,0882,184,128945,344