QLD Options History — March 2011 In March 2011, QLD traded between $1.25 and $1.45. ATM implied volatility averaged 39.6%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 3.0% (HV 20d: 36.6%). Max pain ranged from $1.30 to $1.39. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.69.
Notable Days 2011-03-01 : Highest Volume — 598,656 contracts2011-03-07 : Largest IV spike — 29.2% change2011-03-16 : Highest IV Rank — 57.9%2011-03-16 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $1.36 $1.25 $1.45 $1.38 $1.41 Max Pain $1.32 $1.30 $1.39 $1.39 $1.30 ATM IV 39.6% 31.2% 54.5% 40.1% 31.2% Expected Move 11.4% 8.9% 15.6% 11.5% 8.9% HV 20d 36.6% 30.3% 42.8% 32.8% 34.7% HV 60d 29.7% 25.6% 32.8% 25.6% 32.3% IV Rank 29.8% 14.0% 57.9% 30.8% 14.0% IV Percentile 54.3% 17.9% 92.1% 62.3% 17.9% Term Structure 2.0% -3.3% 4.8% 0.2% 4.5% VWIV 39.9% 32.7% 55.3% 39.0% 32.7% Skew 25d 11.2% 9.0% 14.9% 11.0% 9.7% Skew 10d 23.4% 18.5% 29.2% 21.9% 21.9% Call IV 25d 35.0% 27.9% 47.5% 35.1% 27.9% Put IV 25d 46.2% 37.6% 62.4% 46.1% 37.6% Bid-Ask Spread % 36.99 20.55 74.13 46.13 37.89 Gamma HHI 0.08 0.06 0.15 0.06 0.09 Net GEX 1.9M -2.1M 6.1M -173.5K 6.1M Net DEX -27.9M -97.3M 59.3M -14.7M -97.3M Net VEX -298.2K -336.7K -235.1K -267.0K -317.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.21 1.41 0.29 0.49 Total Volume 283,528.348 89,856 598,656 598,656 97,216 Total OI 2,735,599.304 2,017,216 3,404,416 2,017,216 2,971,968
Daily Data (23 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 2011-03-01 $1.38 $1.39 40.1% 11.5% 32.8% 30.8% 39.0% 11.0% 0.2% -173.5K -14.7M -267.0K 0.29 46.13 N/A N/A 462,912 135,744 940,864 1,076,352 2011-03-02 $1.39 $1.39 39.2% 11.2% 30.3% 29.1% 37.5% 11.2% 0.3% 885.6K -31.9M -319.9K 0.33 39.20 N/A N/A 150,080 49,216 1,258,112 1,132,672 2011-03-03 $1.45 $1.39 31.9% 9.1% 33.2% 15.3% 35.3% 9.5% 3.4% 2.8M -73.3M -317.8K 0.38 34.76 N/A N/A 397,888 151,808 1,359,488 1,150,592 2011-03-04 $1.43 $1.33 32.9% 10.2% 33.5% 17.3% 33.1% 9.8% 3.6% 2.4M -55.6M -328.6K 1.00 37.40 N/A N/A 83,072 82,752 1,362,752 1,216,832 2011-03-07 $1.40 $1.33 42.6% 11.5% 34.6% 35.4% 40.2% 10.7% 1.5% 1.5M -31.3M -314.4K 1.01 22.53 N/A N/A 184,896 187,264 1,383,168 1,235,072 2011-03-08 $1.41 $1.33 38.1% 11.4% 34.6% 27.0% 40.5% 10.7% 3.0% 2.2M -42.6M -329.5K 0.21 24.71 N/A N/A 155,200 32,768 1,456,640 1,263,360 2011-03-09 $1.39 $1.33 39.9% 