QLD Options History — September 2009 In September 2009, QLD traded between $0.69 and $0.81. ATM implied volatility averaged 43.4%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 11.3% (HV 20d: 32.1%). Max pain ranged from $0.61 to $0.73. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.84.
Notable Days 2009-09-18 : Highest Volume — 505,408 contracts2009-09-10 : Largest IV spike — 10.1% change2009-09-01 : Highest IV Rank — 5.6%2009-09-08 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.77 $0.69 $0.81 $0.69 $0.80 Max Pain $0.68 $0.61 $0.73 $0.70 $0.73 ATM IV 43.4% 40.0% 47.7% 47.7% 43.8% Expected Move 12.7% 11.5% 13.9% 13.7% 12.5% HV 20d 32.1% 25.1% 39.5% 37.6% 25.1% HV 60d 36.5% 32.2% 39.5% 38.6% 32.2% IV Rank 2.5% 0.0% 5.6% 5.6% 2.8% IV Percentile 7.8% 0.0% 15.9% 15.9% 12.7% Term Structure 3.8% 1.2% 6.0% 4.6% 2.4% VWIV 45.7% 40.8% 51.1% 47.1% 43.9% Skew 25d 8.6% 6.2% 10.1% 6.2% 8.6% Skew 10d 17.3% 9.0% 20.7% 9.0% 19.6% Call IV 25d 40.5% 36.7% 44.7% 44.7% 40.2% Put IV 25d 49.0% 44.3% 52.7% 50.9% 48.7% Bid-Ask Spread % 13.07 10.26 18.55 16.85 10.26 Gamma HHI 0.15 0.08 0.22 0.16 0.09 Net GEX 1.6M 840.7K 2.5M 840.7K 1.3M Net DEX -64.0M -115.0M -22.4M -22.6M -46.7M Net VEX -193.4K -217.1K -161.8K -201.2K -217.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.36 1.34 0.50 1.04 Total Volume 304,740.571 104,064 505,408 408,768 290,880 Total OI 3,321,941.333 2,369,728 4,045,888 3,107,136 3,236,800
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 2009-09-01 $0.69 $0.70 47.7% 13.7% 37.6% 5.6% 47.1% 6.2% 4.6% 840.7K -22.6M -201.2K 0.50 16.85 N/A N/A 272,064 136,704 1,750,144 1,356,992 2009-09-02 $0.69 $0.70 47.5% 13.6% 37.3% 5.5% 46.8% 7.3% 5.6% 904.0K -22.4M -207.9K 0.62 16.06 N/A N/A 64,384 39,680 1,845,120 1,417,792 2009-09-03 $0.70 $0.70 44.6% 12.8% 37.1% 3.3% 48.3% 6.8% 6.0% 1.1M -28.8M -209.6K 1.29 12.43 N/A N/A 92,096 118,592 1,857,600 1,431,040 2009-09-04 $0.73 $0.61 40.2% 13.7% 39.2% 0.1% 51.0% 8.3% 4.1% 1.7M -49.7M -203.9K 0.93 16.10 N/A N/A 185,344 171,648 1,868,416 1,475,264 2009-09-08 $0.74 $0.63 43.0% 13.9% 39.5% 2.1% 51.1% 9.0% 3.0% 2.1M -63.1M -197.5K 1.12 12.53 N/A N/A 121,984 136,256 1,938,752 1,550,144 2009-09-09 $0.75 $0.63 41.2% 13.5% 39.0% 0.9% 48.7% 9.0% 1.2% 2.4M -75.5M -198.1K 0.76 18.55 N/A N/A 248,576 188,352 1,967,552 1,620,544 2009-09-10 $0.77 $0.63 45.4% 13.0% 38.1% 3.9% 47.2% 10.1% 2.7% 2.5M -89.7M -197.8K 0.83 11.21 N/A N/A 152,576 125,952 2,025,536 1,692,608 2009-09-11 $0.77 $0.64 45.9% 13.2% 38.1% 4.3% 46.4% 8.8% 2.1% 2.5M -87.3M -200.7K 1.34 13.31 N/A N/A 152,384 203,648 2,028,288 1,750,976 2009-09-14 $0.77 $0.64 45.2% 13.0% 36.8% 3.8% 47.8% 9.0% 3.6% 2.5M -90.7M -183.0K 0.93 15.56 N/A N/A 116,736 108,608 2,004,672 1,787,008 2009-09-15 $0.78 $0.64 44.1% 12.6% 27.7% 2.9% 46.3% 8.4% 4.0% 2.5M -95.1M -180.6K 0.76 11.91 N/A N/A 146,624 110,976 2,009,920 1,815,360 2009-09-16 $0.80 $0.64 43.2% 12.4% 27.8% 2.3% 47.5% 8.7% 3.8% 1.9M -115.0M -163.1K 1.04 12.47 N/A N/A 229,184 238,528 2,020,032 1,866,752 2009-09-17 $0.80 $0.66 43.5% 12.5% 27.9% 2.5% 45.4% 9.3% 3.8% 1.5M -109.9M -165.7K 0.36 15.42 N/A N/A 287,296 103,808 2,018,112 1,992,192 2009-09-18 $0.81 $0.67 42.0% 12.0% 27.2% 1.4% 42.9% 8.9% 5.1% 1.4M -112.9M -161.8K 0.44 11.77 N/A N/A 351,936 153,472 2,029,696 2,016,192 2009-09-21 $0.81 $0.67 41.5% 11.9% 26.4% 1.1% 42.4% 8.5% 5.6% 970.8K -54.8M -167.0K 0.60 12.80 N/A N/A 172,096 104,000 1,226,240 1,143,488 2009-09-22 $0.81 $0.69 40.0% 11.5% 26.2% 0.0% 40.8% 7.6% 4.5% 1.2M -54.8M -175.3K 0.67 10.82 N/A N/A 166,720 111,936 1,268,864 1,195,776 2009-09-23 $0.80 $0.70 41.9% 12.0% 26.9% 1.4% 41.8% 9.2% 3.8% 1.2M -51.3M -188.2K 0.87 12.04 N/A N/A 206,464 179,904 1,351,296 1,268,672 2009-09-24 $0.79 $0.73 42.5% 12.2% 27.9% 1.9% 44.8% 8.7% 3.9% 1.0M -42.8M -208.8K 0.95 10.98 N/A N/A 152,896 145,600 1,460,544 1,387,392 2009-09-25 $0.78 $0.73 42.3% 12.1% 28.9% 1.7% 43.0% 8.3% 3.7% 854.7K -35.3M -209.5K 1.13 11.45 N/A N/A 84,864 96,128 1,481,856 1,465,024 2009-09-28 $0.80 $0.73 43.3% 12.4% 30.8% 2.4% 43.3% 8.8% 2.9% 1.2M -49.5M -209.9K 0.75 11.33 N/A N/A 119,488 89,280 1,512,384 1,503,104 2009-09-29 $0.80 $0.73 43.1% 12.4% 29.7% 2.3% 42.7% 10.1% 2.9% 1.3M -47.1M -214.9K 0.78 10.60 N/A N/A 124,416 97,472 1,580,608 1,542,016 2009-09-30 $0.80 $0.73 43.8% 12.5% 25.1% 2.8% 43.9% 8.6% 2.4% 1.3M -46.7M -217.1K 1.04 10.26 N/A N/A 142,400 148,480 1,639,488 1,597,312
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