QLD Options History — July 2011 In July 2011, QLD traded between $1.38 and $1.51. ATM implied volatility averaged 36.4%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 0.4% (HV 20d: 36.7%). Max pain ranged from $1.25 to $1.39. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.60.
Notable Days 2011-07-01 : Highest Volume — 474,944 contracts2011-07-27 : Largest IV spike — 18.7% change2011-07-29 : Highest IV Rank — 81.5%2011-07-29 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $1.45 $1.38 $1.51 $1.42 $1.42 Max Pain $1.35 $1.25 $1.39 $1.25 $1.39 ATM IV 36.4% 26.7% 49.3% 33.3% 49.3% Expected Move 10.6% 8.9% 14.1% 9.6% 14.1% HV 20d 36.7% 32.5% 39.1% 37.1% 36.9% HV 60d 32.6% 31.0% 34.8% 31.0% 34.8% IV Rank 35.9% 1.8% 81.5% 22.3% 81.5% IV Percentile 53.2% 2.0% 98.4% 36.1% 98.4% Term Structure 2.4% -7.0% 6.0% 3.5% -7.0% VWIV 37.4% 26.9% 46.6% 26.9% 46.6% Skew 25d 10.5% 5.2% 16.7% 8.0% 16.7% Skew 10d 19.2% 12.2% 28.4% 18.0% 28.4% Call IV 25d 32.4% 22.7% 39.6% 22.7% 39.6% Put IV 25d 42.9% 30.7% 56.3% 30.7% 56.3% Bid-Ask Spread % 18.29 13.64 33.59 33.59 20.93 Gamma HHI 0.10 0.05 0.40 0.08 0.06 Net GEX 4.0M 620.2K 8.1M 4.3M 1.1M Net DEX -91.0M -196.9M -15.9M -127.1M -24.4M Net VEX -258.6K -293.2K -226.6K -255.6K -293.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.18 1.17 0.29 0.67 Total Volume 195,747.2 76,480 474,944 474,944 76,480 Total OI 2,177,356.8 1,088,512 3,144,320 2,521,600 1,663,488
Daily Data (20 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 2011-07-01 $1.42 $1.25 33.3% 9.6% 37.1% 22.3% 26.9% 8.0% 3.5% 4.3M -127.1M -255.6K 0.29 33.59 N/A N/A 368,896 106,048 1,543,808 977,792 2011-07-05 $1.44 $1.27 27.6% 9.1% 36.4% 4.4% 31.6% 10.2% 3.8% 5.5M -144.3M -243.9K 0.18 18.51 N/A N/A 341,952 60,928 1,661,760 1,010,880 2011-07-06 $1.45 $1.28 26.7% 9.2% 36.3% 1.8% 33.0% 6.3% 3.7% 6.8M -161.6M -250.7K 0.47 17.35 N/A N/A 148,352 69,440 1,803,200 1,019,648 2011-07-07 $1.49 $1.28 29.3% 9.2% 36.5% 11.0% 33.1% 5.2% 2.5% 6.3M -196.9M -242.7K 0.34 13.64 N/A N/A 198,848 67,328 1,867,968 1,018,944 2011-07-08 $1.48 $1.33 31.3% 8.9% 36.7% 18.3% 34.2% 9.0% 2.7% 6.8M -190.8M -248.3K 0.88 14.22 N/A N/A 57,856 50,944 1,916,544 1,051,520 2011-07-11 $1.43 $1.33 36.9% 10.2% 37.5% 38.1% 38.8% 11.0% 4.3% 8.0M -142.2M -251.2K 0.47 19.63 N/A N/A 241,792 113,792 1,894,592 1,062,528 2011-07-12 $1.40 $1.34 39.4% 10.8% 38.3% 46.7% 38.6% 12.1% 3.4% 7.4M -120.2M -267.0K 0.52 18.52 N/A N/A 73,792 38,720 1,926,400 1,127,168 2011-07-13 $1.41 $1.38 36.1% 10.5% 37.7% 35.2% 36.4% 9.5% 5.7% 8.1M -131.3M -251.8K 0.47 14.70 N/A N/A 73,664 34,688 1,942,272 1,145,728 2011-07-14 $1.38 $1.38 39.4% 11.3% 36.1% 46.7% 37.4% 13.3% 5.5% 7.2M -96.0M -236.0K 0.91 17.99 N/A N/A 145,536 132,160 1,947,968 1,143,232 2011-07-15 $1.42 $1.38 39.0% 11.2% 36.5% 45.4% 38.8% 12.0% 1.6% 6.6M -141.6M -226.6K 0.45 17.13 N/A N/A 151,296 68,480 1,964,992 1,179,328 2011-07-18 $1.40 $1.38 37.6% 10.8% 36.7% 40.4% 38.7% 11.5% 2.7% 620.2K -15.9M -230.0K 0.50 15.83 N/A N/A 182,336 91,776 599,168 489,344 2011-07-19 $1.47 $1.38 35.0% 10.0% 39.1% 31.2% 36.7% 11.3% 3.3% 1.4M -39.3M -259.3K 0.45 15.49 N/A N/A 73,536 33,344 732,352 558,848 2011-07-20 $1.45 $1.38 36.5% 10.5% 37.5% 36.6% 35.8% 11.1% 6.0% 1.4M -37.2M -266.5K 0.77 19.29 N/A N/A 44,864 34,432 754,880 580,800 2011-07-21 $1.48 $1.38 36.1% 10.4% 36.9% 35.2% 38.2% 11.5% 2.4% 1.4M -43.2M -263.6K 0.78 19.23 N/A N/A 95,168 73,856 764,288 595,136 2011-07-22 $1.51 $1.39 33.2% 9.5% 37.0% 25.0% 37.1% 8.2% 2.8% 1.6M -52.5M -262.9K 1.17 16.54 N/A N/A 72,768 84,992 787,840 636,672 2011-07-25 $1.50 $1.39 35.8% 10.3% 33.6% 34.1% 38.4% 8.3% 2.1% 1.5M -49.9M -272.0K 0.68 16.81 N/A N/A 64,384 43,776 803,840 674,432 2011-07-26 $1.51 $1.39 37.2% 10.7% 32.5% 38.9% 37.2% 9.5% 0.3% 1.4M -50.6M -274.4K 0.32 17.10 N/A N/A 79,488 25,472 811,136 693,440 2011-07-27 $1.43 $1.39 44.1% 12.6% 37.7% 63.4% 45.4% 12.5% -2.2% 1.2M -27.2M -285.3K 1.04 20.24 N/A N/A 104,768 109,376 853,184 704,640 2011-07-28 $1.43 $1.39 43.8% 12.6% 37.7% 62.5% 44.8% 13.6% 0.6% 1.2M -28.1M -290.5K 0.64 19.00 N/A N/A 48,512 31,104 880,576 756,800 2011-07-29 $1.42 $1.39 49.3% 14.1% 36.9% 81.5% 46.6% 16.7% -7.0% 1.1M -24.4M -293.2K 0.67 20.93 N/A N/A 45,760 30,720 887,424 776,064
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