QLD Options History — July 2009 In July 2009, QLD traded between $0.54 and $0.70. ATM implied volatility averaged 45.6%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 3.5% (HV 20d: 42.1%). Max pain ranged from $0.55 to $0.63. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.67.
Notable Days 2009-07-15 : Highest Volume — 792,576 contracts2009-07-06 : Largest IV spike — 12.4% change2009-07-08 : Highest IV Rank — 9.1%2009-07-07 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $0.62 $0.54 $0.70 $0.60 $0.70 Max Pain $0.58 $0.55 $0.63 $0.55 $0.63 ATM IV 45.6% 42.2% 53.0% 43.0% 44.0% Expected Move 13.3% 12.1% 15.5% 12.3% 12.6% HV 20d 42.1% 36.4% 47.8% 36.4% 36.7% HV 60d 44.7% 43.6% 46.8% 46.8% 43.7% IV Rank 3.7% 1.2% 9.1% 1.7% 2.5% IV Percentile 8.6% 1.6% 22.6% 3.2% 7.1% Term Structure 3.0% 0.8% 6.8% 5.1% 3.3% VWIV 46.7% 41.5% 55.9% 41.5% 46.3% Skew 25d 9.8% 7.4% 13.0% 10.3% 7.9% Skew 10d 19.2% 13.9% 26.4% 25.3% 16.7% Call IV 25d 41.5% 38.0% 48.5% 38.0% 40.7% Put IV 25d 51.3% 47.5% 60.0% 48.3% 48.5% Bid-Ask Spread % 17.29 11.84 24.28 13.84 16.33 Gamma HHI 0.17 0.11 0.54 0.16 0.11 Net GEX 1.6M 783.4K 3.4M 1.8M 1.2M Net DEX -55.3M -112.6M -9.9M -53.8M -74.3M Net VEX -165.3K -218.6K -123.9K -169.7K -218.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.15 1.87 0.39 0.99 Total Volume 366,466.909 116,096 792,576 158,848 166,784 Total OI 3,511,351.273 1,953,280 4,481,472 3,538,240 3,481,280
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 2009-07-01 $0.60 $0.55 43.0% 12.3% 36.4% 1.7% 41.5% 10.3% 5.1% 1.8M -53.8M -169.7K 0.39 13.84 N/A N/A 114,688 44,160 2,085,952 1,452,288 2009-07-02 $0.57 $0.55 43.3% 12.4% 38.7% 2.0% 43.2% 7.4% 4.3% 1.5M -33.3M -165.1K 0.81 11.84 N/A N/A 174,592 140,736 2,129,856 1,479,296 2009-07-06 $0.57 $0.58 48.7% 14.6% 38.7% 5.9% 51.8% 11.5% 1.6% 1.4M -29.0M -153.6K 0.47 24.28 N/A N/A 163,584 76,864 2,182,720 1,537,600 2009-07-07 $0.54 $0.58 52.4% 15.5% 42.2% 8.7% 53.2% 13.0% 1.1% 829.6K -9.9M -142.9K 0.66 23.54 N/A N/A 220,224 144,576 2,209,728 1,559,936 2009-07-08 $0.54 $0.58 53.0% 15.4% 41.8% 9.1% 51.8% 11.2% 0.8% 939.0K -14.3M -149.6K 0.54 22.48 N/A N/A 220,992 118,464 2,268,224 1,618,304 2009-07-09 $0.54 $0.56 47.8% 14.9% 41.9% 5.3% 50.8% 11.9% 1.0% 976.6K -13.8M -143.4K 0.56 21.77 N/A N/A 74,240 