QLD Options History — March 2009 In March 2009, QLD traded between $0.31 and $0.45. ATM implied volatility averaged 75.6%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 3.4% (HV 20d: 79.0%). Max pain ranged from $0.38 to $0.41. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.45.
Notable Days 2009-03-26 : Highest Volume — 1,688,256 contracts2009-03-30 : Largest IV spike — 11.6% change2009-03-02 : Highest IV Rank — 40.1%2009-03-02 : Largest Expected Move — 26.4%Monthly Statistics Metric Avg Min Max Open Close Price $0.38 $0.31 $0.45 $0.33 $0.42 Max Pain $0.38 $0.38 $0.41 $0.39 $0.41 ATM IV 75.6% 66.2% 92.1% 92.1% 73.2% Expected Move 21.6% 19.0% 26.4% 26.4% 21.0% HV 20d 79.0% 63.8% 87.0% 68.2% 84.8% HV 60d 72.4% 67.5% 76.8% 71.2% 74.9% IV Rank 28.3% 21.6% 40.1% 40.1% 26.6% IV Percentile 63.4% 52.0% 79.8% 79.8% 59.9% Term Structure -0.3% -7.6% 5.9% -7.6% 3.0% VWIV 75.3% 67.1% 91.7% 91.7% 73.7% Skew 25d 10.7% 5.1% 17.0% 8.2% 7.6% Skew 10d 19.5% 6.5% 31.8% 6.5% 14.6% Call IV 25d 70.3% 59.4% 87.9% 87.9% 70.0% Put IV 25d 81.0% 71.8% 96.1% 96.1% 77.6% Bid-Ask Spread % 10.64 7.85 18.33 18.33 8.44 Gamma HHI 0.19 0.10 0.79 0.12 0.10 Net GEX 1.1M 260.6K 4.0M 319.6K 965.1K Net DEX -22.8M -58.5M 13.4M 8.5M -31.4M Net VEX -133.2K -205.1K -95.6K -95.6K -199.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.10 0.78 0.62 0.42 Total Volume 842,885.818 293,120 1,688,256 965,184 293,120 Total OI 4,890,533.818 3,094,720 6,257,984 3,738,816 5,339,200
Daily Data (22 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 2009-03-02 $0.33 $0.39 92.1% 26.4% 68.2% 40.1% 91.7% 8.2% -7.6% 319.6K 8.5M -95.6K 0.62 18.33 N/A N/A 596,416 368,768 2,590,592 1,148,224 2009-03-03 $0.33 $0.38 88.0% 25.2% 67.0% 37.2% 85.5% 9.1% -4.3% 328.8K 7.3M -105.5K 0.10 14.60 N/A N/A 834,496 84,096 2,849,792 1,368,000 2009-03-04 $0.35 $0.38 80.2% 23.0% 68.8% 31.6% 80.7% 12.4% -1.5% 572.3K -747.5K -118.8K 0.34 13.83 N/A N/A 322,176 109,504 3,059,072 1,387,712 2009-03-05 $0.33 $0.38 85.8% 24.6% 70.9% 35.6% 85.6% 5.5% -3.8% 405.9K 7.4M -108.4K 0.19 15.08 N/A N/A 351,552 66,112 3,144,896 1,430,720 2009-03-06 $0.32 $0.38 83.1% 23.5% 67.6% 33.7% 81.3% 7.7% -1.7% 362.0K 9.3M -105.7K 0.56 10.72 N/A N/A 493,184 275,520 3,200,192 1,462,784 2009-03-09 $0.31 $0.38 86.6% 24.0% 63.8% 36.2% 83.7% 5.1% -2.6% 260.6K 13.4M -96.9K 0.44 9.90 