QLD Options History — November 2009

In November 2009, QLD traded between $0.75 and $0.88. ATM implied volatility averaged 40.5%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 1.1% (HV 20d: 39.4%). Max pain ranged from $0.78 to $0.83. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2009-11-20: Highest Volume — 472,960 contracts
  • 2009-11-27: Largest IV spike — 14.7% change
  • 2009-11-02: Highest IV Rank — 11.2%
  • 2009-11-02: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.83$0.75$0.88$0.75$0.84
Max Pain$0.80$0.78$0.83$0.81$0.83
ATM IV40.5%36.0%50.6%50.6%41.1%
Expected Move11.8%10.3%14.5%14.5%11.8%
HV 20d39.4%32.1%43.8%36.5%32.1%
HV 60d34.5%33.5%36.5%35.5%34.2%
IV Rank3.0%0.0%11.2%11.2%6.5%
IV Percentile8.8%0.0%37.3%37.3%11.5%
Term Structure2.1%-0.8%3.7%-0.8%2.3%
VWIV42.1%36.6%50.1%50.1%42.1%
Skew 25d8.9%7.5%11.1%11.1%8.9%
Skew 10d17.9%14.8%23.0%23.0%19.2%
Call IV 25d37.5%32.4%45.7%45.7%38.3%
Put IV 25d46.4%40.1%56.8%56.8%47.2%
Bid-Ask Spread %17.0712.4221.3318.7317.72
Gamma HHI0.100.070.210.080.07
Net GEX1.5M-91.7K2.6M-91.7K1.2M
Net DEX-46.8M-101.3M16.0M16.0M-38.2M
Net VEX-264.7K-287.8K-241.9K-266.7K-265.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.331.450.630.54
Total Volume274,998.4120,256472,960411,584198,592
Total OI3,624,0962,521,6644,424,0643,386,1122,983,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$0.75$0.8150.6%14.5%36.5%11.2%50.1%11.1%-0.8%-91.7K16.0M-266.7K0.6318.73N/AN/A252,096159,4881,716,5441,669,568
2009-11-03$0.76$0.8048.4%13.9%34.3%9.3%48.0%10.3%0.6%43.3K11.3M-270.9K0.9117.86N/AN/A69,05662,5921,794,4961,697,664
2009-11-04$0.76$0.8045.0%12.9%34.3%6.2%45.3%7.5%2.5%90.9K9.6M-268.6K0.6419.66N/AN/A169,088108,4161,813,1841,702,912
2009-11-05$0.80$0.8041.0%11.8%38.3%2.7%43.2%8.8%3.3%950.9K-17.1M-285.9K0.9219.23N/AN/A176,128161,6641,886,1441,730,944
2009-11-06$0.81$0.7838.1%12.2%38.4%0.1%45.4%10.8%1.8%1.1M-23.1M-287.8K0.7412.42N/AN/A125,82492,6721,909,5041,796,736
2009-11-09$0.84$0.7837.6%11.5%41.2%0.0%41.5%10.3%2.1%1.7M-53.5M-277.0K0.8614.26N/AN/A160,128137,7921,907,2001,839,296
2009-11-10$0.84$0.8038.8%12.1%41.2%1.0%42.3%10.0%1.9%1.7M-56.4M-282.9K0.4414.33N/AN/A201,79288,4481,937,8561,907,008
2009-11-11$0.85$0.8038.1%11.7%40.4%0.4%42.7%9.2%2.0%2.0M-68.3M-277.3K0.5921.33N/AN/A176,064103,1042,002,8801,941,760
2009-11-12$0.85$0.8041.9%12.0%40.6%3.8%43.3%9.0%1.8%1.9M-59.8M-276.6K0.7217.29N/AN/A100,48072,5762,021,1841,955,072
2009-11-13$0.86$0.8040.6%11.6%40.6%2.7%40.9%8.5%2.7%2.1M-74.1M-264.6K0.7518.01N/AN/A123,84093,3122,024,9601,973,376
2009-11-16$0.88$0.8140.1%11.5%40.7%2.2%40.1%8.4%2.5%2.5M-94.7M-241.9K0.4715.82N/AN/A292,928137,4082,059,2002,010,880
2009-11-17$0.88$0.8139.6%11.4%40.7%1.8%39.9%7.5%2.3%2.5M-101.3M-243.8K0.4717.97N/AN/A209,98498,4322,140,6082,069,248
2009-11-18$0.87$0.8139.0%11.2%40.9%1.2%40.3%8.2%2.3%2.6M-96.2M-255.2K1.4514.62N/AN/A103,168149,8242,231,8082,101,376
2009-11-19$0.84$0.8141.1%11.8%42.7%3.1%42.3%8.2%1.7%1.9M-58.0M-259.1K0.9414.35N/AN/A180,672169,4082,208,0002,147,712
2009-11-20$0.84$0.8138.7%11.1%42.7%1.0%39.7%8.6%3.7%2.2M-50.2M-244.7K0.6316.24N/AN/A290,304182,6562,240,5762,183,488
2009-11-23$0.86$0.8137.4%10.7%43.8%0.0%39.1%8.1%3.3%1.0M-43.7M-244.1K0.3318.22N/AN/A249,34483,3281,326,5921,195,072
2009-11-24$0.86$0.8136.5%10.5%42.3%0.0%36.8%8.3%2.7%1.3M-47.0M-257.9K0.6017.18N/AN/A88,83253,0561,471,1041,233,920
2009-11-25$0.86$0.8136.0%10.3%37.9%0.0%36.6%7.8%2.6%1.5M-52.9M-257.1K0.5815.55N/AN/A75,96844,2881,525,8241,273,024
2009-11-27$0.84$0.8141.3%11.8%38.7%6.7%42.5%8.5%1.4%1.2M-39.2M-266.7K0.9820.60N/AN/A129,600127,6161,564,6081,286,912
2009-11-30$0.84$0.8341.1%11.8%32.1%6.5%42.1%8.9%2.3%1.2M-38.2M-265.7K0.5417.72N/AN/A129,34469,2481,619,4561,364,224