QLD Options History — July 2010

In July 2010, QLD traded between $0.78 and $0.93. ATM implied volatility averaged 47.1%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 0.2% (HV 20d: 47.3%). Max pain ranged from $0.81 to $0.94. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2010-07-01: Highest Volume — 502,144 contracts
2010-07-21: Largest IV spike — 15.4% change
2010-07-01: Highest IV Rank — 78.2%
2010-07-01: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.87	$0.78	$0.93	$0.79	$0.91
Max Pain	$0.85	$0.81	$0.94	$0.94	$0.86
ATM IV	47.1%	40.6%	65.2%	65.2%	40.9%
Expected Move	13.8%	11.7%	18.7%	18.7%	11.7%
HV 20d	47.3%	40.0%	52.3%	51.6%	40.0%
HV 60d	55.9%	53.8%	57.6%	53.9%	55.2%
IV Rank	44.0%	31.7%	78.2%	78.2%	32.4%
IV Percentile	70.9%	46.0%	98.4%	98.4%	48.0%
Term Structure	3.0%	-1.7%	7.6%	-0.2%	3.2%
VWIV	47.6%	42.0%	62.2%	62.2%	43.3%
Skew 25d	11.5%	8.3%	16.6%	8.3%	16.6%
Skew 10d	22.0%	18.2%	28.7%	19.7%	28.7%
Call IV 25d	42.5%	35.4%	58.2%	58.2%	35.4%
Put IV 25d	54.0%	45.7%	66.5%	66.5%	52.0%
Bid-Ask Spread %	44.63	31.13	78.38	78.38	53.52
Gamma HHI	0.07	0.06	0.14	0.06	0.07
Net GEX	308.4K	-750.1K	1.2M	-717.2K	1.2M
Net DEX	-382.0K	-36.7M	51.5M	50.7M	-25.3M
Net VEX	-231.3K	-257.9K	-205.9K	-206.7K	-254.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.26	1.67	0.70	1.22
Total Volume	239,917.714	80,768	502,144	502,144	139,648
Total OI	3,260,982.857	2,175,168	4,158,656	3,220,224	2,881,152

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
2010-07-01	$0.79	$0.94	65.2%	18.7%	51.6%	78.2%	62.2%	8.3%	-0.2%	-717.2K	50.7M	-206.7K	0.70	78.38	N/A	N/A	294,784	207,360	1,397,056	1,823,168
2010-07-02	$0.78	$0.92	57.8%	16.6%	46.7%	64.2%	57.4%	10.6%	1.3%	-733.8K	51.5M	-216.3K	1.13	76.14	N/A	N/A	126,976	143,680	1,537,152	1,908,160
2010-07-06	$0.79	$0.86	58.5%	17.2%	45.3%	65.5%	55.8%	14.4%	-1.7%	-750.1K	50.5M	-205.9K	0.44	31.13	N/A	N/A	185,088	81,856	1,586,368	2,001,088
2010-07-07	$0.84	$0.84	52.8%	15.8%	50.9%	54.7%	52.3%	9.4%	1.9%	-332.3K	29.4M	-222.7K	0.57	36.36	N/A	N/A	308,224	174,400	1,684,352	2,031,872
2010-07-08	$0.84	$0.81	45.4%	14.1%	50.6%	40.8%	48.7%	13.9%	5.3%	-86.0K	22.5M	-233.7K	0.43	37.30	N/A	N/A	176,704	75,968	1,801,920	2,081,856
2010-07-09	$0.86	$0.81	40.6%	13.8%	47.0%	31.7%	43.7%	11.7%	4.3%	234.4K	8.8M	-228.1K	0.63	35.82	N/A	N/A	110,528	69,248	1,885,824	2,097,344
2010-07-12	$0.87	$0.81	45.6%	13.8%	46.5%	41.2%	45.5%	12.9%	3.6%	315.0K	4.6M	-221.9K	0.52	31.54	N/A	N/A	130,176	67,648	1,885,120	2,123,072
2010-07-13	$0.89	$0.81	44.5%	13.6%	47.4%	39.1%	48.0%	11.5%	5.5%	422.9K	-8.3M	-221.7K	0.38	34.69	N/A	N/A	203,264	77,440	1,879,936	2,148,096
2010-07-14	$0.90	$0.81	43.9%	13.8%	43.5%	37.9%	46.2%	11.7%	3.0%	637.0K	-15.4M	-219.6K	0.39	43.12	N/A	N/A	165,824	64,192	1,906,112	2,183,168
2010-07-15	$0.90	$0.83	49.1%	14.1%	43.3%	47.7%	48.9%	10.6%	2.1%	579.1K	-13.4M	-216.1K	1.67	38.14	N/A	N/A	145,344	243,200	1,896,192	2,191,040
2010-07-16	$0.85	$0.86	53.1%	15.2%	47.1%	55.3%	49.6%	13.2%	-1.4%	-559.4K	20.3M	-211.7K	0.54	44.84	N/A	N/A	220,608	118,528	1,885,632	2,273,024
2010-07-19	$0.86	$0.86	46.1%	13.2%	47.7%	42.0%	46.2%	12.4%	7.6%	172.6K	-981.2K	-214.3K	1.15	44.55	N/A	N/A	125,632	144,768	917,760	1,257,408
2010-07-20	$0.88	$0.86	40.8%	11.7%	48.6%	32.1%	44.3%	10.1%	4.1%	231.3K	-5.4M	-229.3K	0.45	38.25	N/A	N/A	173,056	77,504	998,080	1,351,488
2010-07-21	$0.86	$0.86	47.1%	13.5%	48.9%	43.9%	47.3%	11.0%	5.3%	357.8K	-5.5M	-242.5K	0.88	38.26	N/A	N/A	84,160	74,304	1,104,704	1,375,232
2010-07-22	$0.90	$0.86	44.1%	12.6%	52.3%	38.3%	45.2%	11.0%	2.1%	553.0K	-19.8M	-246.2K	0.42	38.98	N/A	N/A	141,248	58,752	1,136,000	1,415,680
2010-07-23	$0.92	$0.86	45.1%	12.9%	51.2%	40.1%	44.3%	12.1%	1.6%	682.3K	-24.2M	-257.9K	0.28	38.92	N/A	N/A	109,632	30,208	1,201,408	1,443,584
2010-07-26	$0.93	$0.86	43.3%	12.4%	51.4%	36.8%	42.3%	9.4%	4.5%	941.6K	-34.4M	-246.6K	0.63	53.26	N/A	N/A	88,704	55,680	1,261,056	1,453,696
2010-07-27	$0.93	$0.86	41.9%	12.0%	51.3%	34.3%	42.8%	9.3%	2.7%	1.1M	-36.7M	-249.3K	0.26	59.20	N/A	N/A	87,744	22,400	1,313,280	1,471,040
2010-07-28	$0.91	$0.86	41.4%	11.9%	41.8%	33.2%	42.0%	10.4%	3.6%	1.1M	-30.7M	-257.1K	0.46	41.38	N/A	N/A	55,168	25,600	1,362,816	1,476,096
2010-07-29	$0.90	$0.86	42.4%	12.2%	40.3%	35.2%	43.2%	12.1%	3.7%	1.1M	-26.1M	-254.0K	0.69	43.53	N/A	N/A	90,432	62,592	1,374,464	1,478,144
2010-07-30	$0.91	$0.86	40.9%	11.7%	40.0%	32.4%	43.3%	16.6%	3.2%	1.2M	-25.3M	-254.7K	1.22	53.52	N/A	N/A	62,912	76,736	1,390,976	1,490,176