QLD Options History — June 2011 In June 2011, QLD traded between $1.23 and $1.39. ATM implied volatility averaged 35.5%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 1.8% (HV 20d: 33.8%). Max pain ranged from $1.25 to $1.39. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.71.
Notable Days 2011-06-17 : Highest Volume — 429,568 contracts2011-06-24 : Largest IV spike — 33.9% change2011-06-16 : Highest IV Rank — 40.0%2011-06-16 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $1.30 $1.23 $1.39 $1.38 $1.38 Max Pain $1.31 $1.25 $1.39 $1.39 $1.25 ATM IV 35.5% 27.1% 41.8% 32.9% 27.1% Expected Move 10.2% 7.8% 12.0% 9.4% 7.8% HV 20d 33.8% 31.1% 39.2% 31.1% 37.4% HV 60d 28.3% 26.2% 30.4% 28.8% 30.4% IV Rank 23.6% 2.6% 40.0% 15.7% 2.6% IV Percentile 45.8% 2.8% 77.8% 31.3% 2.8% Term Structure 3.1% -1.6% 8.1% 0.8% 5.4% VWIV 35.5% 27.6% 43.7% 31.9% 27.6% Skew 25d 9.5% 7.6% 12.9% 8.1% 8.9% Skew 10d 17.8% -3.7% 28.1% 14.9% 18.5% Call IV 25d 31.3% 22.8% 37.0% 28.8% 22.8% Put IV 25d 40.8% 31.7% 49.7% 36.9% 31.7% Bid-Ask Spread % 37.57 19.18 72.95 55.06 19.57 Gamma HHI 0.09 0.06 0.28 0.09 0.08 Net GEX 767.1K -2.0M 4.7M 2.2M 4.7M Net DEX 8.7M -97.4M 73.5M -17.4M -97.4M Net VEX -249.9K -294.5K -205.6K -294.5K -270.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.18 1.91 0.74 0.71 Total Volume 227,636.364 60,288 429,568 94,016 248,320 Total OI 2,366,434.909 1,804,224 3,001,792 2,258,432 2,452,224
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 2011-06-01 $1.38 $1.39 32.9% 9.4% 31.1% 15.7% 31.9% 8.1% 0.8% 2.2M -17.4M -294.5K 0.74 55.06 N/A N/A 53,952 40,064 1,277,632 980,800 2011-06-02 $1.39 $1.39 31.8% 9.1% 31.2% 13.1% 31.2% 7.6% 1.2% 2.3M -19.7M -293.6K 0.53 40.25 N/A N/A 43,840 23,424 1,284,800 994,176 2011-06-03 $1.35 $1.33 33.3% 9.8% 32.6% 16.4% 32.1% 9.1% 8.1% 1.1M 10.1M -268.5K 0.95 71.26 N/A N/A 129,600 123,264 1,296,256 1,002,944 2011-06-06 $1.32 $1.33 37.6% 10.3% 32.6% 26.4% 34.7% 7.8% 5.0% 180.5K 25.5M -264.2K 0.80 25.18 N/A N/A 192,000 153,408 1,323,712 1,068,864 2011-06-07 $1.32 $1.33 34.6% 10.0% 32.4% 21.6% 33.2% 8.5% 3.4% -131.8K 22.8M -252.5K 1.91 40.16 N/A N/A 112,576 214,528 1,333,696 1,013,760 2011-06-08 $1.30 $1.33 35.3% 10.3% 31.5% 23.4% 34.2% 8.1% 3.6% -1.6M 52.0M -245.9K 1.90 30.74 N/A N/A 129,536 246,336 1,357,760 1,179,456 2011-06-09 $1.30 $1.33 35.2% 10.1% 31.5% 23.2% 33.9% 9.5% 3.9% -870.1K 38.3M -246.0K 0.26 19.18 N/A N/A 48,640 12,800 1,393,792 1,101,376 2011-06-10 $1.27 $1.33 36.4% 10.4% 31.9% 26.3% 35.6% 9.4% 5.1% -1.2M 59.7M -211.1K 1.20 25.62 N/A N/A 127,872 153,984 1,391,808 1,099,648 2011-06-13 $1.26 $1.33 37.7% 10.8% 31.5% 29.6% 36.6% 9.8% 3.7% -1.1M 64.5M -208.5K 0.31 31.24 N/A N/A 195,840 60,352 1,434,304 1,148,480 2011-06-14 $1.30 $1.33 33.9% 9.7% 31.5% 19.9% 31.9% 8.9% 4.1% -964.7K 37.5M -220.5K 0.33 48.83 N/A N/A 176,448 57,472 1,549,376 1,153,472 2011-06-15 $1.25 $1.33 38.0% 10.9% 33.2% 30.5% 39.9% 8.7% 4.8% 37.5K 59.8M -211.4K 0.38 34.70 N/A N/A 188,928 71,808 1,643,520 1,175,424 2011-06-16 $1.24 $1.31 41.8% 12.0% 32.1% 40.0% 43.7% 12.7% 3.8% 482.8K 66.3M -205.6K 1.36 34.71 N/A N/A 176,448 240,448 1,640,000 1,191,296 2011-06-17 $1.23 $1.33 40.3% 11.5% 31.7% 36.1% 39.1% 10.3% 4.9% -2.0M 73.5M -216.6K 1.12 35.24 N/A N/A 202,560 227,008 1,707,072 1,294,720 2011-06-20 $1.24 $1.28 39.1% 11.2% 32.2% 33.0% 39.3% 12.9% -0.2% 105.8K 14.1M -232.6K 0.27 24.51 N/A N/A 120,000 32,448 975,040 829,184 2011-06-21 $1.30 $1.28 35.0% 10.0% 35.3% 22.7% 34.5% 11.0% 0.3% 1.0M -10.9M -255.5K 0.41 68.04 N/A N/A 99,264 40,256 1,038,272 849,280 2011-06-22 $1.28 $1.28 36.3% 10.4% 35.3% 26.0% 33.2% 8.7% -1.6% 1.0M -7.9M -255.4K 0.34 47.74 N/A N/A 44,864 15,424 1,080,768 866,304 2011-06-23 $1.30 $1.28 30.1% 8.6% 36.0% 10.1% 38.2% 7.9% 3.6% 1.3M -13.8M -250.5K 0.18 36.81 N/A N/A 231,680 41,856 1,102,016 871,232 2011-06-24 $1.26 $1.25 40.3% 11.5% 37.3% 36.2% 40.9% 10.4% -0.2% 1.6M -9.6M -273.3K 0.40 21.91 N/A N/A 59,584 23,552 1,278,016 884,544 2011-06-27 $1.30 $1.25 38.0% 10.9% 39.2% 30.4% 40.1% 11.3% 0.6% 2.3M -32.2M -274.1K 0.60 72.95 N/A N/A 59,008 35,520 1,311,104 887,808 2011-06-28 $1.34 $1.25 35.8% 10.3% 39.0% 24.8% 37.9% 10.9% 3.4% 2.7M -52.8M -273.7K 0.36 23.03 N/A N/A 207,488 74,304 1,334,848 910,592 2011-06-29 $1.35 $1.25 30.8% 8.8% 36.2% 12.0% 31.0% 9.3% 4.0% 3.7M -70.2M -272.6K 0.53 19.87 N/A N/A 176,768 94,528 1,443,840 908,352 2011-06-30 $1.38 $1.25 27.1% 7.8% 37.4% 2.6% 27.6% 8.9% 5.4% 4.7M -97.4M -270.5K 0.71 19.57 N/A N/A 145,024 103,296 1,512,128 940,096
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