QLD Options History — May 2009

In May 2009, QLD traded between $0.49 and $0.56. ATM implied volatility averaged 55.7%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 8.6% (HV 20d: 47.1%). Max pain ranged from $0.48 to $0.55. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2009-05-15: Highest Volume — 852,800 contracts
  • 2009-05-07: Largest IV spike — 12.0% change
  • 2009-05-11: Highest IV Rank — 18.3%
  • 2009-05-13: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.53$0.49$0.56$0.54$0.56
Max Pain$0.52$0.48$0.55$0.48$0.52
ATM IV55.7%48.5%62.4%60.1%48.5%
Expected Move16.1%13.9%17.7%17.2%13.9%
HV 20d47.1%42.6%51.0%50.6%50.9%
HV 60d67.3%63.9%70.5%70.5%63.9%
IV Rank13.1%7.1%18.3%17.2%7.1%
IV Percentile28.0%11.5%38.9%35.7%11.5%
Term Structure0.9%-1.5%3.2%1.9%3.2%
VWIV56.2%48.4%61.9%61.7%48.4%
Skew 25d10.9%6.9%14.6%14.2%14.6%
Skew 10d20.3%12.8%32.3%32.3%28.9%
Call IV 25d50.7%41.8%58.1%52.1%41.8%
Put IV 25d61.6%56.4%66.9%66.3%56.4%
Bid-Ask Spread %16.0212.4419.1512.4414.73
Gamma HHI0.140.090.670.090.12
Net GEX1.1M248.3K1.9M943.3K1.3M
Net DEX-42.2M-76.4M1.5M-57.2M-59.0M
Net VEX-195.2K-220.1K-161.9K-220.1K-209.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.252.140.840.25
Total Volume411,689.6160,192852,800203,200171,008
Total OI4,425,462.42,681,9845,711,1684,701,2483,976,576

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$0.54$0.4860.1%17.2%50.6%17.2%61.7%14.2%1.9%943.3K-57.2M-220.1K0.8412.44N/AN/A110,65692,5442,545,4722,155,776
2009-05-04$0.56$0.5357.9%17.1%51.0%15.7%60.8%12.1%-1.5%1.1M-76.0M-204.7K1.4117.13N/AN/A166,528235,0722,568,2562,171,136
2009-05-05$0.56$0.5355.4%16.7%50.9%13.5%57.3%10.9%-0.8%1.2M-74.9M-208.3K0.6616.54N/AN/A186,624124,0322,635,2642,275,584
2009-05-06$0.56$0.5554.5%16.7%45.1%12.9%59.2%11.2%-0.2%1.4M-76.4M-207.9K0.4817.14N/AN/A311,808150,9122,719,3602,329,408
2009-05-07$0.53$0.5361.0%17.6%48.6%17.3%61.9%11.1%-1.0%1.3M-53.2M-214.1K0.4314.50N/AN/A349,696151,4242,828,2242,356,352
2009-05-08$0.53$0.5357.8%17.0%44.6%14.9%59.4%10.1%-0.1%1.5M-59.2M-208.5K0.5517.53N/AN/A241,600134,0162,915,9042,392,704
2009-05-11$0.54$0.5362.4%17.1%44.5%18.3%59.8%9.6%-1.4%1.7M-60.2M-189.6K0.5618.57N/AN/A264,512147,3922,881,3442,430,592
2009-05-12$0.52$0.5358.4%17.3%44.4%15.4%59.9%9.3%-1.0%1.5M-42.9M-181.7K2.1419.15N/AN/A241,600517,3762,878,9122,459,712
2009-05-13$0.49$0.5361.4%17.7%49.4%17.5%61.3%6.9%0.5%248.3K1.5M-177.3K0.4117.42N/AN/A398,528162,1122,890,3682,734,272
2009-05-14$0.50$0.5358.5%16.8%46.9%15.4%59.0%8.9%0.3%663.7K-11.8M-170.8K0.6318.45N/AN/A305,664191,0402,885,9522,753,600
2009-05-15$0.50$0.5357.2%16.4%46.9%14.5%56.9%8.5%2.0%1.9M-9.5M-161.9K0.4116.25N/AN/A603,712249,0882,908,9282,802,240
2009-05-18$0.53$0.5250.9%14.6%43.3%10.0%51.2%11.1%2.7%461.1K-25.3M-165.6K0.3615.00N/AN/A430,464156,8001,510,7201,171,264
2009-05-19$0.54$0.5251.7%14.8%42.6%10.6%50.6%12.3%2.6%778.0K-34.0M-187.3K0.6816.31N/AN/A245,952167,8721,806,6561,263,424
2009-05-20$0.53$0.5251.6%14.8%42.8%9.4%51.4%11.0%0.9%790.5K-32.4M-196.5K0.6915.82N/AN/A167,168115,0081,919,1041,366,784
2009-05-21$0.51$0.5253.4%15.3%44.7%10.7%53.6%7.9%1.4%710.8K-21.7M-197.1K0.7815.52N/AN/A162,752126,5282,011,1361,415,168
2009-05-22$0.51$0.5254.2%15.5%43.2%11.3%52.8%7.9%2.5%686.6K-19.9M-196.8K0.4615.07N/AN/A109,82450,3682,028,1601,455,936
2009-05-26$0.55$0.5250.9%14.6%50.7%8.9%53.1%12.7%3.2%1.0M-43.3M-193.5K0.6313.77N/AN/A233,152148,0322,068,1601,473,152
2009-05-27$0.54$0.5254.9%15.7%50.8%11.8%53.5%13.6%1.0%1.0M-39.4M-205.8K0.7215.37N/AN/A146,112105,8562,182,8481,535,744
2009-05-28$0.55$0.5253.1%15.2%50.8%10.5%52.2%13.9%1.1%1.2M-49.8M-207.5K0.6113.68N/AN/A224,256136,7042,235,2641,569,792
2009-05-29$0.56$0.5248.5%13.9%50.9%7.1%48.4%14.6%3.2%1.3M-59.0M-209.1K0.2514.73N/AN/A137,15233,8562,320,3201,656,256