QLD Options History — February 2009 In February 2009, QLD traded between $0.35 and $0.47. ATM implied volatility averaged 77.9%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 8.2% (HV 20d: 69.7%). Max pain ranged from $0.39 to $0.41. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.40.
Notable Days 2009-02-09 : Highest Volume — 1,120,960 contracts2009-02-17 : Largest IV spike — 14.5% change2009-02-23 : Highest IV Rank — 38.7%2009-02-23 : Largest Expected Move — 25.8%Monthly Statistics Metric Avg Min Max Open Close Price $0.41 $0.35 $0.47 $0.41 $0.35 Max Pain $0.40 $0.39 $0.41 $0.41 $0.39 ATM IV 77.9% 69.4% 90.1% 79.9% 76.5% Expected Move 22.4% 19.9% 25.8% 22.9% 21.9% HV 20d 69.7% 61.7% 76.1% 70.5% 65.9% HV 60d 85.8% 71.2% 96.9% 96.9% 71.2% IV Rank 30.0% 23.9% 38.7% 31.4% 29.0% IV Percentile 72.4% 65.9% 79.0% 75.8% 69.4% Term Structure 0.2% -5.0% 3.7% -0.3% 3.7% VWIV 77.3% 68.5% 88.0% 80.7% 76.0% Skew 25d 18.8% 7.8% 29.6% 21.4% 9.8% Skew 10d 35.1% 11.1% 62.4% 35.6% 11.1% Call IV 25d 68.7% 57.9% 83.3% 70.6% 73.8% Put IV 25d 87.4% 82.8% 93.9% 92.0% 83.6% Bid-Ask Spread % 19.19 14.43 27.38 14.49 16.94 Gamma HHI 0.14 0.09 0.18 0.14 0.12 Net GEX 1.2M 180.9K 2.3M 981.4K 413.1K Net DEX -20.2M -67.6M 11.0M -18.6M 2.3M Net VEX -123.8K -160.6K -78.9K -137.0K -110.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.19 0.65 0.32 0.59 Total Volume 543,595.789 156,800 1,120,960 156,800 598,720 Total OI 4,413,335.579 2,397,760 5,629,696 3,987,584 3,566,848
Daily Data (19 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 2009-02-02 $0.41 $0.41 79.9% 22.9% 70.5% 31.4% 80.7% 21.4% -0.3% 981.4K -18.6M -137.0K 0.32 14.49 N/A N/A 118,848 37,952 2,889,152 1,098,432 2009-02-03 $0.42 $0.41 72.8% 20.9% 71.7% 26.3% 76.6% 29.6% 2.9% 1.2M -24.5M -138.7K 0.31 15.39 N/A N/A 182,784 57,152 2,923,200 1,107,328 2009-02-04 $0.42 $0.41 74.4% 21.3% 71.1% 27.4% 73.2% 27.3% 2.7% 1.2M -26.1M -138.3K 0.59 17.52 N/A N/A 167,168 98,688 2,981,248 1,127,040 2009-02-05 $0.44 $0.41 69.4% 19.9% 70.4% 23.9% 69.0% 25.3% 3.2% 1.5M -38.9M -143.5K 0.32 14.43 N/A N/A 341,824 110,144 3,032,704 1,156,160 2009-02-06 $0.46 $0.39 70.9% 20.8% 72.3% 24.9% 68.5% 25.8% 0.1% 1.8M -59.5M -152.1K 0.19 18.11 N/A N/A 766,336 148,416 3,163,840 1,173,504 2009-02-09 $0.47 $0.39 72.7% 20.7% 70.2% 26.2% 75.6% 23.8% 1.4% 2.2M -67.6M -155.2K 0.33 24.70 N/A N/A 844,992 275,968 3,518,464 1,258,752 2009-02-10 $0.43 $0.39 80.7% 22.8% 74.7% 32.0% 76.0% 20.2% 0.8% 2.0M -37.6M -160.6K 0.39 23.19 N/A N/A 461,312 180,992 4,052,160 1,375,232 2009-02-11 $0.43 $0.41 76.9% 23.1% 74.8% 29.3% 78.8% 18.7% -0.9% 1.9M -31.9M -149.6K 0.43 24.92 N/A N/A 187,968 80,128 3,765,696 1,406,080 2009-02-12 $0.44 $0.41 75.8% 21.7% 71.1% 28.5% 79.8% 19.8% 0.8% 2.2M -41.0M -150.0K 0.58 27.38 N/A N/A 264,448 154,176 3,806,784 1,442,048 2009-02-13 $0.43 $0.39 74.2% 21.3% 70.8% 27.3% 73.4% 19.0% 0.6% 2.3M -37.3M -145.9K 0.42 22.97 N/A N/A 134,464 57,088 3,873,664 1,524,480 2009-02-17 $0.40 $0.39 84.9% 24.3% 76.1% 35.0% 85.1% 17.0% -2.6% 1.2M -5.7M -110.0K 0.39 17.12 N/A N/A 385,792 151,296 3,865,856 1,544,768 2009-02-18 $0.40 $0.39 82.2% 23.6% 66.6% 33.0% 81.6% 16.9% -2.1% 975.6K 791.7K -97.2K 0.20 18.90 N/A N/A 399,424 81,024 3,880,064 1,570,624 2009-02-19 $0.39 $0.39 82.2% 23.6% 62.1% 33.0% 78.9% 15.7% -2.7% 577.1K 11.0M -83.9K 0.37 19.01 N/A N/A 277,568 101,504 4,058,752 1,570,944 2009-02-20 $0.39 $0.39 81.7% 23.4% 61.7% 32.7% 79.7% 18.5% -1.7% 180.9K 10.7M -78.9K 0.65 19.97 N/A N/A 597,696 386,240 3,973,056 1,572,416 2009-02-23 $0.36 $0.39 90.1% 25.8% 66.6% 38.7% 88.0% 10.5% -5.0% 241.1K -681.0K -80.1K 0.49 19.36 N/A N/A 501,888 247,488 1,686,080 711,680 2009-02-24 $0.38 $0.39 78.1% 22.4% 70.1% 30.1% 77.9% 15.3% 1.0% 412.6K -8.2M -104.3K 0.28 17.76 N/A N/A 595,264 165,952 1,929,856 886,912 2009-02-25 $0.38 $0.39 78.2% 22.4% 69.9% 30.2% 75.6% 14.3% 1.4% 546.1K -9.1M -109.0K 0.34 17.47 N/A N/A 359,360 121,536 2,158,912 895,680 2009-02-26 $0.36 $0.39 78.3% 22.4% 67.4% 30.2% 75.1% 7.8% 0.3% 503.1K -2.6M -107.7K 0.47 15.05 N/A N/A 467,520 219,200 2,340,864 964,096 2009-02-27 $0.35 $0.39 76.5% 21.9% 65.9% 29.0% 76.0% 9.8% 3.7% 413.1K 2.3M -110.7K 0.59 16.94 N/A N/A 377,024 221,696 2,449,920 1,116,928
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