QLD Options History — January 2009

In January 2009, QLD traded between $0.37 and $0.47. ATM implied volatility averaged 73.8%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 5.0% (HV 20d: 68.7%). Max pain ranged from $0.39 to $0.42. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2009-01-28: Highest Volume — 952,704 contracts
  • 2009-01-12: Largest IV spike — 30.2% change
  • 2009-01-14: Highest IV Rank — 39.4%
  • 2009-01-20: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.42$0.37$0.47$0.46$0.40
Max Pain$0.40$0.39$0.42$0.42$0.41
ATM IV73.8%61.8%91.1%61.9%77.9%
Expected Move21.1%17.7%25.6%17.8%22.3%
HV 20d68.7%58.0%76.8%74.1%76.8%
HV 60d108.2%96.4%125.7%125.7%97.5%
IV Rank27.0%18.4%39.4%18.5%30.0%
IV Percentile72.3%61.5%79.4%66.7%74.6%
Term Structure3.4%-1.8%10.2%8.1%0.5%
VWIV72.6%61.5%86.7%71.0%75.9%
Skew 25d17.3%12.0%23.1%22.7%16.9%
Skew 10d32.0%21.8%50.5%50.5%32.3%
Call IV 25d65.0%52.4%81.9%54.3%68.6%
Put IV 25d82.4%74.5%97.9%76.9%85.5%
Bid-Ask Spread %15.259.8819.899.8814.89
Gamma HHI0.160.120.490.150.13
Net GEX903.8K213.7K1.6M975.2K902.3K
Net DEX-13.9M-36.2M12.4M-23.5M-14.5M
Net VEX-106.3K-136.0K-76.6K-94.1K-133.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.110.990.560.62
Total Volume490,476.8232,064952,704807,936401,408
Total OI3,783,9362,081,4084,932,6723,262,4003,883,520

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$0.46$0.4261.9%17.8%74.1%18.5%71.0%22.7%8.1%975.2K-23.5M-94.1K0.569.88N/AN/A518,528289,4082,292,672969,728
2009-01-05$0.46$0.4166.8%20.0%70.4%22.0%67.5%17.3%0.2%1.1M-26.3M-98.3K0.2318.59N/AN/A424,32097,1522,484,0321,163,648
2009-01-06$0.47$0.4164.4%19.4%66.0%20.3%61.5%16.9%0.9%1.6M-36.2M-102.7K0.3515.36N/AN/A695,360245,8882,718,1441,072,832
2009-01-07$0.44$0.4274.0%21.0%64.5%27.1%72.7%14.3%0.2%1.3M-20.2M-120.2K0.6714.75N/AN/A200,192133,5043,104,1281,261,504
2009-01-08$0.45$0.4269.5%20.5%64.9%24.0%73.1%14.7%0.6%1.6M-26.9M-125.6K0.6219.89N/AN/A200,576123,5203,176,2561,280,960
2009-01-09$0.43$0.4265.2%20.7%67.0%20.9%72.1%12.2%1.7%1.2M-12.3M-114.1K0.2518.24N/AN/A185,85646,2083,239,6801,343,616
2009-01-12$0.41$0.4284.9%22.6%65.2%35.0%77.4%14.1%-0.4%877.3K-1.9M-96.9K0.3317.10N/AN/A315,072102,8483,299,9681,341,888
2009-01-13$0.41$0.4178.7%22.3%63.7%30.5%75.1%12.0%-0.6%845.0K-2.4M-94.3K0.4814.24N/AN/A172,54482,3043,358,4641,369,664
2009-01-14$0.39$0.4191.1%23.6%66.3%39.4%81.4%14.9%-1.8%213.7K12.4M-79.6K0.4518.72N/AN/A353,216158,5923,374,4001,388,160
2009-01-15$0.40$0.4179.0%22.6%58.0%30.7%79.6%13.1%1.7%350.3K5.4M-82.4K0.5015.70N/AN/A393,600196,8003,424,1921,387,264
2009-01-16$0.41$0.3973.7%21.1%58.5%27.0%73.4%15.3%4.8%1.3M-4.1M-81.9K0.3214.26N/AN/A506,304163,0723,533,5041,399,168
2009-01-20$0.37$0.3989.2%25.6%67.3%38.0%86.7%16.0%0.6%325.8K-5.9M-76.6K0.5311.69N/AN/A317,696168,2561,646,848434,560
2009-01-21$0.40$0.3975.3%21.6%72.9%28.1%77.6%20.9%6.9%521.2K-11.5M-98.8K0.9912.28N/AN/A235,712232,7041,854,016561,728
2009-01-22$0.39$0.3977.5%22.2%72.0%29.7%73.8%18.8%5.8%469.8K-9.1M-106.7K0.1114.94N/AN/A501,24853,3122,024,064734,144
2009-01-23$0.39$0.3974.1%21.2%71.9%27.2%66.6%21.1%7.9%600.4K-11.3M-111.9K0.1417.41N/AN/A385,34452,0322,183,040766,592
2009-01-26$0.40$0.3972.2%20.7%72.1%25.9%72.3%20.5%7.5%784.0K-16.7M-119.7K0.4011.87N/AN/A179,77672,0642,409,600782,272
2009-01-27$0.41$0.3967.8%19.4%72.4%22.8%63.8%21.3%10.2%896.8K-19.5M-122.7K0.1614.58N/AN/A257,79240,3202,488,064820,672
2009-01-28$0.43$0.3961.8%17.7%75.2%18.4%61.8%23.1%7.2%1.2M-32.2M-130.4K0.4417.14N/AN/A663,104289,6002,539,904820,544
2009-01-29$0.41$0.4170.4%20.2%75.9%24.6%68.0%20.8%6.0%1.1M-21.8M-136.0K0.5513.46N/AN/A228,480125,8242,790,336954,944
2009-01-30$0.40$0.4177.9%22.3%76.8%30.0%75.9%16.9%0.5%902.3K-14.5M-133.9K0.6214.89N/AN/A247,040154,3682,855,2961,028,224