QLD Options History — June 2009 In June 2009, QLD traded between $0.55 and $0.62. ATM implied volatility averaged 49.9%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 4.2% (HV 20d: 45.7%). Max pain ranged from $0.47 to $0.55. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.66.
Notable Days 2009-06-19 : Highest Volume — 701,824 contracts2009-06-22 : Largest IV spike — 12.2% change2009-06-16 : Highest IV Rank — 11.6%2009-06-16 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $0.59 $0.55 $0.62 $0.60 $0.60 Max Pain $0.50 $0.47 $0.55 $0.52 $0.55 ATM IV 49.9% 42.5% 56.3% 51.4% 42.9% Expected Move 14.5% 12.2% 16.1% 14.7% 12.3% HV 20d 45.7% 36.4% 54.7% 54.7% 36.4% HV 60d 53.8% 46.9% 63.1% 63.1% 46.9% IV Rank 6.9% 1.3% 11.6% 9.2% 1.7% IV Percentile 14.1% 1.6% 28.6% 17.1% 2.8% Term Structure 2.7% -0.3% 5.7% 0.6% 5.3% VWIV 51.2% 42.3% 55.7% 52.2% 44.4% Skew 25d 10.8% 7.8% 15.4% 15.4% 9.9% Skew 10d 20.6% 11.8% 25.4% 25.4% 23.2% Call IV 25d 45.5% 38.2% 50.3% 43.9% 38.2% Put IV 25d 56.2% 47.1% 62.2% 59.3% 48.2% Bid-Ask Spread % 16.78 11.47 25.60 14.99 12.07 Gamma HHI 0.14 0.11 0.37 0.12 0.16 Net GEX 1.6M 709.4K 2.2M 1.4M 1.8M Net DEX -72.8M -103.4M -25.9M -86.0M -52.2M Net VEX -173.2K -203.7K -134.5K -189.7K -167.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.35 1.36 0.47 1.02 Total Volume 327,511.273 191,616 701,824 627,136 215,040 Total OI 4,190,792.727 2,517,312 5,184,640 4,026,496 3,503,168
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 2009-06-01 $0.60 $0.52 51.4% 14.7% 54.7% 9.2% 52.2% 15.4% 0.6% 1.4M -86.0M -189.7K 0.47 14.99 N/A N/A 427,392 199,744 2,358,784 1,667,712 2009-06-02 $0.60 $0.53 52.0% 14.9% 53.0% 8.4% 52.4% 11.9% 1.6% 1.4M -86.9M -201.7K 0.50 15.05 N/A N/A 175,552 86,976 2,487,360 1,763,776 2009-06-03 $0.60 $0.53 51.0% 14.6% 53.0% 7.6% 53.3% 10.2% 3.3% 1.5M -86.1M -203.7K 1.21 15.94 N/A N/A 107,392 129,408 2,541,824 1,791,360 2009-06-04 $0.61 $0.53 51.3% 14.7% 53.3% 7.9% 53.3% 11.8% 2.8% 1.5M -96.0M -195.6K 0.45 12.97 N/A N/A 188,160 84,800 2,552,064 1,801,408 2009-06-05 $0.61 $0.47 51.0% 15.3% 49.4% 7.7% 53.1% 11.5% 1.0% 1.6M -98.4M -196.8K 0.46 22.61 N/A N/A 240,448 111,104 2,614,656 1,824,192 2009-06-08 $0.61 $0.47 51.4% 15.9% 49.7% 7.9% 55.4% 11.2% -0.3% 1.7M -95.7M -193.4K 0.59 20.42 N/A N/A 144,768 84,736 