N/A N/A 299,840 132,352 3,342,336 1,577,216 2009-03-10 $0.34 $0.38 79.6% 22.3% 79.4% 31.2% 76.8% 7.3% -1.6% 658.4K -4.9M -116.7K 0.33 9.67 N/A N/A 638,784 208,576 3,442,560 1,626,688 2009-03-11 $0.35 $0.38 77.4% 21.9% 77.2% 29.6% 76.6% 9.1% -3.0% 984.3K -12.0M -125.6K 0.24 9.31 N/A N/A 689,216 167,040 3,713,408 1,694,464 2009-03-12 $0.38 $0.38 72.4% 20.8% 81.7% 26.0% 71.2% 11.5% -0.9% 1.4M -30.4M -135.8K 0.59 9.32 N/A N/A 661,504 389,120 3,641,600 1,768,512 2009-03-13 $0.38 $0.38 73.0% 20.9% 81.2% 26.5% 72.1% 10.7% -1.5% 1.4M -31.9M -130.8K 0.26 9.35 N/A N/A 509,184 131,328 3,667,712 1,738,624 2009-03-16 $0.37 $0.38 75.2% 21.6% 81.9% 28.0% 73.8% 9.3% -1.7% 1.3M -20.0M -116.3K 0.31 10.16 N/A N/A 572,224 179,776 3,780,800 1,769,152 2009-03-17 $0.39 $0.38 66.6% 19.1% 82.2% 21.9% 68.8% 8.4% 4.0% 1.9M -44.5M -117.8K 0.70 10.33 N/A N/A 464,320 324,480 3,762,560 1,811,712 2009-03-18 $0.40 $0.38 66.8% 19.1% 82.7% 22.0% 67.2% 14.9% -0.8% 2.2M -58.5M -120.7K 0.62 11.74 N/A N/A 803,904 500,992 3,870,848 1,925,376 2009-03-19 $0.40 $0.38 71.3% 20.4% 82.0% 25.2% 73.1% 17.0% -2.6% 2.2M -58.1M -121.3K 0.62 8.65 N/A N/A 536,960 332,928 3,936,192 2,135,488 2009-03-20 $0.39 $0.38 71.5% 20.5% 82.8% 25.4% 70.6% 13.9% 0.6% 4.0M -39.6M -113.4K 0.40 7.95 N/A N/A 1,134,528 454,912 4,003,776 2,254,208 2009-03-23 $0.44 $0.38 66.2% 19.0% 87.0% 21.6% 69.1% 15.1% 5.9% 681.8K -34.2M -123.5K 0.38 8.65 N/A N/A 875,648 331,904 2,106,496 988,224 2009-03-24 $0.42 $0.39 70.0% 20.1% 86.3% 24.3% 69.2% 13.1% 3.6% 819.3K -32.0M -149.0K 0.78 10.96 N/A N/A 421,440 328,320 2,481,856 1,149,120 2009-03-25 $0.43 $0.39 68.8% 19.7% 86.1% 23.5% 67.4% 10.4% 2.7% 856.9K -34.7M -158.9K 0.35 10.16 N/A N/A 598,464 212,160 2,630,272 1,317,760 2009-03-26 $0.45 $0.39 67.2% 19.3% 85.0% 22.3% 67.1% 15.9% 3.3% 1.1M -53.2M -172.7K 0.56 9.33 N/A N/A 1,084,672 603,584 2,843,136 1,426,752 2009-03-27 $0.43 $0.41 70.3% 20.2% 86.3% 24.5% 72.2% 14.1% 3.5% 950.4K -37.4M -205.1K 0.45 7.85 N/A N/A 344,576 153,792 3,203,456 1,830,912 2009-03-30 $0.41 $0.41 78.4% 22.5% 84.8% 30.3% 78.3% 9.0% -0.1% 838.7K -23.2M -192.3K 0.65 9.67 N/A N/A 400,576 261,440 3,320,640 1,848,704 2009-03-31 $0.42 $0.41 73.2% 21.0% 84.8% 26.6% 73.7% 7.6% 3.0% 965.1K -31.4M -199.1K 0.42 8.44 N/A N/A 206,208 86,912 3,391,552 1,947,648
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