QLD Options History — April 2009 In April 2009, QLD traded between $0.43 and $0.53. ATM implied volatility averaged 66.3%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 2.7% (HV 20d: 69.0%). Max pain ranged from $0.41 to $0.48. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.64.
Notable Days 2009-04-02 : Highest Volume — 1,180,608 contracts2009-04-20 : Largest IV spike — 13.5% change2009-04-02 : Highest IV Rank — 25.6%2009-04-06 : Largest Expected Move — 21.2%Monthly Statistics Metric Avg Min Max Open Close Price $0.49 $0.43 $0.53 $0.43 $0.53 Max Pain $0.44 $0.41 $0.48 $0.41 $0.48 ATM IV 66.3% 60.1% 71.9% 70.5% 62.4% Expected Move 19.3% 17.2% 21.2% 20.2% 17.9% HV 20d 69.0% 54.1% 83.9% 83.9% 54.1% HV 60d 73.6% 70.5% 76.5% 75.1% 70.5% IV Rank 21.7% 17.3% 25.6% 24.7% 18.8% IV Percentile 47.2% 38.9% 56.3% 54.8% 38.9% Term Structure 0.9% -2.9% 5.2% 3.7% 1.5% VWIV 67.9% 60.2% 74.0% 70.9% 60.4% Skew 25d 11.7% 6.5% 19.8% 8.2% 16.3% Skew 10d 22.8% 11.8% 40.9% 19.1% 34.4% Call IV 25d 61.8% 54.6% 68.5% 68.5% 54.7% Put IV 25d 73.5% 63.2% 84.5% 76.6% 71.0% Bid-Ask Spread % 14.31 8.47 17.82 9.01 17.72 Gamma HHI 0.14 0.08 0.65 0.10 0.09 Net GEX 1.5M 505.9K 3.0M 1.1M 839.9K Net DEX -64.0M -118.0M -22.9M -40.1M -56.3M Net VEX -184.4K -212.8K -127.1K -196.7K -212.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.23 1.26 0.23 0.69 Total Volume 578,761.143 206,592 1,180,608 462,784 628,160 Total OI 5,104,015.238 2,501,376 6,669,952 5,383,872 4,408,256
Daily Data (21 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 2009-04-01 $0.43 $0.41 70.5% 20.2% 83.9% 24.7% 70.9% 8.2% 3.7% 1.1M -40.1M -196.7K 0.23 9.01 N/A N/A 376,384 86,400 3,425,024 1,958,848 2009-04-02 $0.46 $0.41 71.9% 20.6% 81.3% 25.6% 72.6% 19.8% 1.0% 1.3M -64.5M -202.1K 0.56 8.47 N/A N/A 756,352 424,256 3,492,352 2,005,568 2009-04-03 $0.48 $0.41 65.2% 20.0% 80.6% 20.9% 69.2% 15.3% -1.7% 1.6M -78.6M -211.7K 0.32 16.31 N/A N/A 420,288 135,168 3,736,128 2,206,400 2009-04-06 $0.48 $0.42 68.8% 21.2% 77.4% 23.5% 74.0% 12.9% -2.9% 1.8M -79.2M -205.6K 0.46 12.59 N/A N/A 323,008 149,440 3,914,048 2,246,656 2009-04-07 $0.45 $0.42 67.3% 20.7% 73.9% 22.4% 73.4% 10.1% -0.0% 1.7M -52.9M -200.0K 0.50 14.23 N/A N/A 273,984 136,192 3,982,208 2,271,232 2009-04-08 $0.47 $0.42 63.0% 20.4% 74.2% 19.3% 71.6% 9.6% 0.8% 2.0M -74.9M -192.8K 0.77 16.63 N/A N/A 266,880 206,784 4,044,224 2,338,432 2009-04-09 $0.49 $0.42 67.6% 19.4% 73.5% 22.6% 69.0% 8.8% 0.8% 2.3M -105.8M -186.4K 0.56 12.75 N/A N/A 491,264 275,904 4,046,144 2,424,192 2009-04-13 $0.49 $0.42 69.1% 19.8% 73.7% 23.6% 69.8% 9.1% -0.0% 2.2M -101.0M -171.4K 0.67 12.45 N/A N/A 176,832 117,696 4,025,600 2,518,144 2009-04-14 $0.48 $0.42 68.9% 19.7% 72.8% 23.5% 70.5% 7.5% -0.2% 2.4M -86.9M -161.4K 0.37 12.57 N/A N/A 313,920 115,008 4,021,568 2,550,784 2009-04-15 $0.48 $0.42 66.4% 19.0% 69.5% 21.8% 68.4% 6.5% 2.2% 2.7M -87.1M -154.4K 0.38 16.12 N/A N/A 291,712 111,232 4,088,448 2,581,504 2009-04-16 $0.50 $0.42 64.0% 18.3% 70.7% 20.0% 64.3% 8.9% 2.0% 3.0M -118.0M -133.5K 0.25 17.82 N/A N/A 838,464 207,872 3,913,984 2,449,024 2009-04-17 $0.50 $0.44 60.1% 17.2% 70.6% 17.3% 60.2% 8.0% 5.2% 2.8M -116.7M -127.1K 0.32 14.84 N/A N/A 869,568 279,424 3,760,768 2,544,704 2009-04-20 $0.47 $0.45 68.3% 19.6% 74.6% 23.1% 67.8% 7.6% 0.8% 558.0K -22.9M -143.6K 1.26 11.72 N/A N/A 242,752 306,752 1,565,952 935,424 2009-04-21 $0.49 $0.47 65.6% 18.8% 64.7% 21.2% 66.6% 10.8% -0.0% 583.3K -27.1M -160.7K 1.05 13.99 N/A N/A 378,880 396,928 1,687,168 1,124,160 2009-04-22 $0.49 $0.47 68.5% 19.6% 62.9% 23.3% 67.3% 12.5% 0.3% 521.4K -29.0M -185.2K 0.88 13.94 N/A N/A 357,504 315,392 1,880,320 1,415,808 2009-04-23 $0.50 $0.47 64.8% 18.6% 63.0% 20.6% 65.6% 10.1% 0.8% 505.9K -31.4M -198.6K 0.67 16.91 N/A N/A 158,848 105,856 2,009,792 1,636,288 2009-04-24 $0.52 $0.47 63.4% 18.2% 60.7% 19.6% 64.7% 13.8% 2.1% 629.0K -42.7M -202.4K 0.78 16.79 N/A N/A 322,304 252,992 2,050,688 1,673,024 2009-04-27 $0.52 $0.48 67.4% 19.3% 58.1% 22.4% 68.4% 17.6% 0.6% 643.9K -42.7M -206.0K 0.94 16.15 N/A N/A 227,200 213,440 2,152,576 1,776,704 2009-04-28 $0.51 $0.48 65.1% 18.7% 54.3% 20.8% 66.8% 16.1% 1.8% 632.0K -38.0M -211.2K 0.91 14.30 N/A N/A 108,224 98,368 2,245,056 1,856,576 2009-04-29 $0.52 $0.48 63.9% 18.3% 54.4% 20.0% 63.6% 16.2% 1.0% 758.9K -48.5M -209.5K 0.97 15.15 N/A N/A 201,664 194,688 2,303,808 1,916,736 2009-04-30 $0.53 $0.48 62.4% 17.9% 54.1% 18.8% 60.4% 16.3% 1.5% 839.9K -56.3M -212.8K 0.69 17.72 N/A N/A 371,840 256,320 2,385,920 2,022,336
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