QLD Options History — August 2010 In August 2010, QLD traded between $0.81 and $0.95. ATM implied volatility averaged 43.9%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 7.1% (HV 20d: 36.8%). Max pain ranged from $0.86 to $0.86. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2010-08-20 : Highest Volume — 496,000 contracts2010-08-11 : Largest IV spike — 20.9% change2010-08-26 : Highest IV Rank — 50.7%2010-08-26 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $0.88 $0.81 $0.95 $0.94 $0.81 Max Pain $0.86 $0.86 $0.86 $0.86 $0.86 ATM IV 43.9% 35.3% 50.6% 38.6% 47.3% Expected Move 12.8% 10.3% 14.5% 11.1% 13.5% HV 20d 36.8% 32.7% 42.5% 41.0% 34.6% HV 60d 47.1% 41.3% 53.9% 53.9% 41.3% IV Rank 37.9% 21.8% 50.7% 27.9% 44.3% IV Percentile 63.5% 27.0% 87.7% 38.1% 78.2% Term Structure 3.7% 2.2% 6.8% 5.0% 4.2% VWIV 44.6% 38.6% 49.1% 42.4% 46.3% Skew 25d 11.4% 8.4% 14.1% 12.1% 11.2% Skew 10d 22.7% 16.3% 28.2% 23.3% 17.9% Call IV 25d 39.3% 33.0% 43.9% 33.6% 42.3% Put IV 25d 50.7% 42.0% 56.8% 45.7% 53.4% Bid-Ask Spread % 26.37 10.15 58.71 58.71 28.94 Gamma HHI 0.09 0.07 0.14 0.08 0.07 Net GEX 1.1M 142.2K 2.5M 1.5M 299.6K Net DEX -12.3M -54.5M 14.4M -43.5M 14.4M Net VEX -203.8K -246.8K -171.9K -240.8K -175.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.21 1.41 1.24 0.63 Total Volume 198,152.727 71,808 496,000 210,816 123,712 Total OI 2,916,416 2,064,832 3,585,728 2,899,968 2,428,352
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 2010-08-02 $0.94 $0.86 38.6% 11.1% 41.0% 27.9% 42.4% 12.1% 5.0% 1.5M -43.5M -240.8K 1.24 58.71 N/A N/A 94,144 116,672 1,393,472 1,506,496 2010-08-03 $0.93 $0.86 38.6% 11.1% 41.4% 27.9% 44.7% 12.4% 5.7% 1.4M -37.5M -246.8K 1.41 57.36 N/A N/A 52,032 73,216 1,412,288 1,551,552 2010-08-04 $0.95 $0.86 36.7% 10.5% 36.7% 24.4% 39.0% 8.4% 4.3% 1.6M -50.4M -234.0K 0.71 10.15 N/A N/A 58,112 41,152 1,433,664 1,593,728 2010-08-05 $0.95 $0.86 35.9% 10.3% 36.9% 22.9% 38.6% 9.0% 4.5% 1.6M -47.9M -229.9K 0.78 13.61 N/A N/A 40,384 31,424 1,439,104 1,608,128 2010-08-06 $0.94 $0.86 35.3% 11.9% 36.6% 21.8% 41.4% 11.3% 2.8% 1.7M -44.9M -231.2K 0.60 16.32 N/A N/A 128,640 77,824 1,428,352 1,619,008 2010-08-09 $0.95 $0.86 36.5% 11.9% 36.7% 24.0% 40.3% 11.1% 2.5% 2.0M -54.5M -221.8K 0.48 13.66 N/A N/A 118,784 57,600 1,483,904 1,614,656 2010-08-10 $0.94 $0.86 38.8% 12.3% 36.7% 28.4% 43.0% 13.7% 2.3% 2.1M -45.3M -232.9K 0.84 42.35 N/A N/A 64,512 54,144 1,534,720 1,622,144 2010-08-11 $0.89 $0.86 46.9% 13.6% 42.2% 43.7% 46.7% 10.6% 2.8% 1.2M -11.7M -225.2K 0.38 28.78 N/A N/A 207,872 79,552 1,552,960 1,638,016 2010-08-12 $0.87 $0.86 48.4% 13.9% 42.5% 46.4% 46.1% 12.2% 3.1% 900.5K -1.5M -211.2K 0.72 24.98 N/A N/A 121,152 86,848 1,577,920 1,659,264 2010-08-13 $0.86 $0.86 49.2% 14.1% 37.6% 47.9% 49.1% 11.5% 2.6% 776.9K 4.1M -206.6K 0.21 30.44 N/A N/A 199,296 41,600 1,607,424 1,654,528 2010-08-16 $0.86 $0.86 48.8% 14.0% 37.2% 47.1% 47.2% 14.1% 2.9% 728.9K 5.3M -189.1K 0.85 18.22 N/A N/A 156,864 133,312 1,601,088 1,677,632 2010-08-17 $0.89 $0.86 45.4% 13.0% 37.4% 40.7% 45.7% 13.4% 2.8% 1.7M -10.7M -196.0K 0.29 21.10 N/A N/A 290,432 83,584 1,673,472 1,746,560 2010-08-18 $0.89 $0.86 42.2% 12.1% 36.1% 34.8% 43.5% 13.1% 5.9% 2.5M -18.8M -196.6K 0.64 36.16 N/A N/A 94,848 60,736 1,743,616 1,776,640 2010-08-19 $0.87 $0.86 46.7% 13.4% 33.3% 43.2% 45.9% 11.8% 3.6% 1.1M 5.8M -184.9K 0.54 18.49 N/A N/A 159,424 85,440 1,748,864 1,792,960 2010-08-20 $0.87 $0.86 42.9% 12.3% 32.9% 36.0% 42.8% 12.4% 6.8% 1.4M 4.5M -182.8K 0.99 19.77 N/A N/A 248,640 247,360 1,785,408 1,800,320 2010-08-23 $0.85 $0.86 45.5% 13.0% 32.7% 41.0% 44.0% 10.6% 4.0% 266.9K 6.5M -177.8K 0.68 17.97 N/A N/A 102,720 69,696 917,184 1,147,648 2010-08-24 $0.82 $0.86 49.7% 14.2% 34.6% 48.9% 46.6% 12.0% 2.2% 142.2K 14.0M -171.9K 0.48 27.93 N/A N/A 157,568 75,840 958,336 1,183,488 2010-08-25 $0.83 $0.86 47.3% 13.5% 35.4% 44.3% 47.3% 10.4% 3.9% 337.3K 8.0M -185.0K 0.91 27.33 N/A N/A 80,640 73,280 1,013,632 1,205,568 2010-08-26 $0.81 $0.86 50.6% 14.5% 35.8% 50.7% 48.5% 11.3% 2.6% 244.1K 11.9M -181.3K 0.95 19.23 N/A N/A 51,776 49,280 1,049,728 1,245,888 2010-08-27 $0.84 $0.86 46.0% 13.2% 37.2% 41.9% 44.8% 8.7% 3.8% 328.2K 9.3M -182.2K 0.46 33.66 N/A N/A 104,960 48,384 1,064,640 1,274,560 2010-08-30 $0.82 $0.86 48.2% 13.8% 34.6% 46.0% 46.4% 8.9% 3.7% 328.2K 13.1M -178.9K 0.23 14.95 N/A N/A 94,464 21,440 1,109,184 1,285,056 2010-08-31 $0.81 $0.86 47.3% 13.5% 34.6% 44.3% 46.3% 11.2% 4.2% 299.6K 14.4M -175.7K 0.63 28.94 N/A N/A 75,968 47,744 1,136,640 1,291,712
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