11.6% 34.4% 30.3% 41.9% 11.1% 2.7% 2.0M -32.1M -323.8K 0.54 23.42 N/A N/A 58,240 31,616 1,512,640 1,270,272 2011-03-10 $1.34 $1.33 43.8% 12.6% 35.9% 37.8% 42.9% 11.4% 1.0% 430.0K -433.1K -307.2K 0.63 20.55 N/A N/A 180,928 113,152 1,523,072 1,278,208 2011-03-11 $1.36 $1.33 40.8% 11.7% 36.2% 32.2% 41.7% 10.2% 3.7% 1.3M -13.2M -309.2K 0.87 29.26 N/A N/A 108,032 94,208 1,583,680 1,316,608 2011-03-14 $1.35 $1.33 42.2% 12.1% 35.7% 34.7% 42.0% 10.8% 2.2% 713.0K -4.7M -277.0K 1.13 34.28 N/A N/A 71,232 80,384 1,598,592 1,317,952 2011-03-15 $1.31 $1.33 46.1% 13.2% 36.5% 42.2% 46.0% 12.4% 0.0% -1.2M 24.2M -262.4K 1.41 38.91 N/A N/A 144,576 204,032 1,616,128 1,340,224 2011-03-16 $1.25 $1.33 54.5% 15.6% 39.6% 57.9% 55.3% 14.9% -3.3% -1.7M 59.3M -235.1K 1.33 36.24 N/A N/A 254,720 338,752 1,640,064 1,366,720 2011-03-17 $1.27 $1.31 49.9% 14.3% 40.0% 49.3% 45.6% 14.6% -2.2% -2.1M 50.7M -253.8K 0.53 62.82 N/A N/A 273,344 145,280 1,752,320 1,507,456 2011-03-18 $1.27 $1.31 46.1% 13.2% 39.9% 42.1% 43.7% 13.5% 3.7% -1.3M 57.4M -244.8K 0.56 31.41 N/A N/A 326,912 182,528 1,878,464 1,525,952 2011-03-21 $1.31 $1.30 40.4% 11.6% 42.8% 31.4% 39.7% 12.8% 1.6% 1.7M -19.8M -269.7K 0.36 41.20 N/A N/A 212,672 76,992 1,302,976 906,432 2011-03-22 $1.31 $1.30 38.9% 11.1% 37.6% 28.5% 40.7% 11.5% 2.0% 2.0M -21.7M -285.7K 0.55 67.66 N/A N/A 124,608 68,160 1,423,296 956,992 2011-03-23 $1.32 $1.30 37.1% 10.6% 37.5% 25.1% 38.3% 11.1% 2.5% 2.3M -28.0M -287.9K 0.83 33.71 N/A N/A 83,648 69,632 1,459,776 988,672 2011-03-24 $1.37 $1.30 34.5% 9.9% 39.8% 20.2% 34.8% 10.0% 3.0% 3.2M -55.5M -298.7K 0.34 74.13 N/A N/A 364,672 125,184 1,490,944 1,023,936 2011-03-25 $1.38 $1.30 35.2% 10.1% 38.4% 21.6% 36.7% 10.6% 2.8% 4.6M -74.8M -336.7K 0.82 28.83 N/A N/A 114,432 94,016 1,738,944 1,081,856 2011-03-28 $1.36 $1.30 38.2% 11.0% 38.5% 27.2% 37.8% 11.4% 0.9% 4.3M -63.9M -330.8K 0.60 27.39 N/A N/A 58,560 35,072 1,762,112 1,102,336 2011-03-29 $1.39 $1.30 34.6% 9.9% 37.5% 20.5% 37.1% 10.9% 3.8% 5.0M -79.7M -320.0K 0.98 34.29 N/A N/A 53,120 51,968 1,786,304 1,113,856 2011-03-30 $1.40 $1.30 32.1% 9.2% 37.5% 15.7% 34.9% 9.0% 4.8% 5.6M -93.6M -322.1K 0.70 24.02 N/A N/A 123,136 86,528 1,815,552 1,128,576 2011-03-31 $1.41 $1.30 31.2% 8.9% 34.7% 14.0% 32.7% 9.7% 4.5% 6.1M -97.3M -317.3K 0.49 37.89 N/A N/A 65,088 32,128 1,837,952 1,134,016
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