QLD Options History — January 2010

In January 2010, QLD traded between $0.81 and $0.96. ATM implied volatility averaged 36.1%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 7.0% (HV 20d: 29.1%). Max pain ranged from $0.89 to $0.94. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.63.

Notable Days

2010-01-15: Highest Volume — 611,712 contracts
2010-01-22: Largest IV spike — 28.6% change
2010-01-22: Highest IV Rank — 29.9%
2010-01-22: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.92	$0.81	$0.96	$0.95	$0.81
Max Pain	$0.92	$0.89	$0.94	$0.89	$0.89
ATM IV	36.1%	28.3%	47.4%	33.1%	44.5%
Expected Move	10.9%	9.0%	13.6%	10.9%	12.7%
HV 20d	29.1%	23.8%	39.5%	24.7%	39.5%
HV 60d	32.2%	30.8%	35.3%	30.9%	33.4%
IV Rank	11.5%	0.0%	29.9%	4.1%	25.3%
IV Percentile	14.4%	0.0%	50.4%	2.4%	43.7%
Term Structure	3.5%	-0.3%	6.1%	3.8%	1.4%
VWIV	38.7%	31.7%	45.6%	38.3%	44.1%
Skew 25d	8.7%	6.8%	12.0%	9.7%	8.9%
Skew 10d	17.4%	13.0%	24.5%	18.6%	14.6%
Call IV 25d	34.4%	28.2%	42.5%	33.5%	40.8%
Put IV 25d	43.1%	35.0%	53.1%	43.1%	49.6%
Bid-Ask Spread %	17.58	11.51	23.26	21.34	17.68
Gamma HHI	0.14	0.07	0.60	0.10	0.07
Net GEX	2.7M	175.9K	5.6M	2.9M	175.9K
Net DEX	-58.1M	-116.0M	25.4M	-100.4M	25.4M
Net VEX	-278.2K	-349.8K	-228.8K	-228.8K	-297.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.41	1.07	0.41	0.78
Total Volume	400,936.421	161,856	611,712	314,112	507,456
Total OI	3,368,778.105	2,143,808	4,246,784	3,190,208	3,582,720

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
2010-01-04	$0.95	$0.89	33.1%	10.9%	24.7%	4.1%	38.3%	9.7%	3.8%	2.9M	-100.4M	-228.8K	0.41	21.34	N/A	N/A	223,424	90,688	1,776,192	1,414,016
2010-01-05	$0.95	$0.91	32.5%	10.7%	24.7%	3.1%	37.2%	8.8%	4.4%	3.5M	-104.3M	-249.0K	0.82	17.87	N/A	N/A	89,024	72,832	1,884,352	1,447,616
2010-01-06	$0.94	$0.91	32.7%	10.7%	24.8%	3.5%	36.6%	8.5%	4.0%	3.5M	-94.9M	-248.9K	0.51	19.96	N/A	N/A	150,976	77,568	1,899,008	1,495,552
2010-01-07	$0.94	$0.92	32.1%	10.5%	24.0%	2.6%	41.8%	8.5%	4.8%	3.8M	-93.6M	-247.0K	0.89	18.35	N/A	N/A	104,960	93,568	1,937,280	1,509,568
2010-01-08	$0.96	$0.92	28.3%	10.1%	23.8%	0.0%	36.6%	8.0%	4.2%	4.3M	-110.4M	-245.5K	1.07	16.61	N/A	N/A	172,160	183,936	1,987,328	1,553,024
2010-01-11	$0.95	$0.94	31.6%	10.1%	24.1%	5.1%	35.2%	7.9%	3.8%	4.0M	-103.3M	-244.3K	0.46	15.31	N/A	N/A	163,520	74,688	2,032,640	1,672,768
2010-01-12	$0.93	$0.94	34.6%	10.4%	26.1%	9.9%	37.3%	7.7%	4.6%	3.7M	-78.7M	-247.0K	0.62	15.46	N/A	N/A	317,888	196,096	2,130,880	1,708,480
2010-01-13	$0.95	$0.92	29.3%	9.8%	26.5%	1.6%	35.1%	7.3%	5.0%	5.3M	-113.1M	-256.0K	0.81	17.65	N/A	N/A	234,496	189,120	2,258,368	1,795,200
2010-01-14	$0.95	$0.94	33.2%	9.5%	26.0%	7.7%	36.3%	7.0%	5.7%	5.6M	-116.0M	-253.7K	0.48	15.96	N/A	N/A	238,784	114,176	2,301,952	1,851,648
2010-01-15	$0.93	$0.94	33.2%	9.5%	27.7%	7.7%	33.7%	7.4%	6.1%	4.8M	-70.6M	-245.1K	0.48	15.84	N/A	N/A	413,376	198,336	2,325,440	1,921,344
2010-01-19	$0.96	$0.92	31.5%	9.0%	27.4%	5.0%	31.7%	6.8%	4.3%	1.1M	-44.3M	-258.3K	0.49	11.51	N/A	N/A	306,496	149,888	1,121,920	1,021,888
2010-01-20	$0.93	$0.92	33.5%	9.6%	28.3%	8.1%	34.4%	7.5%	4.3%	1.4M	-36.6M	-295.5K	0.55	15.18	N/A	N/A	311,936	172,800	1,338,880	1,108,352
2010-01-21	$0.92	$0.92	36.8%	10.6%	28.4%	13.4%	37.5%	8.5%	2.4%	1.3M	-29.0M	-319.5K	0.53	15.55	N/A	N/A	250,176	132,160	1,490,752	1,226,240
2010-01-22	$0.86	$0.92	47.4%	13.6%	35.2%	29.9%	44.9%	10.7%	-0.3%	707.1K	-3.6M	-316.0K	0.44	19.04	N/A	N/A	383,360	168,192	1,612,672	1,307,392
2010-01-25	$0.87	$0.91	44.5%	12.7%	34.8%	25.3%	45.6%	12.0%	0.5%	1.0M	-8.5M	-328.3K	0.80	20.04	N/A	N/A	236,288	190,016	1,767,552	1,361,728
2010-01-26	$0.87	$0.91	43.0%	12.3%	34.0%	23.0%	44.6%	10.3%	1.6%	1.0M	-8.1M	-335.4K	0.52	23.26	N/A	N/A	333,312	172,672	1,809,984	1,444,288
2010-01-27	$0.88	$0.89	41.3%	11.9%	34.3%	20.4%	41.8%	10.1%	2.6%	1.6M	-22.9M	-349.8K	0.81	19.97	N/A	N/A	204,416	165,376	1,950,336	1,451,648
2010-01-28	$0.84	$0.89	42.5%	12.2%	38.3%	22.3%	42.4%	9.5%	2.4%	669.4K	9.3M	-320.4K	0.47	17.46	N/A	N/A	363,520	170,112	1,982,784	1,524,992
2010-01-29	$0.81	$0.89	44.5%	12.7%	39.5%	25.3%	44.1%	8.9%	1.4%	175.9K	25.4M	-297.7K	0.78	17.68	N/A	N/A	285,696	221,760	2,008,128	1,574,592