QLD Options History — March 2010 In March 2010, QLD traded between $0.91 and $1.03. ATM implied volatility averaged 30.8%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.7% (HV 20d: 21.1%). Max pain ranged from $0.84 to $0.94. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.73.
Notable Days 2010-03-19 : Highest Volume — 556,032 contracts2010-03-11 : Largest IV spike — 15.0% change2010-03-15 : Highest IV Rank — 14.3%2010-03-15 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.98 $0.91 $1.03 $0.91 $1.02 Max Pain $0.89 $0.84 $0.94 $0.86 $0.94 ATM IV 30.8% 27.6% 34.8% 32.2% 29.9% Expected Move 9.0% 8.0% 10.0% 9.2% 8.6% HV 20d 21.1% 15.1% 32.7% 32.7% 15.9% HV 60d 32.8% 31.5% 33.6% 33.3% 31.5% IV Rank 5.9% 0.0% 14.3% 6.0% 5.1% IV Percentile 4.3% 0.0% 13.9% 3.6% 4.0% Term Structure 4.3% 2.4% 6.0% 2.9% 3.7% VWIV 32.6% 29.5% 36.7% 32.7% 30.0% Skew 25d 7.1% 5.3% 8.8% 7.9% 6.5% Skew 10d 15.1% 10.8% 18.3% 18.3% 13.0% Call IV 25d 28.6% 26.1% 31.6% 28.7% 26.5% Put IV 25d 35.7% 32.0% 39.5% 36.6% 33.0% Bid-Ask Spread % 14.18 10.97 18.00 14.29 10.97 Gamma HHI 0.13 0.11 0.22 0.16 0.12 Net GEX 2.7M 1.5M 3.7M 2.2M 2.5M Net DEX -87.8M -144.7M -44.6M -44.6M -70.6M Net VEX -250.0K -278.3K -223.0K -266.4K -259.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.45 1.08 0.64 1.03 Total Volume 281,015.652 118,464 556,032 444,352 149,440 Total OI 3,290,390.261 2,407,552 4,168,128 2,928,192 2,988,864
Daily Data (23 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 2010-03-01 $0.91 $0.86 32.2% 9.2% 32.7% 6.0% 32.7% 7.9% 2.9% 2.2M -44.6M -266.4K 0.64 14.29 N/A N/A 270,592 173,760 1,512,000 1,416,192 2010-03-02 $0.91 $0.86 32.8% 9.4% 32.2% 7.1% 32.4% 8.4% 2.4% 2.4M -50.8M -277.3K 0.49 14.89 N/A N/A 158,272 77,120 1,636,352 1,492,992 2010-03-03 $0.92 $0.86 30.5% 8.7% 31.8% 3.6% 32.4% 7.5% 3.9% 2.7M -53.9M -277.0K 0.96 16.00 N/A N/A 97,216 93,056 1,681,984 1,510,528 2010-03-04 $0.92 $0.86 30.2% 8.6% 31.7% 3.2% 31.4% 7.7% 3.9% 2.9M -59.3M -278.3K 0.68 12.28 N/A N/A 91,520 62,592 1,710,464 1,523,456 2010-03-05 $0.95 $0.84 27.6% 9.2% 22.9% 0.0% 35.3% 8.8% 5.2% 3.3M -82.6M -268.6K 1.05 11.80 N/A N/A 211,008 220,736 1,740,800 1,555,136 2010-03-08 $0.95 $0.86 29.4% 9.4% 22.8% 3.2% 34.2% 7.7% 5.0% 3.2M -89.6M -253.4K 0.71 16.33 N/A N/A 172,032 121,536 1,784,832 1,616,320 2010-03-09 $0.97 $0.86 29.1% 9.5% 21.5% 