2,656,576 1,892,224 2009-06-09 $0.62 $0.47 48.9% 14.8% 49.8% 6.1% 51.3% 11.8% 2.1% 1.8M -103.4M -182.4K 0.42 15.37 N/A N/A 176,896 73,792 2,667,968 1,924,096 2009-06-10 $0.61 $0.47 47.9% 14.9% 48.7% 5.4% 54.2% 11.1% 2.9% 2.0M -99.5M -186.7K 0.65 25.60 N/A N/A 191,808 125,056 2,754,048 1,951,232 2009-06-11 $0.61 $0.48 52.0% 14.9% 42.5% 8.4% 54.1% 10.8% 2.3% 2.2M -103.2M -187.5K 1.03 16.65 N/A N/A 138,304 142,208 2,841,792 2,000,640 2009-06-12 $0.61 $0.48 50.1% 14.4% 42.8% 7.0% 53.4% 10.6% 3.9% 2.2M -99.0M -176.7K 0.92 23.92 N/A N/A 139,776 128,192 2,870,528 2,050,112 2009-06-15 $0.58 $0.48 55.7% 16.0% 46.6% 11.1% 55.7% 11.9% 1.7% 1.9M -67.8M -172.6K 0.55 15.05 N/A N/A 212,864 117,312 2,899,072 2,085,440 2009-06-16 $0.57 $0.48 56.3% 16.1% 44.3% 11.6% 54.8% 10.9% 0.2% 1.9M -58.4M -166.9K 0.58 17.80 N/A N/A 139,520 80,704 2,958,592 2,100,416 2009-06-17 $0.58 $0.50 53.4% 15.3% 44.4% 9.5% 52.6% 11.8% 0.8% 2.0M -69.0M -159.0K 0.69 17.65 N/A N/A 230,656 158,784 2,992,000 2,130,368 2009-06-18 $0.58 $0.50 50.9% 14.6% 44.3% 7.5% 53.1% 10.9% 3.8% 2.0M -69.8M -149.8K 0.74 22.06 N/A N/A 168,128 123,968 3,000,896 2,166,208 2009-06-19 $0.59 $0.50 47.4% 13.6% 42.0% 5.0% 48.2% 9.8% 4.2% 2.0M -85.7M -134.5K 0.35 16.81 N/A N/A 520,512 181,312 2,998,144 2,186,496 2009-06-22 $0.56 $0.52 53.2% 15.2% 47.7% 9.3% 54.2% 9.1% 2.3% 793.4K -28.3M -135.6K 1.36 17.18 N/A N/A 231,552 314,368 1,536,640 980,672 2009-06-23 $0.55 $0.52 51.6% 14.8% 40.2% 8.1% 50.6% 7.8% 2.7% 709.4K -25.9M -152.4K 0.48 12.90 N/A N/A 195,008 92,672 1,646,272 1,184,000 2009-06-24 $0.57 $0.52 48.2% 13.8% 41.2% 5.6% 49.0% 9.2% 4.0% 953.5K -35.1M -155.8K 0.38 12.69 N/A N/A 268,224 100,992 1,718,400 1,226,432 2009-06-25 $0.59 $0.53 44.3% 12.7% 42.4% 2.7% 45.2% 10.6% 5.5% 1.3M -49.4M -162.9K 0.53 11.47 N/A N/A 239,552 126,784 1,836,544 1,288,256 2009-06-26 $0.60 $0.53 42.5% 12.2% 41.9% 1.3% 42.3% 8.8% 5.7% 1.6M -52.9M -172.0K 0.49 17.37 N/A N/A 128,704 62,912 1,975,744 1,368,320 2009-06-29 $0.60 $0.53 44.2% 12.7% 36.4% 2.6% 43.8% 9.9% 3.5% 1.7M -54.0M -167.5K 0.67 12.52 N/A N/A 119,040 80,128 2,014,784 1,388,224 2009-06-30 $0.60 $0.55 42.9% 12.3% 36.4% 1.7% 44.4% 9.9% 5.3% 1.8M -52.2M -167.6K 1.02 12.07 N/A N/A 106,496 108,544 2,068,224 1,434,944
« May 2009 | All History | Jul 2009 » Home QLD History June 2009