QLD Options History — September 2010

In September 2010, QLD traded between $0.86 and $1.06. ATM implied volatility averaged 38.9%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 2.7% (HV 20d: 36.2%). Max pain ranged from $0.84 to $0.97. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2010-09-17: Highest Volume — 425,408 contracts
2010-09-09: Largest IV spike — 17.8% change
2010-09-01: Highest IV Rank — 34.9%
2010-09-07: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.98	$0.86	$1.06	$0.86	$1.04
Max Pain	$0.91	$0.84	$0.97	$0.84	$0.97
ATM IV	38.9%	33.7%	42.3%	42.3%	40.4%
Expected Move	11.4%	10.3%	12.6%	12.1%	11.6%
HV 20d	36.2%	25.5%	44.0%	40.1%	25.5%
HV 60d	40.2%	35.5%	43.0%	42.9%	35.5%
IV Rank	28.6%	18.6%	34.9%	34.9%	31.3%
IV Percentile	43.7%	22.6%	57.9%	57.9%	52.8%
Term Structure	4.9%	2.3%	7.1%	4.7%	5.6%
VWIV	41.0%	37.8%	45.2%	42.8%	41.5%
Skew 25d	9.9%	7.5%	13.9%	8.4%	8.8%
Skew 10d	20.4%	14.4%	29.0%	18.9%	16.8%
Call IV 25d	35.4%	32.4%	38.4%	38.4%	36.8%
Put IV 25d	45.3%	40.7%	51.4%	46.8%	45.6%
Bid-Ask Spread %	23.52	10.57	39.58	24.17	11.85
Gamma HHI	0.11	0.08	0.25	0.09	0.09
Net GEX	1.6M	724.8K	2.6M	724.8K	1.1M
Net DEX	-47.3M	-92.4M	-2.6M	-2.6M	-44.8M
Net VEX	-185.5K	-228.9K	-148.4K	-186.4K	-228.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.31	2.06	0.51	0.69
Total Volume	215,384.381	71,488	425,408	217,280	329,024
Total OI	2,628,568.381	1,984,832	3,090,880	2,442,816	2,734,656

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
2010-09-01	$0.86	$0.84	42.3%	12.1%	40.1%	34.9%	42.8%	8.4%	4.7%	724.8K	-2.6M	-186.4K	0.51	24.17	N/A	N/A	143,424	73,856	1,143,872	1,298,944
2010-09-02	$0.88	$0.86	39.1%	11.2%	41.3%	29.0%	39.6%	7.5%	7.1%	953.5K	-10.2M	-191.4K	0.46	15.37	N/A	N/A	130,048	59,200	1,193,024	1,335,552
2010-09-03	$0.91	$0.89	33.7%	11.9%	43.4%	18.6%	42.5%	11.8%	5.5%	1.5M	-27.9M	-186.1K	0.59	21.40	N/A	N/A	184,128	108,032	1,249,024	1,329,792
2010-09-07	$0.90	$0.89	38.7%	12.6%	43.3%	28.2%	44.7%	13.9%	4.9%	1.9M	-23.5M	-189.0K	0.61	37.22	N/A	N/A	44,288	27,200	1,359,616	1,356,736
2010-09-08	$0.92	$0.89	35.6%	12.1%	44.0%	22.4%	45.2%	12.9%	5.2%	2.0M	-36.9M	-186.2K	0.67	33.02	N/A	N/A	105,984	70,848	1,364,928	1,373,824
2010-09-09	$0.92	$0.89	42.0%	12.0%	38.8%	34.3%	42.6%	12.0%	6.0%	2.2M	-42.3M	-183.1K	0.59	20.04	N/A	N/A	71,232	42,368	1,388,672	1,394,880
2010-09-10	$0.93	$0.89	41.1%	11.8%	38.2%	32.7%	42.4%	11.7%	5.6%	2.3M	-47.1M	-175.4K	0.92	39.58	N/A	N/A	48,064	44,096	1,398,080	1,411,840
2010-09-13	$0.96	$0.89	40.2%	11.5%	38.6%	30.9%	40.1%	11.3%	3.7%	1.9M	-67.3M	-152.4K	0.59	25.54	N/A	N/A	160,896	94,208	1,415,936	1,430,272
2010-09-14	$0.97	$0.89	38.2%	11.0%	38.6%	27.3%	38.6%	10.0%	6.7%	1.7M	-69.5M	-159.1K	0.37	37.26	N/A	N/A	204,352	75,200	1,435,264	1,467,328
2010-09-15	$0.98	$0.89	39.4%	11.3%	38.0%	29.5%	42.0%	9.6%	4.2%	2.5M	-74.9M	-165.6K	0.53	29.84	N/A	N/A	98,624	52,736	1,543,488	1,494,016
2010-09-16	$0.98	$0.91	38.4%	11.0%	38.0%	27.6%	38.9%	11.3%	5.5%	2.6M	-87.2M	-148.4K	0.35	36.36	N/A	N/A	113,216	39,168	1,565,888	1,504,640
2010-09-17	$0.99	$0.91	38.6%	11.1%	35.6%	28.0%	38.5%	9.0%	6.6%	2.4M	-92.4M	-153.4K	0.31	36.02	N/A	N/A	325,952	99,456	1,582,144	1,508,736
2010-09-20	$1.03	$0.92	36.6%	10.5%	36.9%	24.2%	38.8%	9.7%	4.7%	1.0M	-39.2M	-157.1K	0.83	15.78	N/A	N/A	155,520	128,320	894,720	1,090,112
2010-09-21	$1.02	$0.94	38.6%	11.1%	35.6%	27.9%	40.2%	9.6%	4.8%	1.1M	-40.1M	-176.1K	0.48	30.18	N/A	N/A	160,832	77,888	971,392	1,151,552
2010-09-22	$1.02	$0.94	39.7%	11.4%	31.6%	30.0%	42.5%	9.1%	3.8%	1.2M	-40.6M	-192.7K	2.06	11.51	N/A	N/A	54,656	112,768	1,068,032	1,165,184
2010-09-23	$1.02	$0.94	41.0%	11.8%	31.8%	32.5%	41.0%	7.9%	2.3%	1.1M	-40.5M	-199.5K	1.15	18.68	N/A	N/A	132,032	151,232	1,088,000	1,229,248
2010-09-24	$1.06	$0.94	35.9%	10.3%	30.9%	22.8%	37.8%	8.3%	5.0%	1.2M	-55.7M	-205.8K	0.79	11.57	N/A	N/A	155,840	123,328	1,138,816	1,302,592
2010-09-27	$1.05	$0.95	38.8%	11.1%	31.6%	28.3%	39.1%	8.0%	3.6%	1.1M	-50.4M	-213.6K	1.06	12.61	N/A	N/A	110,464	116,672	1,160,192	1,362,496
2010-09-28	$1.05	$0.95	38.8%	11.1%	29.3%	28.2%	40.8%	8.6%	4.3%	1.2M	-51.3M	-216.1K	1.28	15.37	N/A	N/A	84,992	108,672	1,208,192	1,399,488
2010-09-29	$1.04	$0.95	40.2%	11.5%	29.4%	31.0%	42.4%	8.6%	3.9%	1.2M	-49.1M	-228.9K	1.11	10.57	N/A	N/A	49,344	54,912	1,245,504	1,443,264
2010-09-30	$1.04	$0.97	40.4%	11.6%	25.5%	31.3%	41.5%	8.8%	5.6%	1.1M	-44.8M	-228.9K	0.69	11.85	N/A	N/A	194,624	134,400	1,265,344	1,469,312