2.5% 35.0% 7.8% 4.8% 3.2M -100.2M -245.6K 0.64 17.49 N/A N/A 273,216 175,808 1,813,888 1,642,816 2010-03-10 $0.98 $0.86 29.6% 9.4% 21.2% 3.9% 34.9% 7.7% 4.3% 2.8M -110.9M -253.7K 0.69 15.38 N/A N/A 184,576 127,744 1,867,712 1,731,648 2010-03-11 $0.99 $0.88 34.0% 9.8% 20.6% 12.7% 35.5% 8.0% 4.4% 3.1M -119.2M -248.8K 0.73 15.33 N/A N/A 119,872 87,680 1,933,440 1,793,536 2010-03-12 $0.99 $0.88 34.6% 9.9% 19.5% 13.8% 35.4% 7.6% 3.6% 3.1M -120.3M -250.9K 0.52 17.23 N/A N/A 174,784 90,560 1,953,408 1,839,168 2010-03-15 $0.98 $0.88 34.8% 10.0% 19.9% 14.3% 36.7% 7.9% 3.5% 3.7M -117.7M -239.0K 0.55 18.00 N/A N/A 114,496 62,848 2,000,640 1,862,208 2010-03-16 $0.99 $0.88 32.9% 9.4% 18.9% 10.4% 35.1% 7.8% 4.9% 3.6M -128.7M -231.7K 0.93 15.12 N/A N/A 190,592 177,088 2,008,064 1,875,648 2010-03-17 $1.00 $0.89 31.4% 9.0% 18.9% 7.5% 32.7% 6.8% 5.6% 3.7M -135.3M -224.7K 0.92 15.27 N/A N/A 214,080 196,480 2,051,072 1,923,392 2010-03-18 $1.01 $0.89 31.3% 9.0% 18.8% 7.3% 32.4% 6.7% 5.5% 3.1M -144.7M -223.0K 1.08 13.15 N/A N/A 143,936 155,904 2,100,160 1,996,288 2010-03-19 $0.99 $0.91 30.6% 8.8% 19.7% 6.1% 31.4% 6.6% 6.0% 3.0M -121.9M -225.6K 0.45 12.99 N/A N/A 384,768 171,264 2,084,480 2,083,648 2010-03-22 $1.01 $0.91 29.4% 8.4% 19.7% 3.5% 30.3% 5.3% 4.5% 1.5M -61.9M -223.1K 0.73 14.03 N/A N/A 183,680 134,528 1,192,128 1,215,424 2010-03-23 $1.03 $0.91 28.0% 8.0% 15.6% 0.9% 30.2% 5.9% 5.0% 1.8M -70.3M -228.2K 0.82 13.42 N/A N/A 114,112 93,504 1,265,920 1,279,872 2010-03-24 $1.02 $0.92 29.6% 8.5% 16.4% 4.1% 30.8% 5.8% 3.9% 1.8M -64.5M -238.9K 0.67 13.44 N/A N/A 112,448 75,328 1,298,816 1,309,632 2010-03-25 $1.01 $0.92 30.3% 8.7% 16.9% 5.3% 30.6% 6.5% 3.4% 1.7M -62.5M -256.3K 0.47 12.22 N/A N/A 207,936 98,624 1,353,472 1,362,880 2010-03-26 $1.02 $0.94 30.6% 8.8% 16.9% 6.0% 31.1% 6.4% 3.7% 1.9M -63.4M -267.4K 0.94 12.33 N/A N/A 131,648 123,712 1,419,776 1,411,776 2010-03-29 $1.02 $0.94 30.4% 8.7% 15.1% 5.6% 30.1% 6.5% 3.7% 2.1M -70.3M -259.3K 0.58 12.63 N/A N/A 78,976 45,824 1,457,600 1,441,344 2010-03-30 $1.03 $0.94 29.0% 8.3% 15.1% 2.9% 29.5% 6.6% 4.0% 2.6M -76.5M -252.8K 0.57 11.47 N/A N/A 75,392 43,072 1,497,920 1,441,280 2010-03-31 $1.02 $0.94 29.9% 8.6% 15.9% 5.1% 30.0% 6.5% 3.7% 2.5M -70.6M -259.4K 1.03 10.97 N/A N/A 73,472 75,968 1,526,336 1,462,528
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