QLD Options History — August 2009 In August 2009, QLD traded between $0.66 and $0.73. ATM implied volatility averaged 44.5%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 10.8% (HV 20d: 33.7%). Max pain ranged from $0.63 to $0.70. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.07.
Notable Days 2009-08-21 : Highest Volume — 645,376 contracts2009-08-13 : Largest IV spike — 14.4% change2009-08-17 : Highest IV Rank — 7.4%2009-08-17 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $0.71 $0.66 $0.73 $0.72 $0.72 Max Pain $0.67 $0.63 $0.70 $0.63 $0.70 ATM IV 44.5% 40.1% 50.6% 45.1% 43.3% Expected Move 12.9% 11.5% 14.5% 12.9% 12.4% HV 20d 33.7% 27.2% 37.6% 36.6% 35.1% HV 60d 40.2% 37.5% 42.8% 42.6% 37.8% IV Rank 2.9% 0.0% 7.4% 3.2% 2.4% IV Percentile 9.0% 0.0% 21.4% 11.5% 5.6% Term Structure 3.3% 0.6% 7.5% 1.8% 7.0% VWIV 46.2% 40.5% 51.7% 47.1% 44.2% Skew 25d 8.4% 6.6% 10.1% 7.6% 6.9% Skew 10d 16.7% 13.5% 22.0% 16.0% 14.3% Call IV 25d 41.3% 37.7% 46.5% 41.6% 40.4% Put IV 25d 49.6% 44.5% 54.2% 49.2% 47.3% Bid-Ask Spread % 17.36 12.05 26.55 15.92 17.58 Gamma HHI 0.16 0.09 0.27 0.10 0.20 Net GEX 1.2M 517.1K 2.1M 1.2M 1.2M Net DEX -66.9M -98.6M -35.1M -87.8M -38.7M Net VEX -193.3K -219.7K -151.0K -202.9K -203.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.27 3.50 0.65 0.88 Total Volume 292,440.381 136,768 645,376 262,720 181,568 Total OI 3,746,953.143 2,253,440 4,586,880 3,532,224 3,032,640
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 2009-08-03 $0.72 $0.63 45.1% 12.9% 36.6% 3.2% 47.1% 7.6% 1.8% 1.2M -87.8M -202.9K 0.65 15.92 N/A N/A 159,040 103,680 2,029,824 1,502,400 2009-08-04 $0.72 $0.63 42.9% 12.3% 28.6% 1.6% 46.5% 7.8% 2.6% 1.4M -89.4M -201.3K 1.07 12.05 N/A N/A 92,480 99,200 2,087,808 1,559,296 2009-08-05 $0.71 $0.63 46.2% 13.2% 30.2% 4.1% 51.7% 8.5% 1.9% 1.3M -81.0M -213.7K 3.50 16.58 N/A N/A 76,416 267,200 2,114,240 1,601,600 2009-08-06 $0.69 $0.64 47.4% 13.6% 32.0% 5.0% 49.9% 8.0% 1.3% 1.1M -70.1M -219.7K 1.43 14.91 N/A N/A 107,776 154,240 2,132,928 1,766,976 2009-08-07 $0.71 $0.66 43.7% 13.5% 32.2% 2.2% 48.1% 9.1% 0.6% 1.2M -83.7M -217.7K 1.27 20.35 N/A N/A 149,184 190,208 2,177,472 1,863,296 2009-08-10 $0.70 $0.66 45.6% 13.7% 32.0% 3.7% 49.0% 9.7% 2.2% 1.1M -76.6M -213.9K 1.06 14.32 N/A N/A 66,432 70,336 2,229,824 1,948,736 2009-08-11 $0.69 $0.66 45.7% 13.8% 33.6% 3.7% 48.6% 9.8% 1.9% 985.6K -67.3M -211.1K 1.19 17.13 N/A N/A 85,120 101,184 2,250,048 1,978,368 2009-08-12 $0.71 $0.67 40.6% 13.3% 27.8% 0.0% 48.4% 10.1% 2.6% 1.3M -89.7M -194.9K 1.14 16.80 N/A N/A 107,776 122,752 2,265,856 1,991,040 2009-08-13 $0.72 $0.67 46.4% 13.3% 27.2% 4.3% 48.8% 8.8% 2.1% 1.5M -94.4M -196.7K 1.15 15.58 N/A N/A 184,320 211,648 2,302,848 2,039,936 2009-08-14 $0.70 $0.67 47.9% 13.7% 29.1% 5.4% 49.4% 8.2% 2.0% 1.2M -78.8M -206.2K 1.21 17.94 N/A N/A 127,936 154,432 2,357,120 2,138,944 2009-08-17 $0.66 $0.67 50.6% 14.5% 36.7% 7.4% 50.4% 7.6% 2.0% 517.1K -35.1M -201.0K 0.94 26.55 N/A N/A 213,504 201,472 2,395,072 2,172,672 2009-08-18 $0.68 $0.67 47.4% 13.6% 37.6% 5.1% 47.6% 7.8% 3.7% 752.6K -56.4M -187.0K 0.44 21.98 N/A N/A 155,008 67,712 2,392,128 2,194,752 2009-08-19 $0.69 $0.67 47.8% 13.7% 37.6% 5.3% 46.8% 9.6% 2.2% 1.2M -66.8M -172.7K 1.02 15.39 N/A N/A 159,552 162,240 2,334,272 2,181,056 2009-08-20 $0.71 $0.67 44.5% 12.8% 35.2% 2.9% 44.9% 9.0% 4.1% 1.7M -81.8M -161.6K 0.75 17.05 N/A N/A 139,776 105,472 2,268,480 2,171,648 2009-08-21 $0.72 $0.67 42.3% 12.1% 36.1% 1.3% 42.0% 7.6% 3.9% 2.1M -98.6M -151.0K 0.27 17.67 N/A N/A 508,480 136,896 2,223,872 2,203,392 2009-08-24 $0.72 $0.67 42.4% 12.2% 36.1% 1.4% 42.4% 9.2% 3.8% 919.3K -40.0M -162.6K 1.07 18.85 N/A N/A 168,576 180,160 1,274,880 978,560 2009-08-25 $0.73 $0.69 41.2% 11.8% 36.1% 0.4% 40.7% 8.7% 5.1% 918.6K -41.6M -174.8K 0.97 15.37 N/A N/A 121,536 118,080 1,360,128 1,066,432 2009-08-26 $0.73 $0.70 42.4% 12.2% 36.0% 1.3% 41.8% 7.4% 4.8% 870.2K -39.5M -181.2K 0.88 16.67 N/A N/A 147,968 129,984 1,415,488 1,143,872 2009-08-27 $0.73 $0.70 40.1% 11.5% 35.8% 0.0% 41.8% 7.6% 5.6% 988.0K -41.9M -190.7K 1.10 17.75 N/A N/A 127,360 140,160 1,497,792 1,210,112 2009-08-28 $0.73 $0.70 40.1% 11.5% 35.7% 0.1% 40.5% 6.6% 7.5% 1.1M -44.8M -195.2K 0.53 18.16 N/A N/A 225,216 119,168 1,556,800 1,273,408 2009-08-31 $0.72 $0.70 43.3% 12.4% 35.1% 2.4% 44.2% 6.9% 7.0% 1.2M -38.7M -203.5K 0.88 17.58 N/A N/A 96,384 85,184 1,706,112 1,326,528
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