QLD Options History — October 2009 In October 2009, QLD traded between $0.74 and $0.84. ATM implied volatility averaged 42.3%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 9.3% (HV 20d: 33.0%). Max pain ranged from $0.73 to $0.81. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.92.
Notable Days 2009-10-16 : Highest Volume — 837,824 contracts2009-10-30 : Largest IV spike — 17.3% change2009-10-30 : Highest IV Rank — 10.7%2009-10-30 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $0.80 $0.74 $0.84 $0.75 $0.75 Max Pain $0.79 $0.73 $0.81 $0.73 $0.81 ATM IV 42.3% 38.0% 50.0% 49.0% 50.0% Expected Move 12.5% 10.9% 14.3% 14.0% 14.3% HV 20d 33.0% 30.1% 36.9% 34.6% 36.9% HV 60d 33.1% 31.7% 35.7% 35.0% 35.7% IV Rank 3.0% 0.0% 10.7% 6.6% 10.7% IV Percentile 10.2% 0.0% 36.1% 27.8% 36.1% Term Structure 2.4% 0.3% 5.2% 1.7% 0.3% VWIV 43.9% 37.2% 50.9% 49.4% 49.8% Skew 25d 8.4% 7.0% 10.3% 8.7% 9.6% Skew 10d 16.0% 12.1% 19.7% 15.8% 16.0% Call IV 25d 39.8% 34.1% 46.6% 45.5% 46.6% Put IV 25d 48.2% 41.6% 56.2% 54.2% 56.2% Bid-Ask Spread % 16.57 9.85 21.26 9.85 16.33 Gamma HHI 0.14 0.07 0.81 0.08 0.07 Net GEX 1.5M -123.9K 6.8M 641.7K -123.9K Net DEX -35.5M -83.6M 16.6M -19.8M 16.6M Net VEX -221.1K -269.2K -176.3K -214.7K -262.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.25 2.11 0.96 0.85 Total Volume 316,811.636 174,720 837,824 328,256 392,832 Total OI 3,211,301.818 1,751,168 4,124,032 3,308,672 3,208,256
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 2009-10-01 $0.75 $0.73 49.0% 14.0% 34.6% 6.6% 49.4% 8.7% 1.7% 641.7K -19.8M -214.7K 0.96 9.85 N/A N/A 167,808 160,448 1,658,624 1,650,048 2009-10-02 $0.74 $0.73 49.0% 14.0% 34.6% 6.6% 49.5% 9.3% 1.5% 543.8K -16.2M -216.9K 0.59 10.39 N/A N/A 112,768 66,176 1,701,952 1,733,120 2009-10-05 $0.76 $0.78 49.9% 14.3% 32.0% 7.3% 50.9% 10.3% 0.7% 733.7K -22.4M -209.6K 0.75 14.13 N/A N/A 99,648 75,072 1,726,336 1,754,240 2009-10-06 $0.78 $0.78 45.0% 13.5% 33.4% 3.7% 47.5% 9.5% 1.7% 1.3M -41.1M -208.8K 0.93 13.81 N/A N/A 161,600 149,888 1,750,080 1,773,440 2009-10-07 $0.79 $0.78 43.4% 13.2% 33.1% 2.5% 47.9% 9.4% 1.5% 1.5M -44.4M -210.0K 1.40 16.27 N/A N/A 74,432 104,064 1,798,592 1,823,296 2009-10-08 $0.80 $0.78 41.4% 13.0% 32.6% 1.0% 45.6% 9.3% 1.2% 1.7M -51.1M -211.9K 0.25 17.62 N/A N/A 234,304 58,432 1,812,032 1,888,960 2009-10-09 $0.80 $0.78 38.8% 13.0% 32.8% 0.0% 45.3% 9.7% 1.8% 2.2M -58.4M -207.4K 2.11 18.28 N/A N/A 66,112 139,520 1,873,536 1,908,800 2009-10-12 $0.81 $0.78 38.6% 12.6% 32.7% 0.0% 45.7% 8.6% 1.8% 2.1M -56.9M -194.3K 0.71 19.54 N/A N/A 151,872 107,264 1,854,720 1,960,640 2009-10-13 $0.81 $0.78 42.2% 12.5% 32.7% 3.1% 44.9% 8.1% 3.1% 2.3M -57.9M -195.4K 0.27 17.70 N/A N/A 197,312 53,120 1,849,216 1,997,440 2009-10-14 $0.83 $0.78 38.3% 12.2% 32.5% 0.0% 43.7% 8.2% 3.8% 3.1M -83.6M -188.6K 0.63 14.73 N/A N/A 159,872 101,184 1,943,936 2,020,544 2009-10-15 $0.83 $0.78 41.8% 12.0% 32.5% 3.0% 42.2% 7.8% 3.3% 3.5M -83.1M -183.0K 0.85 18.00 N/A N/A 169,792 144,512 1,954,688 2,035,008 2009-10-16 $0.82 $0.80 40.0% 11.5% 32.9% 1.5% 40.4% 7.0% 5.2% 6.8M -73.3M -176.3K 0.67 21.26 N/A N/A 501,824 336,000 1,980,992 2,143,040 2009-10-19 $0.83 $0.80 38.0% 10.9% 33.5% 0.0% 39.0% 7.9% 4.0% 655.5K -28.5M -187.3K 0.77 16.69 N/A N/A 227,584 174,592 915,648 835,520 2009-10-20 $0.83 $0.80 38.0% 10.9% 33.5% 0.0% 37.4% 7.9% 4.6% 839.8K -32.9M -211.6K 0.72 17.18 N/A N/A 200,640 145,216 1,090,368 961,408 2009-10-21 $0.83 $0.80 38.1% 10.9% 33.2% 0.1% 37.2% 7.4% 3.3% 958.3K -34.1M -226.9K 1.00 18.03 N/A N/A 248,832 248,064 1,199,424 1,032,960 2009-10-22 $0.84 $0.81 38.1% 10.9% 32.6% 0.1% 38.2% 7.5% 2.8% 872.4K -32.5M -251.7K 0.65 17.55 N/A N/A 122,432 79,936 1,308,544 1,201,984 2009-10-23 $0.83 $0.81 38.5% 11.0% 32.0% 0.5% 38.5% 7.0% 3.8% 830.3K -29.2M -256.0K 1.12 16.45 N/A N/A 115,712 129,152 1,348,736 1,243,328 2009-10-26 $0.82 $0.81 40.9% 11.7% 30.1% 2.6% 40.7% 8.3% 2.3% 731.1K -24.8M -259.8K 2.07 20.37 N/A N/A 97,856 202,240 1,420,288 1,317,632 2009-10-27 $0.80 $0.81 42.9% 12.3% 31.9% 4.3% 42.2% 7.3% 1.9% 403.0K -10.4M -262.0K 0.92 17.58 N/A N/A 160,192 146,624 1,448,768 1,388,608 2009-10-28 $0.76 $0.81 46.9% 13.4% 36.0% 7.9% 47.0% 7.2% 0.4% -5.0K 9.4M -259.5K 1.22 14.59 N/A N/A 185,216 226,688 1,531,520 1,472,192 2009-10-29 $0.79 $0.81 42.6% 12.2% 30.9% 4.2% 42.3% 8.5% 2.6% 424.3K -5.8M -269.2K 0.79 18.17 N/A N/A 152,320 120,704 1,605,760 1,524,416 2009-10-30 $0.75 $0.81 50.0% 14.3% 36.9% 10.7% 49.8% 9.6% 0.3% -123.9K 16.6M -262.7K 0.85 16.33 N/A N/A 212,096 180,736 1,629,248 1,579,008
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