QLD Options History — December 2009 In December 2009, QLD traded between $0.84 and $0.95. ATM implied volatility averaged 36.3%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 9.4% (HV 20d: 26.9%). Max pain ranged from $0.77 to $0.84. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.75.
Notable Days 2009-12-28 : Highest Volume — 487,040 contracts2009-12-09 : Largest IV drop — 9.8% change2009-12-17 : Highest IV Rank — 7.2%2009-12-08 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $0.89 $0.84 $0.95 $0.86 $0.93 Max Pain $0.80 $0.77 $0.84 $0.81 $0.84 ATM IV 36.3% 30.6% 40.4% 38.4% 34.2% Expected Move 10.6% 8.8% 12.5% 11.0% 9.8% HV 20d 26.9% 22.7% 32.9% 32.5% 23.9% HV 60d 33.0% 30.6% 34.0% 33.5% 30.6% IV Rank 3.0% 0.0% 7.2% 3.1% 5.9% IV Percentile 4.2% 0.0% 12.3% 4.4% 2.4% Term Structure 5.9% 2.7% 9.2% 2.7% 5.3% VWIV 38.5% 32.4% 44.4% 38.9% 34.3% Skew 25d 9.0% 7.4% 10.0% 8.8% 7.4% Skew 10d 18.7% 15.1% 22.9% 16.3% 16.7% Call IV 25d 33.2% 26.2% 39.1% 35.2% 30.5% Put IV 25d 42.2% 34.9% 48.6% 44.0% 38.0% Bid-Ask Spread % 15.32 9.73 20.50 17.47 9.73 Gamma HHI 0.11 0.08 0.22 0.08 0.10 Net GEX 2.2M 1.3M 3.8M 1.7M 2.7M Net DEX -63.4M -89.4M -36.4M -52.7M -80.3M Net VEX -247.3K -280.3K -214.2K -268.7K -249.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.23 1.36 0.84 1.19 Total Volume 263,220.364 120,512 487,040 278,848 192,000 Total OI 3,254,237.091 2,300,160 3,960,768 3,092,096 3,108,800
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 2009-12-01 $0.86 $0.81 38.4% 11.0% 32.5% 3.1% 38.9% 8.8% 2.7% 1.7M -52.7M -268.7K 0.84 17.47 N/A N/A 151,168 127,680 1,692,032 1,400,064 2009-12-02 $0.86 $0.83 36.9% 10.6% 32.5% 1.1% 37.3% 8.0% 3.3% 1.8M -54.7M -266.8K 1.05 20.50 N/A N/A 115,712 121,664 1,739,648 1,417,280 2009-12-03 $0.85 $0.83 38.0% 10.9% 32.9% 2.6% 39.4% 8.6% 3.3% 1.6M -48.3M -276.9K 0.69 18.41 N/A N/A 108,608 74,880 1,778,368 1,477,440 2009-12-04 $0.86 $0.77 38.7% 12.1% 29.1% 3.4% 42.4% 9.2% 5.7% 1.8M -54.8M -280.3K 0.56 17.42 N/A N/A 256,832 143,552 1,821,376 1,516,288 2009-12-07 $0.85 $0.77 38.2% 12.0% 29.4% 3.3% 44.4% 9.1% 5.3% 1.9M -51.2M -268.7K 1.07 18.27 N/A N/A 95,104 101,696 1,896,128 1,555,840 2009-12-08 $0.84 $0.77 40.4% 12.5% 25.9% 6.7% 42.9% 9.6% 4.7% 1.6M -38.3M -268.9K 0.71 19.28 N/A N/A 