QLD Options History — December 2010 In December 2010, QLD traded between $1.21 and $1.29. ATM implied volatility averaged 33.7%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 5.5% (HV 20d: 28.3%). Max pain ranged from $1.08 to $1.17. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2010-12-17 : Highest Volume — 462,272 contracts2010-12-13 : Largest IV spike — 16.1% change2010-12-01 : Highest IV Rank — 30.8%2010-12-01 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $1.26 $1.21 $1.29 $1.21 $1.27 Max Pain $1.12 $1.08 $1.17 $1.16 $1.17 ATM IV 33.7% 29.5% 40.1% 40.1% 33.8% Expected Move 9.7% 8.5% 11.5% 11.5% 9.7% HV 20d 28.3% 10.1% 36.3% 35.7% 10.1% HV 60d 27.7% 24.6% 29.1% 29.1% 24.6% IV Rank 18.8% 10.8% 30.8% 30.8% 18.8% IV Percentile 26.9% 8.3% 57.5% 57.5% 28.2% Term Structure 4.4% 0.5% 8.4% 0.7% 2.4% VWIV 35.2% 30.6% 40.1% 40.1% 35.8% Skew 25d 7.2% 5.5% 9.1% 8.4% 7.8% Skew 10d 14.5% 10.1% 19.4% 19.4% 15.1% Call IV 25d 30.8% 26.6% 36.6% 36.6% 30.3% Put IV 25d 38.0% 33.9% 45.1% 45.1% 38.1% Bid-Ask Spread % 65.89 14.05 77.14 65.94 14.05 Gamma HHI 0.12 0.08 0.18 0.12 0.11 Net GEX 2.7M 835.1K 4.6M 2.3M 2.2M Net DEX -82.7M -124.3M -58.8M -62.9M -62.1M Net VEX -196.0K -256.8K -159.8K -256.8K -194.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.11 1.79 0.37 0.78 Total Volume 130,923.636 30,848 462,272 220,352 41,280 Total OI 2,672,930.909 2,113,472 3,115,904 2,760,832 2,472,128
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 2010-12-01 $1.21 $1.16 40.1% 11.5% 35.7% 30.8% 40.1% 8.4% 0.7% 2.3M -62.9M -256.8K 0.37 65.94 N/A N/A 160,768 59,584 1,254,016 1,506,816 2010-12-02 $1.23 $1.17 37.7% 10.8% 36.3% 26.3% 38.6% 8.4% 0.5% 2.7M -79.5M -240.3K 0.54 67.91 N/A N/A 88,512 47,680 1,273,856 1,527,936 2010-12-03 $1.24 $1.17 33.7% 9.7% 35.4% 18.7% 35.5% 5.9% 4.0% 3.1M -84.0M -236.9K 1.33 75.55 N/A N/A 35,008 46,464 1,283,072 1,543,424 2010-12-06 $1.24 $1.08 35.6% 10.4% 35.4% 22.3% 38.9% 7.8% 6.0% 3.1M -83.8M -222.6K 0.65 59.97 N/A N/A 66,880 43,328 1,288,960 1,564,544 2010-12-07 $1.24 $1.08 38.8% 10.6% 35.4% 28.4% 36.6% 7.0% 5.7% 3.3M -85.9M -221.2K 0.51 61.03 N/A N/A 121,536 61,888 1,307,072 1,561,536 2010-12-08 $1.25 $1.08 34.2% 10.3% 35.1% 19.7% 36.8% 7.2% 3.9% 3.6M -94.6M -206.6K 0.35 67.16 N/A N/A 71,808 25,280 1,324,992 1,577,536 2010-12-09 $1.25 $1.08 33.3% 10.3% 35.1% 17.9% 36.9% 7.2% 5.9% 3.8M -97.5M -206.4K 1.48 64.40 N/A N/A 51,648 76,416 1,346,944 1,576,960 2010-12-10 $1.27 $1.08 31.3% 9.9% 35.4% 14.2% 36.2% 7.5% 4.8% 3.5M -108.9M -191.9K 0.80 60.43 N/A N/A 69,248 55,232 1,346,560 1,620,224 2010-12-13 $1.26 $1.09 36.3% 9.9% 32.9% 23.7% 35.9% 5.5% 7.0% 4.2M -106.8M -179.2K 0.78 57.90 N/A N/A 91,072 71,232 1,354,048 1,611,264 2010-12-14 $1.26 $1.09 35.9% 9.8% 32.7% 22.9% 36.0% 6.7% 5.9% 4.2M -108.8M -177.2K 0.55 59.21 N/A N/A 76,864 42,560 1,362,944 1,636,352 2010-12-15 $1.25 $1.09 34.9% 10.0% 29.9% 20.9% 36.6% 6.9% 5.7% 4.6M -100.8M -181.1K 0.37 58.49 N/A N/A 96,960 36,288 1,375,872 1,657,920 2010-12-16 $1.27 $1.09 33.5% 9.6% 30.0% 18.4% 35.4% 7.3% 5.8% 4.3M -118.0M -167.0K 0.36 75.60 N/A N/A 154,688 55,360 1,394,176 1,671,616 2010-12-17 $1.28 $1.11 31.1% 8.9% 28.4% 13.7% 31.3% 6.5% 8.4% 835.1K -124.3M -159.8K 0.11 73.65 N/A N/A 416,576 45,696 1,410,688 1,705,216 2010-12-20 $1.28 $1.11 30.4% 8.7% 28.4% 12.6% 31.0% 6.3% 4.2% 1.6M -58.8M -172.3K 0.66 67.23 N/A N/A 67,264 44,160 865,856 1,247,616 2010-12-21 $1.29 $1.13 29.6% 8.5% 28.1% 11.0% 31.0% 7.5% 4.8% 1.7M -63.8M -175.4K 1.51 71.14 N/A N/A 47,616 71,808 897,856 1,273,792 2010-12-22 $1.29 $1.13 29.5% 8.5% 24.8% 10.8% 30.6% 6.7% 4.6% 1.7M -63.9M -180.6K 0.52 77.14 N/A N/A 25,984 13,632 920,192 1,307,520 2010-12-23 $1.29 $1.14 30.9% 8.9% 21.7% 13.6% 32.8% 7.5% 3.4% 1.8M -60.1M -180.7K 0.73 75.82 N/A N/A 88,960 64,960 919,296 1,313,088 2010-12-27 $1.29 $1.16 35.6% 10.2% 20.8% 22.2% 35.3% 9.1% 2.0% 1.8M -64.0M -192.8K 1.79 73.85 N/A N/A 23,296 41,728 994,176 1,348,032 2010-12-28 $1.28 $1.17 33.1% 9.5% 20.9% 17.7% 35.2% 7.9% 3.0% 1.8M -62.5M -194.1K 1.18 76.96 N/A N/A 14,144 16,704 998,400 1,375,936 2010-12-29 $1.29 $1.17 31.7% 9.1% 17.7% 14.9% 33.3% 7.1% 4.0% 2.0M -65.3M -188.1K 1.23 73.56 N/A N/A 13,952 17,152 1,001,536 1,385,152 2010-12-30 $1.28 $1.17 31.6% 9.0% 11.8% 14.7% 33.6% 6.6% 3.1% 2.0M -62.8M -186.0K 0.58 72.53 N/A N/A 75,456 43,648 1,007,168 1,392,192 2010-12-31 $1.27 $1.17 33.8% 9.7% 10.1% 18.8% 35.8% 7.8% 2.4% 2.2M -62.1M -194.7K 0.78 14.05 N/A N/A 23,168 18,112 1,063,808 1,408,320
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