QLD Options History — October 2010 In October 2010, QLD traded between $1.01 and $1.17. ATM implied volatility averaged 37.7%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 9.1% (HV 20d: 28.7%). Max pain ranged from $0.97 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 0.92.
Notable Days 2010-10-15 : Highest Volume — 593,344 contracts2010-10-14 : Largest IV spike — 21.1% change2010-10-26 : Highest IV Rank — 34.0%2010-10-04 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $1.10 $1.01 $1.17 $1.03 $1.17 Max Pain $1.03 $0.97 $1.08 $0.97 $1.08 ATM IV 37.7% 32.3% 41.8% 38.9% 40.0% Expected Move 11.4% 10.4% 13.4% 11.2% 11.5% HV 20d 28.7% 25.2% 31.4% 25.2% 27.6% HV 60d 34.4% 32.7% 36.8% 35.5% 32.7% IV Rank 26.3% 16.0% 34.0% 28.6% 30.7% IV Percentile 41.2% 17.9% 62.7% 46.8% 54.4% Term Structure 2.8% -0.5% 5.7% 5.7% -0.5% VWIV 40.9% 36.9% 49.1% 37.1% 40.8% Skew 25d 8.3% 6.4% 10.4% 7.9% 7.5% Skew 10d 16.4% 11.1% 20.5% 16.1% 14.0% Call IV 25d 36.0% 33.6% 40.9% 35.2% 36.1% Put IV 25d 44.3% 40.2% 51.3% 43.1% 43.7% Bid-Ask Spread % 28.16 14.50 50.04 14.50 42.83 Gamma HHI 0.10 0.07 0.28 0.10 0.08 Net GEX 1.5M 745.4K 2.5M 1.2M 1.2M Net DEX -64.6M -118.0M -33.4M -45.1M -67.0M Net VEX -232.3K -275.3K -174.0K -230.9K -275.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.31 1.54 0.31 0.98 Total Volume 238,829.714 115,392 593,344 144,320 115,392 Total OI 2,795,925.333 1,971,136 3,260,608 2,808,128 2,789,312
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 2010-10-01 $1.03 $0.97 38.9% 11.2% 25.2% 28.6% 37.1% 7.9% 5.7% 1.2M -45.1M -230.9K 0.31 14.50 N/A N/A 110,528 33,792 1,311,744 1,496,384 2010-10-04 $1.01 $1.00 40.9% 13.4% 25.5% 32.3% 49.1% 10.4% 2.4% 1.1M -33.4M -216.2K 0.94 22.29 N/A N/A 111,168 104,640 1,321,792 1,500,160 2010-10-05 $1.06 $1.00 36.0% 12.0% 28.3% 23.0% 44.6% 9.9% 4.3% 1.5M -61.9M -206.8K 0.67 25.67 N/A N/A 177,024 118,528 1,327,168 1,534,272 2010-10-06 $1.04 $1.00 37.0% 12.2% 29.0% 24.9% 41.9% 9.4% 3.8% 1.7M -53.0M -220.6K 0.60 15.42 N/A N/A 151,552 90,560 1,405,120 1,583,872 2010-10-07 $1.05 $1.00 36.8% 12.2% 29.0% 24.6% 45.1% 8.6% 3.1% 2.1M -61.3M -226.0K 0.86 15.34 N/A N/A 135,552 116,352 1,483,840 1,606,528 2010-10-08 $1.06 $1.00 33.2% 11.5% 29.1% 17.8% 41.6% 8.3% 4.6% 2.1M -70.3M -220.0K 1.02 22.44 N/A N/A 82,880 84,736 1,480,512 1,643,648 2010-10-11 $1.06 $1.00 35.7% 11.5% 27.9% 22.6% 41.1% 7.0% 4.0% 2.4M -74.0M -202.6K 0.96 18.16 N/A N/A 69,440 66,944 1,493,504 1,646,720 2010-10-12 $1.08 $1.00 34.6% 11.3% 28.1% 20.5% 40.3% 9.3% 4.5% 2.4M -85.4M -194.3K 0.72 17.20 N/A N/A 119,040 85,952 1,491,712 1,654,144 2010-10-13 $1.10 $1.00 32.3% 11.0% 28.2% 16.0% 38.5% 7.8% 5.2% 2.5M -95.4M -190.8K 0.98 29.53 N/A N/A 145,280 141,824 1,516,864 1,666,880 2010-10-14 $1.09 $1.02 39.1% 11.2% 28.4% 28.9% 40.4% 9.0% 4.2% 2.2M -92.4M -194.1K 0.85 19.13 N/A N/A 69,888 59,456 1,528,192 1,712,256 2010-10-15 $1.14 $1.03 38.3% 11.0% 31.2% 27.3% 39.8% 8.9% 3.0% 1.3M -118.0M -174.0K 0.57 23.32 N/A N/A 376,768 216,576 1,531,904 1,728,704 2010-10-18 $1.14 $1.05 38.4% 11.0% 29.6% 27.7% 39.7% 8.4% 4.0% 846.8K -48.0M -210.8K 1.04 19.24 N/A N/A 130,752 135,680 870,976 1,100,160 2010-10-19 $1.11 $1.06 41.0% 11.7% 31.3% 32.4% 40.7% 7.8% 0.3% 745.4K -36.2M -230.3K 1.13 33.04 N/A N/A 234,560 265,280 928,448 1,180,416 2010-10-20 $1.12 $1.06 39.1% 11.2% 31.4% 29.0% 41.4% 8.5% 1.0% 989.4K -45.7M -255.4K 0.74 33.62 N/A N/A 195,776 144,896 1,056,192 1,264,000 2010-10-21 $1.13 $1.05 38.4% 11.0% 31.3% 27.7% 40.3% 8.0% 1.7% 1.1M -50.3M -272.9K 1.18 31.46 N/A N/A 102,208 120,384 1,168,896 1,365,440 2010-10-22 $1.14 $1.06 36.2% 10.4% 28.8% 23.5% 36.9% 6.6% 2.1% 1.1M -55.0M -274.6K 0.96 36.02 N/A N/A 66,688 64,320 1,169,408 1,409,472 2010-10-25 $1.15 $1.06 36.7% 10.5% 28.3% 24.4% 38.3% 6.4% 3.2% 1.3M -63.7M -268.6K 1.54 50.04 N/A N/A 71,872 110,848 1,194,944 1,420,864 2010-10-26 $1.16 $1.06 41.8% 12.0% 28.3% 34.0% 41.3% 8.5% 1.1% 1.2M -63.1M -266.6K 1.13 43.98 N/A N/A 90,944 102,848 1,202,560 1,438,848 2010-10-27 $1.17 $1.06 38.7% 11.1% 28.0% 28.2% 39.6% 8.4% 0.2% 1.3M -66.5M -273.6K 1.14 43.57 N/A N/A 103,808 118,528 1,229,824 1,480,192 2010-10-28 $1.17 $1.06 39.1% 11.2% 27.5% 28.9% 40.4% 8.0% 0.7% 1.2M -69.9M -274.3K 1.07 34.46 N/A N/A 83,328 88,832 1,249,152 1,529,408 2010-10-29 $1.17 $1.08 40.0% 11.5% 27.6% 30.7% 40.8% 7.5% -0.5% 1.2M -67.0M -275.3K 0.98 42.83 N/A N/A 58,176 57,216 1,242,496 1,546,816
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