QLD Options History — December 2007

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

In December 2007, QLD traded between $1.54 and $1.72. ATM implied volatility averaged 49.4%. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 2.9% (HV 20d: 46.5%). Max pain ranged from $1.48 to $1.64. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2007-12-12: Highest Volume — 37,120 contracts
2007-12-11: Largest IV drop — 26.1% change
2007-12-03: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.62	$1.54	$1.72	$1.62	$1.55
Max Pain	$1.58	$1.48	$1.64	$1.56	$1.56
ATM IV	49.4%	36.9%	52.7%	52.7%	46.2%
Expected Move	14.3%	13.2%	15.1%	15.1%	13.2%
HV 20d	46.5%	33.9%	62.4%	61.2%	34.1%
Term Structure	-2.4%	-4.9%	2.6%	-3.5%	2.4%
VWIV	49.3%	45.8%	52.0%	51.7%	45.8%
Skew 25d	8.1%	2.1%	28.6%	4.5%	7.3%
Skew 10d	14.6%	6.7%	27.7%	13.1%	7.3%
Call IV 25d	43.4%	24.2%	50.1%	49.0%	46.1%
Put IV 25d	51.6%	44.9%	53.5%	53.5%	53.4%
Bid-Ask Spread %	48.13	30.71	98.03	32.25	40.57
Gamma HHI	0.34	0.19	1.00	0.28	0.46
Net GEX	187.6K	-11.1K	394.3K	216.2K	3.1K
Net DEX	-2.7M	-6.5M	115.0K	-3.5M	-80.0K
Net VEX	-11.1K	-20.9K	0	-14.1K	-904
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.00	6.43	0.25	1.38
Total Volume	11,823.158	64	37,120	4,096	2,432
Total OI	68,769.684	0	142,720	70,528	6,464

Daily Data (19 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
2007-12-03	$1.62	$1.56	52.7%	15.1%	61.2%	0.0%	51.7%	4.5%	-3.5%	216.2K	-3.5M	-14.1K	0.25	32.25	N/A	N/A	3,264	832	63,872	6,656
2007-12-04	$1.60	$1.56	51.7%	14.8%	61.2%	0.0%	52.0%	3.3%	-3.5%	205.0K	-3.2M	-13.9K	0.14	36.75	N/A	N/A	3,200	448	64,192	7,232
2007-12-05	$1.66	$1.56	46.5%	13.3%	62.4%	0.0%	46.9%	28.6%	2.6%	260.7K	-4.7M	-15.2K	0.28	78.78	N/A	N/A	8,192	2,304	65,728	7,488
2007-12-06	$1.70	$1.48	51.0%	14.6%	61.2%	0.0%	49.4%	7.1%	-2.2%	287.0K	-6.1M	-16.1K	0.10	34.69	N/A	N/A	10,048	1,024	71,296	9,216
2007-12-07	$1.71	$1.56	50.6%	14.0%	55.1%	0.0%	48.4%	13.5%	-0.7%	276.9K	-5.9M	-15.7K	0.15	37.62	N/A	N/A	9,856	1,472	69,056	9,984
2007-12-10	$1.72	$1.56	49.9%	13.7%	50.4%	0.0%	47.3%	13.1%	-0.5%	321.0K	-6.5M	-16.8K	0.16	38.00	N/A	N/A	15,488	2,496	75,840	11,072
2007-12-11	$1.64	$1.56	36.9%	14.2%	49.0%	0.0%	48.9%	17.1%	-0.4%	267.0K	-3.2M	-7.6K	0.25	98.03	N/A	N/A	6,976	1,728	59,520	11,648
2007-12-12	$1.67	$1.56	45.6%	13.7%	41.0%	0.0%	47.9%	5.9%	-1.6%	372.6K	-6.0M	-20.3K	0.27	91.61	N/A	N/A	29,184	7,936	93,696	13,376
2007-12-13	$1.64	$1.64	50.6%	14.5%	41.0%	0.0%	50.5%	8.8%	-4.9%	333.8K	-4.4M	-20.9K	0.18	37.13	N/A	N/A	25,792	4,608	96,064	19,008
2007-12-14	$1.62	$1.64	50.6%	14.5%	40.8%	0.0%	50.7%	6.9%	-4.4%	394.3K	-4.2M	-20.5K	0.52	37.67	N/A	N/A	6,144	3,200	109,120	19,264
2007-12-17	$1.54	$1.64	51.1%	14.7%	43.7%	0.0%	48.1%	2.4%	-3.3%	212.3K	-1.3M	-15.5K	0.17	61.03	N/A	N/A	16,896	2,880	109,184	19,264
2007-12-18	$1.54	$1.64	51.3%	14.7%	42.7%	0.0%	50.6%	2.1%	-3.7%	208.1K	-1.2M	-16.1K	0.05	58.27	N/A	N/A	20,352	1,024	119,744	20,736
2007-12-19	$1.56	$1.64	50.8%	14.6%	42.8%	0.0%	49.4%	2.8%	-3.2%	221.0K	-1.4M	-15.7K	1.59	56.51	N/A	N/A	11,584	18,368	121,664	21,056
2007-12-21	$1.59	$0.00	50.9%	14.6%	41.8%	0.0%	49.4%	0.0%	-4.1%	0	0	0	0.00	30.71	N/A	N/A	0	320	0	0
2007-12-24	$1.61	$1.48	51.0%	14.6%	41.2%	0.0%	51.0%	5.3%	-4.1%	-1.2K	12.8K	-45	1.00	36.02	N/A	N/A	128	128	0	320
2007-12-26	$1.63	$1.56	51.0%	14.6%	39.8%	0.0%	0.0%	4.7%	-4.6%	-1.2K	5.6K	-83	0.00	39.59	N/A	N/A	64	0	128	448
2007-12-27	$1.58	$1.56	50.9%	14.6%	40.1%	0.0%	50.1%	6.9%	-3.3%	-1.2K	7.1K	-102	6.43	35.78	N/A	N/A	448	2,880	192	448
2007-12-28	$1.58	$1.56	50.0%	14.3%	33.9%	0.0%	49.7%	6.2%	-2.0%	-11.1K	115.0K	-545	0.00	33.53	N/A	N/A	2,944	0	640	3,008
2007-12-31	$1.55	$1.56	46.2%	13.2%	34.1%	0.0%	45.8%	7.3%	2.4%	3.1K	-80.0K	-904	1.38	40.57	N/A	N/A	1,024	1,408	3,456	3,008