QLD Options History — February 2011

In February 2011, QLD traded between $1.37 and $1.48. ATM implied volatility averaged 32.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.2% (HV 20d: 30.7%). Max pain ranged from $1.31 to $1.41. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.04.

Notable Days

2011-02-22: Highest Volume — 595,136 contracts
2011-02-22: Largest IV spike — 32.0% change
2011-02-23: Highest IV Rank — 35.9%
2011-02-23: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.43	$1.37	$1.48	$1.39	$1.43
Max Pain	$1.36	$1.31	$1.41	$1.36	$1.39
ATM IV	32.0%	26.1%	42.8%	32.6%	34.2%
Expected Move	9.4%	8.4%	12.3%	9.3%	9.8%
HV 20d	30.7%	27.0%	36.2%	30.1%	30.3%
HV 60d	26.2%	23.7%	27.7%	27.6%	24.9%
IV Rank	15.5%	4.5%	35.9%	16.6%	19.7%
IV Percentile	24.2%	1.2%	73.0%	25.4%	37.3%
Term Structure	1.3%	-1.4%	2.6%	2.0%	1.2%
VWIV	34.0%	29.9%	42.2%	34.0%	36.1%
Skew 25d	8.8%	6.5%	12.1%	8.6%	10.3%
Skew 10d	19.8%	14.1%	38.9%	20.2%	22.0%
Call IV 25d	29.2%	26.2%	37.3%	29.3%	29.7%
Put IV 25d	38.0%	34.1%	49.4%	37.9%	40.0%
Bid-Ask Spread %	40.56	31.24	50.75	43.38	50.75
Gamma HHI	0.10	0.05	0.26	0.09	0.05
Net GEX	1.4M	-362.9K	2.7M	869.4K	221.7K
Net DEX	-59.9M	-103.9M	-5.0M	-38.2M	-36.5M
Net VEX	-208.6K	-255.2K	-162.4K	-234.8K	-248.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.30	2.09	0.89	0.82
Total Volume	213,450.105	54,592	595,136	273,408	201,280
Total OI	2,018,135.579	1,275,392	2,387,840	1,851,584	1,956,800

Daily Data (19 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
2011-02-01	$1.39	$1.36	32.6%	9.3%	30.1%	16.6%	34.0%	8.6%	2.0%	869.4K	-38.2M	-234.8K	0.89	43.38	N/A	N/A	144,384	129,024	898,176	953,408
2011-02-02	$1.39	$1.34	32.6%	9.4%	30.1%	16.7%	33.0%	8.0%	1.3%	978.7K	-37.9M	-239.5K	0.74	42.32	N/A	N/A	31,296	23,296	933,376	971,584
2011-02-03	$1.39	$1.36	30.7%	8.8%	29.6%	13.1%	31.7%	6.5%	2.6%	1.2M	-40.8M	-231.1K	1.39	44.43	N/A	N/A	34,048	47,360	944,832	990,592
2011-02-04	$1.41	$1.31	28.1%	9.1%	29.8%	8.2%	32.0%	9.4%	1.5%	1.7M	-50.8M	-220.7K	0.42	32.14	N/A	N/A	80,896	34,112	953,280	1,009,408
2011-02-07	$1.42	$1.31	28.5%	9.0%	29.9%	9.0%	34.6%	8.4%	0.9%	2.1M	-60.8M	-209.1K	1.24	31.27	N/A	N/A	131,520	163,520	984,896	1,022,592
2011-02-08	$1.44	$1.33	26.1%	8.8%	30.1%	4.5%	31.8%	8.3%	2.4%	1.9M	-72.7M	-208.8K	0.35	31.24	N/A	N/A	116,032	40,960	1,028,928	1,124,672
2011-02-09	$1.44	$1.33	27.5%	8.8%	30.2%	7.0%	31.7%	8.3%	-1.4%	2.5M	-70.9M	-207.7K	0.30	35.98	N/A	N/A	119,232	35,584	1,061,120	1,131,264
2011-02-10	$1.44	$1.33	31.4%	9.0%	29.9%	14.5%	33.2%	9.0%	1.2%	2.5M	-73.0M	-197.7K	2.03	36.28	N/A	N/A	43,904	89,024	1,050,432	1,143,232
2011-02-11	$1.46	$1.33	29.4%	8.4%	30.2%	10.6%	31.4%	7.9%	2.6%	2.6M	-87.0M	-192.7K	1.97	41.92	N/A	N/A	57,408	112,896	1,062,336	1,154,304
2011-02-14	$1.47	$1.36	29.6%	8.5%	29.9%	10.9%	29.9%	7.6%	1.6%	2.7M	-94.0M	-174.4K	0.65	37.73	N/A	N/A	93,888	61,120	1,077,504	1,162,304
2011-02-15	$1.46	$1.38	29.8%	8.5%	29.9%	11.4%	31.9%	8.4%	1.1%	2.7M	-89.9M	-174.3K	2.09	40.33	N/A	N/A	38,784	80,960	1,080,640	1,181,248
2011-02-16	$1.48	$1.38	29.4%	8.4%	28.7%	10.6%	30.5%	7.8%	1.6%	1.6M	-103.9M	-162.6K	1.08	42.10	N/A	N/A	74,176	80,256	1,086,848	1,220,416
2011-02-17	$1.48	$1.38	30.3%	8.7%	27.8%	12.4%	31.5%	8.2%	2.1%	642.8K	-102.3M	-162.4K	0.52	50.19	N/A	N/A	99,648	51,328	1,090,496	1,252,992
2011-02-18	$1.48	$1.38	30.5%	8.7%	27.0%	12.6%	30.8%	7.8%	0.9%	1.8M	-102.0M	-165.6K	0.47	48.21	N/A	N/A	189,184	89,280	1,127,936	1,259,904
2011-02-22	$1.39	$1.39	40.2%	11.5%	34.5%	31.0%	40.9%	9.7%	0.1%	488.2K	-21.5M	-189.1K	1.41	41.73	N/A	N/A	246,528	348,608	681,664	593,728
2011-02-23	$1.37	$1.41	42.8%	12.3%	35.1%	35.9%	41.9%	12.1%	-0.1%	-362.9K	-5.0M	-234.5K	0.91	42.24	N/A	N/A	203,712	185,536	733,504	842,496
2011-02-24	$1.38	$1.39	40.3%	11.6%	35.0%	31.2%	42.2%	10.9%	1.2%	-170.5K	-16.3M	-255.2K	1.18	39.48	N/A	N/A	119,680	141,056	830,336	909,504
2011-02-25	$1.42	$1.39	33.7%	9.6%	36.2%	18.6%	36.9%	10.5%	2.2%	218.0K	-34.8M	-253.8K	1.21	38.95	N/A	N/A	143,296	172,736	864,640	973,184
2011-02-28	$1.43	$1.39	34.2%	9.8%	30.3%	19.7%	36.1%	10.3%	1.2%	221.7K	-36.5M	-248.6K	0.82	50.75	N/A	N/A	110,656	90,624	900,096	1,056,704