QLD Options History — June 2010 In June 2010, QLD traded between $0.79 and $0.96. ATM implied volatility averaged 53.4%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 5.8% (HV 20d: 59.2%). Max pain ranged from $0.92 to $0.95. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2010-06-18 : Highest Volume — 487,552 contracts2010-06-04 : Largest IV spike — 25.3% change2010-06-07 : Highest IV Rank — 86.5%2010-06-01 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $0.90 $0.79 $0.96 $0.89 $0.79 Max Pain $0.94 $0.92 $0.95 $0.92 $0.94 ATM IV 53.4% 41.2% 69.6% 64.0% 58.8% Expected Move 15.1% 11.8% 18.3% 18.3% 16.8% HV 20d 59.2% 47.9% 69.5% 68.9% 52.5% HV 60d 50.0% 44.8% 53.9% 44.8% 53.9% IV Rank 55.8% 32.9% 86.5% 75.8% 65.9% IV Percentile 86.3% 49.2% 99.2% 98.4% 94.8% Term Structure 2.6% -4.5% 7.3% -0.3% 3.9% VWIV 52.5% 41.8% 63.1% 61.3% 61.0% Skew 25d 13.6% 8.8% 19.5% 19.5% 8.8% Skew 10d 26.5% 16.7% 38.3% 38.3% 20.8% Call IV 25d 46.6% 36.4% 56.7% 56.7% 55.8% Put IV 25d 60.2% 47.3% 76.2% 76.2% 64.6% Bid-Ask Spread % 47.31 16.77 77.51 65.65 74.49 Gamma HHI 0.09 0.05 0.34 0.07 0.06 Net GEX 962.8K -627.2K 3.3M 636.6K -627.2K Net DEX 7.2M -49.6M 45.9M 13.1M 45.9M Net VEX -244.0K -310.7K -204.2K -301.7K -204.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.19 1.72 0.52 1.72 Total Volume 260,436.364 142,656 487,552 178,752 174,656 Total OI 3,325,265.455 2,424,192 4,112,192 3,260,224 3,132,608
Daily Data (22 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 2010-06-01 $0.89 $0.92 64.0% 18.3% 68.9% 75.8% 61.3% 19.5% -0.3% 636.6K 13.1M -301.7K 0.52 65.65 N/A N/A 117,824 60,928 1,622,144 1,638,080 2010-06-02 $0.93 $0.92 52.8% 15.1% 69.1% 54.7% 55.9% 14.6% 2.9% 1.1M -3.0M -304.2K 0.49 54.02 N/A N/A 118,784 58,624 1,670,144 1,649,472 2010-06-03 $0.95 $0.92 49.1% 14.1% 69.5% 47.7% 52.4% 14.3% 0.8% 1.6M -16.7M -310.7K 0.52 53.90 N/A N/A 131,008 68,352 1,746,560 1,660,416 2010-06-04 $0.88 $0.95 61.5% 16.6% 69.4% 71.1% 63.1% 18.4% 7.3% 955.0K 14.3M -295.2K 1.03 56.96 N/A N/A 157,952 163,264 1,785,600 1,677,824 2010-06-07 $0.85 $0.95 69.6% 18.1% 68.6% 86.5% 58.6% 18.9% 3.3% 560.7K 30.6M -258.7K 0.19 57.52 N/A N/A 294,336 57,088 1,786,048 1,699,776 2010-06-08 $0.85 $0.95 64.6% 17.1% 57.9% 77.0% 61.9% 16.9% 4.8% 199.3K 37.7M -244.6K 0.70 48.80 N/A N/A 150,592 105,472 1,698,944 1,723,776 2010-06-09 $0.83 $0.95 63.6% 17.6% 58.0% 75.1% 60.4% 14.1% 1.7% 195.4K 39.2M -237.7K 0.65 56.57 N/A N/A 144,576 94,656 1,764,864 1,722,560 2010-06-10 $0.88 $0.95 56.8% 16.3% 60.3% 62.3% 53.8% 16.3% 2.2% 1.0M 20.4M -247.8K 0.59 54.18 N/A N/A 126,144 74,880 1,822,016 1,734,912 2010-06-11 $0.90 $0.94 53.4% 15.3% 60.3% 55.8% 49.6% 15.3% 2.8% 1.5M 12.7M -245.7K 0.57 31.02 N/A N/A 118,720 67,264 1,868,736 1,766,592 2010-06-14 $0.90 $0.94 50.9% 14.6% 59.0% 51.2% 54.0% 11.1% 5.3% 1.9M 8.8M -234.4K 1.65 32.69 N/A N/A 108,608 179,008 1,893,376 1,759,296 2010-06-15 $0.94 $0.94 48.8% 14.0% 62.2% 47.2% 48.6% 11.1% 2.1% 2.8M -25.1M -232.8K 1.05 69.29 N/A N/A 219,520 231,488 1,916,096 1,862,272 2010-06-16 $0.95 $0.94 46.9% 13.4% 61.5% 43.5% 47.6% 11.9% 2.6% 3.2M -33.8M -232.7K 0.96 34.01 N/A N/A 158,400 151,680 1,964,672 2,008,896 2010-06-17 $0.96 $0.94 44.0% 12.6% 61.1% 38.2% 45.7% 11.0% 6.1% 3.3M -40.3M -224.6K 1.18 29.60 N/A N/A 93,184 110,400 1,984,896 2,060,928 2010-06-18 $0.96 $0.94 41.8% 12.0% 54.0% 34.1% 41.8% 10.9% 6.2% 3.1M -49.6M -206.0K 0.45 16.77 N/A N/A 336,704 150,848 1,994,752 2,117,440 2010-06-21 $0.95 $0.94 41.2% 11.8% 54.1% 32.9% 43.2% 10.6% 2.0% 399.6K -4.2M -208.7K 1.03 22.89 N/A N/A 187,520 194,048 1,041,280 1,382,912 2010-06-22 $0.93 $0.94 47.4% 13.6% 54.6% 44.6% 46.6% 10.5% 0.9% 176.2K 4.4M -227.2K 1.41 18.02 N/A N/A 73,088 103,232 1,130,816 1,506,112 2010-06-23 $0.92 $0.94 47.2% 13.5% 54.7% 44.2% 45.8% 11.0% 2.3% 106.6K 7.0M -230.2K 0.88 68.38 N/A N/A 116,928 103,232 1,150,400 1,549,568 2010-06-24 $0.89 $0.94 50.9% 14.6% 55.3% 51.2% 48.8% 11.9% 2.9% -56.9K 16.0M -229.1K 0.83 29.17 N/A N/A 93,120 77,120 1,202,752 1,609,280 2010-06-25 $0.89 $0.94 48.8% 14.0% 48.1% 47.3% 47.5% 11.9% 1.6% -135.3K 20.0M -237.0K 1.24 19.71 N/A N/A 106,752 131,840 1,226,432 1,636,992 2010-06-28 $0.88 $0.94 50.7% 14.5% 47.9% 50.7% 46.8% 14.6% 0.9% -159.9K 21.0M -237.1K 0.62 69.60 N/A N/A 88,064 54,592 1,281,792 1,696,320 2010-06-29 $0.82 $0.94 61.7% 17.7% 55.3% 71.5% 59.9% 14.7% -4.5% -502.3K 40.9M -218.2K 0.78 77.51 N/A N/A 210,944 164,160 1,300,736 1,706,752 2010-06-30 $0.79 $0.94 58.8% 16.8% 52.5% 65.9% 61.0% 8.8% 3.9% -627.2K 45.9M -204.2K 1.72 74.49 N/A N/A 64,256 110,400 1,370,368 1,762,240
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