QLD Options History — April 2010 In April 2010, QLD traded between $1.02 and $1.12. ATM implied volatility averaged 29.4%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 12.0% (HV 20d: 17.3%). Max pain ranged from $0.94 to $1.08. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.83.
Notable Days 2010-04-16 : Highest Volume — 960,320 contracts2010-04-30 : Largest IV spike — 21.6% change2010-04-30 : Highest IV Rank — 31.9%2010-04-30 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $1.08 $1.02 $1.12 $1.02 $1.07 Max Pain $1.04 $0.94 $1.08 $0.94 $1.08 ATM IV 29.4% 23.8% 36.1% 30.2% 36.1% Expected Move 8.8% 7.9% 10.4% 8.7% 10.4% HV 20d 17.3% 13.6% 29.4% 16.1% 29.4% HV 60d 28.6% 24.0% 31.6% 31.5% 26.3% IV Rank 11.2% 0.0% 31.9% 5.9% 31.9% IV Percentile 7.4% 0.0% 27.8% 4.8% 27.8% Term Structure 3.4% -0.8% 5.2% 3.9% 1.5% VWIV 31.4% 28.4% 36.4% 30.3% 36.4% Skew 25d 7.2% 6.2% 8.6% 6.7% 8.1% Skew 10d 15.1% 12.6% 17.8% 14.9% 16.0% Call IV 25d 27.6% 25.3% 32.9% 27.5% 32.9% Put IV 25d 34.9% 31.9% 41.2% 34.1% 40.9% Bid-Ask Spread % 16.21 9.51 33.06 9.51 13.14 Gamma HHI 0.12 0.07 0.54 0.12 0.07 Net GEX 2.4M 434.1K 5.4M 2.5M 618.0K Net DEX -74.1M -149.8M -18.1M -69.1M -18.1M Net VEX -269.2K -346.4K -211.4K -263.9K -346.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.38 1.36 0.97 1.04 Total Volume 336,591.238 117,632 960,320 248,000 228,352 Total OI 2,979,891.81 1,935,488 3,945,408 3,035,968 3,026,048
Daily Data (21 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 2010-04-01 $1.02 $0.94 30.2% 8.7% 16.1% 5.9% 30.3% 6.7% 3.9% 2.5M -69.1M -263.9K 0.97 9.51 N/A N/A 125,696 122,304 1,544,640 1,491,328 2010-04-05 $1.04 $1.02 29.5% 9.3% 14.2% 4.3% 32.9% 7.9% 3.1% 2.9M -83.2M -248.0K 0.79 16.10 N/A N/A 149,632 118,592 1,564,032 1,551,104 2010-04-06 $1.05 $1.02 27.7% 9.0% 14.2% 0.3% 30.6% 7.4% 4.0% 3.6M -91.9M -245.3K 0.87 16.31 N/A N/A 156,032 135,232 1,630,016 1,562,688 2010-04-07 $1.04 $1.02 26.9% 8.9% 14.1% 0.0% 31.7% 7.3% 4.0% 3.4M -86.9M -246.7K 0.73 15.99 N/A N/A 113,216 83,072 1,640,128 1,612,288 2010-04-08 $1.04 $1.02 25.8% 8.7% 13.6% 0.0% 31.4% 7.1% 4.3% 3.6M -91.5M -238.0K 0.84 16.16 N/A N/A 128,000 107,008 1,640,128 1,612,288 2010-04-09 $1.06 $1.02 23.8% 8.4% 13.9% 0.0% 30.6% 7.1% 4.7% 4.0M -105.2M -229.0K 0.64 15.00 N/A N/A 205,824 131,136 1,677,952 1,644,800 2010-04-12 $1.06 $1.02 27.9% 8.5% 13.9% 9.0% 30.8% 7.2% 4.3% 4.3M -109.8M -221.7K 0.97 13.13 N/A N/A 111,424 107,584 1,724,288 1,676,480 2010-04-13 $1.07 $1.02 27.8% 8.4% 13.8% 8.8% 29.0% 6.9% 4.7% 3.9M -116.7M -219.8K 0.68 16.29 N/A N/A 243,264 165,696 1,736,064 1,738,112 2010-04-14 $1.10 $1.02 25.5% 8.1% 15.3% 3.9% 29.6% 6.7% 5.2% 3.4M -140.0M -211.4K 0.61 14.46 N/A N/A 320,768 195,584 1,770,688 1,803,904 2010-04-15 $1.11 $1.02 29.2% 8.4% 15.3% 12.2% 29.9% 7.5% 4.7% 2.8M -149.8M -227.9K 0.58 13.01 N/A N/A 457,536 265,536 1,851,712 1,873,472 2010-04-16 $1.08 $1.03 31.8% 9.1% 18.4% 17.9% 32.2% 7.4% 3.9% 5.4M -120.0M -252.2K 0.82 15.36 N/A N/A 528,576 431,744 1,950,208 1,995,200 2010-04-19 $1.08 $1.03 30.6% 8.8% 17.7% 15.4% 33.0% 6.9% 2.8% 1.3M -36.7M -259.4K 1.36 16.10 N/A N/A 154,496 209,408 970,752 964,736 2010-04-20 $1.09 $1.05 28.5% 8.2% 17.1% 10.6% 28.4% 7.0% 3.1% 1.3M -41.4M -276.0K 0.38 17.04 N/A N/A 158,208 60,096 1,040,064 1,136,576 2010-04-21 $1.10 $1.05 28.7% 8.2% 16.9% 11.0% 29.9% 6.9% 3.0% 1.6M -47.8M -282.7K 1.02 14.10 N/A N/A 137,728 140,928 1,101,824 1,165,504 2010-04-22 $1.11 $1.06 28.2% 8.1% 16.3% 10.0% 30.4% 6.6% 3.9% 1.5M -52.7M -291.5K 0.93 15.66 N/A N/A 233,920 217,024 1,149,504 1,239,616 2010-04-23 $1.12 $1.06 27.6% 7.9% 16.0% 8.8% 28.4% 6.2% 3.7% 1.3M -54.5M -302.6K 0.72 20.05 N/A N/A 106,304 76,160 1,162,816 1,367,232 2010-04-26 $1.12 $1.08 30.4% 8.7% 16.4% 15.2% 31.2% 6.6% 2.5% 1.2M -50.5M -304.5K 0.84 16.11 N/A N/A 63,808 53,824 1,181,824 1,407,680 2010-04-27 $1.07 $1.08 36.0% 10.3% 23.2% 28.0% 36.2% 8.6% -0.8% 434.1K -23.2M -320.1K 1.25 33.06 N/A N/A 131,712 164,992 1,207,680 1,432,704 2010-04-28 $1.07 $1.08 34.8% 10.0% 23.2% 26.8% 36.2% 8.4% 1.4% 496.1K -20.0M -332.3K 0.76 18.18 N/A N/A 152,320 115,136 1,276,928 1,528,128 2010-04-29 $1.11 $1.08 29.7% 8.5% 25.3% 14.8% 31.2% 7.4% 3.3% 1.3M -46.5M -334.3K 0.55 15.59 N/A N/A 168,064 92,480 1,340,544 1,586,048 2010-04-30 $1.07 $1.08 36.1% 10.4% 29.4% 31.9% 36.4% 8.1% 1.5% 618.0K -18.1M -346.4K 1.04 13.14 N/A N/A 111,808 116,544 1,411,136 1,614,912
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