QLD Options History — October 2007

Name: QLD Options Analytics - October 2007
Creator: Options Analysis Suite

In October 2007, QLD traded between $1.86 and $1.91. ATM implied volatility averaged 36.3%. The 30-day expected move averaged 10.4%. Max pain ranged from $1.83 to $1.83. Net GEX was positive for 1 of 2 trading days. Term structure was in contango for 1 of 2 days. Put/call ratio averaged 0.25.

Notable Days

2007-10-30: Highest Volume — 576 contracts
2007-10-31: Largest IV drop — 10.9% change
2007-10-30: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.88	$1.86	$1.91	$1.86	$1.91
Max Pain	$1.83	$1.83	$1.83	$1.83	$1.83
ATM IV	36.3%	34.2%	38.4%	38.4%	34.2%
Expected Move	10.4%	9.8%	11.0%	11.0%	9.8%
Term Structure	0.7%	-0.8%	2.1%	2.1%	-0.8%
VWIV	35.4%	35.4%	35.4%	35.4%	35.4%
Skew 25d	3.5%	3.2%	3.9%	3.2%	3.9%
Skew 10d	9.1%	8.7%	9.6%	8.7%	9.6%
Call IV 25d	34.2%	34.1%	34.2%	34.1%	34.2%
Put IV 25d	37.7%	37.3%	38.1%	37.3%	38.1%
Bid-Ask Spread %	80.95	30.93	130.98	130.98	30.93
Gamma HHI	0.60	0.60	0.60	0.60	0.60
Net GEX	1.2K	0	2.4K	0	2.4K
Net DEX	-17.8K	-35.7K	0	0	-35.7K
Net VEX	-44	-87	0	0	-87
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	0.50	0.50	0.00
Total Volume	320	64	576	576	64
Total OI	288	0	576	0	576

Daily Data (2 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
2007-10-30	$1.86	$0.00	38.4%	11.0%	0.0%	0.0%	35.4%	3.2%	2.1%	0	0	0	0.50	130.98	N/A	N/A	384	192	0	0
2007-10-31	$1.91	$1.83	34.2%	9.8%	0.0%	0.0%	0.0%	3.9%	-0.8%	2.4K	-35.7K	-87	0.00	30.93	N/A	N/A	64	0	384	192