179,136 126,848 1,879,808 1,575,296 2009-12-09 $0.86 $0.77 36.5% 11.9% 26.8% 0.7% 43.3% 9.8% 5.9% 2.2M -54.2M -264.5K 1.36 16.50 N/A N/A 85,120 116,096 1,904,320 1,581,440 2009-12-10 $0.87 $0.77 39.7% 11.4% 26.6% 5.7% 41.8% 9.8% 7.2% 2.4M -60.3M -264.0K 1.22 15.35 N/A N/A 93,696 114,752 1,916,864 1,625,536 2009-12-11 $0.86 $0.78 39.6% 11.4% 26.5% 5.5% 43.3% 10.0% 7.3% 2.2M -53.7M -259.2K 0.84 16.34 N/A N/A 220,608 185,920 1,925,888 1,678,848 2009-12-14 $0.88 $0.78 39.9% 11.4% 26.6% 5.9% 41.1% 9.7% 6.4% 2.6M -71.0M -244.4K 0.91 18.75 N/A N/A 113,472 103,424 1,965,760 1,772,160 2009-12-15 $0.87 $0.78 39.4% 11.3% 25.9% 5.1% 40.3% 9.2% 7.4% 2.6M -59.6M -242.7K 0.57 15.91 N/A N/A 76,608 43,904 2,021,312 1,813,248 2009-12-16 $0.87 $0.78 38.2% 10.9% 25.8% 3.8% 39.9% 9.3% 7.5% 3.1M -66.1M -235.4K 0.70 17.82 N/A N/A 100,544 69,952 2,051,200 1,826,944 2009-12-17 $0.85 $0.78 40.0% 11.5% 27.0% 7.2% 42.0% 9.2% 6.5% 2.1M -36.4M -227.6K 0.62 15.17 N/A N/A 216,256 133,888 2,066,048 1,842,240 2009-12-18 $0.88 $0.78 36.2% 10.4% 26.6% 0.4% 37.9% 9.4% 9.2% 3.8M -76.1M -219.4K 0.39 16.48 N/A N/A 348,288 134,464 2,079,744 1,881,024 2009-12-21 $0.90 $0.78 35.6% 10.2% 27.3% 0.0% 37.3% 9.0% 4.3% 1.3M -52.5M -214.2K 0.34 12.66 N/A N/A 335,296 113,280 1,220,608 1,079,552 2009-12-22 $0.91 $0.80 32.8% 9.4% 25.7% 0.0% 35.0% 8.9% 6.2% 1.8M -63.5M -229.3K 0.23 13.94 N/A N/A 142,400 33,344 1,373,568 1,132,672 2009-12-23 $0.92 $0.81 31.0% 8.9% 25.7% 0.0% 32.9% 8.4% 6.5% 2.1M -72.8M -228.1K 0.52 11.24 N/A N/A 153,280 80,128 1,436,416 1,144,384 2009-12-24 $0.94 $0.81 30.6% 8.8% 26.2% 0.0% 33.1% 8.8% 6.6% 2.2M -84.3M -231.7K 0.79 10.44 N/A N/A 99,776 78,976 1,514,176 1,190,144 2009-12-28 $0.95 $0.83 30.9% 8.9% 22.9% 0.6% 35.0% 8.5% 6.2% 2.1M -87.6M -225.9K 0.23 12.95 N/A N/A 394,880 92,160 1,523,648 1,237,824 2009-12-29 $0.94 $0.83 31.9% 9.1% 23.4% 2.2% 32.4% 8.0% 5.8% 2.7M -87.4M -235.8K 1.08 10.36 N/A N/A 61,632 66,432 1,653,568 1,282,432 2009-12-30 $0.94 $0.83 32.3% 9.3% 22.7% 2.9% 32.7% 8.5% 5.4% 2.6M -89.4M -239.9K 0.65 12.07 N/A N/A 113,280 74,112 1,661,120 1,332,160 2009-12-31 $0.93 $0.84 34.2% 9.8% 23.9% 5.9% 34.3% 7.4% 5.3% 2.7M -80.3M -249.0K 1.19 9.73 N/A N/A 87,552 104,448 1,724,864 1,383,936
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