41,856 2,319,168 1,634,496 2009-07-10 $0.55 $0.56 46.4% 14.9% 42.2% 4.2% 55.9% 11.8% 1.7% 1.2M -18.2M -142.0K 0.65 23.20 N/A N/A 277,824 181,056 2,338,880 1,636,608 2009-07-13 $0.57 $0.55 48.7% 14.1% 44.7% 6.0% 48.2% 11.0% 2.1% 2.0M -38.6M -143.5K 0.34 17.46 N/A N/A 250,496 85,184 2,459,584 1,782,912 2009-07-14 $0.57 $0.55 47.2% 13.3% 42.1% 4.8% 47.7% 11.4% 4.4% 2.3M -43.4M -141.4K 0.70 16.60 N/A N/A 139,072 97,600 2,458,688 1,793,472 2009-07-15 $0.61 $0.55 44.1% 13.2% 47.5% 2.5% 46.5% 11.1% 4.8% 3.2M -87.8M -133.9K 0.42 18.84 N/A N/A 557,888 234,688 2,491,520 1,840,640 2009-07-16 $0.63 $0.56 44.8% 12.8% 47.8% 3.0% 44.7% 10.4% 4.7% 3.3M -100.6M -137.7K 0.15 17.05 N/A N/A 538,944 80,320 2,535,040 1,946,432 2009-07-17 $0.63 $0.56 43.5% 12.5% 47.7% 2.1% 43.3% 9.0% 6.8% 3.4M -112.6M -123.9K 0.22 16.55 N/A N/A 586,304 127,680 2,567,616 1,859,200 2009-07-20 $0.64 $0.58 43.8% 12.6% 47.6% 2.3% 44.1% 9.4% 2.9% 783.4K -38.8M -138.1K 0.34 17.18 N/A N/A 318,272 108,928 1,140,096 813,184 2009-07-21 $0.65 $0.58 42.2% 12.1% 41.5% 1.2% 43.6% 8.6% 3.8% 1.1M -48.5M -148.5K 0.51 18.60 N/A N/A 299,200 152,192 1,345,920 855,744 2009-07-22 $0.66 $0.59 43.4% 12.4% 41.3% 2.0% 43.7% 9.3% 3.8% 1.2M -56.1M -171.1K 0.81 17.11 N/A N/A 218,944 176,384 1,516,608 964,416 2009-07-23 $0.69 $0.61 45.6% 13.1% 42.4% 3.7% 47.0% 9.0% 1.2% 1.1M -70.4M -179.8K 0.66 12.33 N/A N/A 401,856 264,512 1,620,416 1,079,936 2009-07-24 $0.69 $0.63 43.4% 12.4% 41.0% 2.0% 45.4% 8.3% 3.6% 1.3M -73.5M -205.6K 1.13 12.38 N/A N/A 120,320 136,128 1,845,504 1,238,016 2009-07-27 $0.69 $0.63 44.7% 12.8% 41.0% 3.0% 44.9% 8.7% 2.0% 1.3M -74.7M -202.7K 0.85 13.02 N/A N/A 104,896 88,960 1,882,112 1,294,208 2009-07-28 $0.70 $0.63 42.5% 12.2% 41.0% 1.4% 43.6% 8.6% 2.9% 1.3M -76.1M -203.5K 1.87 16.87 N/A N/A 102,272 191,424 1,893,312 1,323,136 2009-07-29 $0.69 $0.63 45.5% 13.0% 41.1% 3.6% 45.3% 7.9% 2.4% 1.1M -71.1M -212.8K 0.49 12.18 N/A N/A 88,640 43,520 1,928,832 1,425,472 2009-07-30 $0.70 $0.63 45.5% 13.0% 41.1% 3.6% 45.1% 8.0% 2.5% 1.2M -78.1M -210.0K 1.11 16.96 N/A N/A 183,680 203,328 1,973,120 1,440,256 2009-07-31 $0.70 $0.63 44.0% 12.6% 36.7% 2.5% 46.3% 7.9% 3.3% 1.2M -74.3M -218.6K 0.99 16.33 N/A N/A 83,840 82,944 2,005,056 1,476,224
« Jun 2009 | All History | Aug 2009 » Home QLD History July 2009