QLD Options History — August 2011

In August 2011, QLD traded between $1.04 and $1.41. ATM implied volatility averaged 64.8%, placing in the 60.6% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 13.7% (HV 20d: 78.6%). Max pain ranged from $1.09 to $1.41. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2011-08-08: Highest Volume — 550,720 contracts
2011-08-04: Largest IV spike — 47.1% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-22: Largest Expected Move — 21.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.19	$1.04	$1.41	$1.41	$1.26
Max Pain	$1.25	$1.09	$1.41	$1.39	$1.09
ATM IV	64.8%	45.2%	102.9%	47.6%	52.4%
Expected Move	17.6%	13.0%	21.5%	13.7%	15.0%
HV 20d	78.6%	35.4%	100.2%	35.4%	98.6%
HV 60d	54.5%	34.7%	64.2%	34.7%	64.1%
IV Rank	60.6%	34.3%	100.0%	75.9%	34.3%
IV Percentile	97.2%	91.7%	100.0%	96.4%	92.1%
Term Structure	-4.0%	-12.4%	3.8%	-2.9%	3.8%
VWIV	59.5%	44.6%	73.3%	46.4%	53.4%
Skew 25d	19.7%	8.9%	41.5%	10.6%	11.3%
Skew 10d	32.7%	13.5%	51.5%	20.2%	26.3%
Call IV 25d	52.0%	41.3%	66.0%	41.5%	49.4%
Put IV 25d	71.7%	51.8%	89.9%	52.1%	60.7%
Bid-Ask Spread %	35.00	23.64	74.71	23.64	40.10
Gamma HHI	0.07	0.04	0.11	0.06	0.06
Net GEX	543.9K	-662.2K	2.3M	979.5K	2.3M
Net DEX	20.9M	-65.2M	94.1M	-18.1M	-65.2M
Net VEX	-261.2K	-303.8K	-182.8K	-278.0K	-303.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.12	1.46	1.18	0.34
Total Volume	271,732.87	76,032	550,720	358,784	336,512
Total OI	2,588,939.13	1,699,136	3,320,896	1,699,136	2,521,088

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
2011-08-01	$1.41	$1.39	47.6%	13.7%	35.4%	75.9%	46.4%	10.6%	-2.9%	979.5K	-18.1M	-278.0K	1.18	23.64	N/A	N/A	164,672	194,112	912,128	787,008
2011-08-02	$1.34	$1.39	51.1%	14.6%	39.8%	88.0%	44.6%	13.5%	-7.3%	247.0K	6.8M	-280.0K	0.24	35.62	N/A	N/A	289,024	69,760	991,680	884,864
2011-08-03	$1.36	$1.39	45.2%	13.0%	40.3%	67.2%	44.9%	10.5%	0.2%	976.8K	-231.9K	-302.1K	0.52	29.21	N/A	N/A	351,424	181,504	1,146,368	931,136
2011-08-04	$1.24	$1.38	66.5%	19.1%	50.5%	100.0%	62.1%	20.4%	-12.4%	59.1K	36.7M	-278.9K	0.57	26.78	N/A	N/A	174,592	99,008	1,390,464	1,009,920
2011-08-05	$1.22	$1.41	70.6%	17.2%	50.5%	100.0%	55.6%	13.5%	-4.9%	-33.2K	44.9M	-268.3K	0.88	26.70	N/A	N/A	235,712	206,720	1,484,800	1,021,952
2011-08-08	$1.08	$1.36	102.9%	20.4%	64.5%	100.0%	65.3%	8.9%	-2.8%	-416.1K	70.1M	-199.1K	0.61	42.49	N/A	N/A	342,336	208,384	1,558,016	1,103,168
2011-08-09	$1.18	$1.33	74.8%	17.4%	74.0%	63.4%	63.0%	31.6%	-3.7%	-555.1K	64.5M	-258.0K	0.30	74.71	N/A	N/A	210,432	62,592	1,790,784	1,174,976
2011-08-10	$1.08	$1.30	99.8%	21.3%	78.5%	95.9%	65.1%	17.1%	-10.9%	-311.9K	69.3M	-236.7K	0.15	23.66	N/A	N/A	205,376	31,232	1,824,384	1,191,680
2011-08-11	$1.18	$1.30	65.8%	18.8%	85.6%	51.6%	63.2%	22.1%	-8.5%	282.1K	42.1M	-294.2K	0.17	40.40	N/A	N/A	152,576	26,112	1,946,048	1,193,792
2011-08-12	$1.20	$1.28	61.1%	17.5%	85.2%	45.5%	58.8%	20.4%	-5.6%	322.6K	38.7M	-293.6K	1.31	36.32	N/A	N/A	84,288	110,336	1,962,880	1,202,176
2011-08-15	$1.23	$1.28	53.6%	15.4%	86.2%	35.7%	49.1%	17.1%	2.9%	327.5K	30.5M	-285.9K	0.30	28.92	N/A	N/A	244,352	74,368	1,992,320	1,231,040
2011-08-16	$1.21	$1.28	57.0%	16.4%	84.1%	40.3%	63.0%	18.7%	-4.3%	371.5K	37.7M	-269.4K	1.02	27.11	N/A	N/A	62,016	63,360	1,985,152	1,254,272
2011-08-17	$1.20	$1.28	55.3%	15.9%	84.1%	38.0%	54.8%	17.5%	-4.0%	421.2K	47.9M	-250.1K	1.46	24.58	N/A	N/A	44,480	65,152	1,993,664	1,278,976
2011-08-18	$1.08	$1.28	71.3%	20.4%	89.7%	58.8%	73.3%	23.4%	-3.9%	-662.2K	83.9M	-204.8K	0.44	34.72	N/A	N/A	179,776	79,232	1,939,904	1,295,616
2011-08-19	$1.04	$1.27	74.3%	21.3%	89.0%	62.7%	68.7%	20.1%	-3.9%	-187.1K	94.1M	-182.8K	0.35	25.98	N/A	N/A	295,296	103,616	1,995,968	1,324,928
2011-08-22	$1.05	$1.11	74.9%	21.5%	89.3%	63.6%	64.3%	30.5%	-3.6%	261.9K	26.1M	-198.4K	0.25	31.85	N/A	N/A	247,168	61,888	1,010,176	755,072
2011-08-23	$1.13	$1.11	65.5%	18.8%	95.4%	51.3%	70.4%	30.3%	-8.9%	685.5K	12.4M	-228.2K	0.12	39.72	N/A	N/A	271,808	32,768	1,168,192	788,608
2011-08-24	$1.15	$1.09	59.4%	17.0%	94.9%	43.3%	62.8%	21.1%	-0.3%	1.3M	-10.8M	-265.4K	0.28	32.58	N/A	N/A	93,760	25,984	1,396,096	809,088
2011-08-25	$1.12	$1.09	69.0%	19.8%	95.0%	55.9%	69.3%	19.2%	-3.3%	1.2M	-6.5M	-267.2K	0.97	31.22	N/A	N/A	38,656	37,376	1,436,736	822,272
2011-08-26	$1.17	$1.09	61.7%	17.7%	97.4%	46.4%	60.7%	41.5%	-3.2%	1.3M	-15.1M	-271.1K	0.33	50.54	N/A	N/A	89,920	29,632	1,445,632	836,864
2011-08-29	$1.24	$1.09	55.7%	16.0%	100.2%	38.5%	56.3%	17.3%	-1.8%	1.7M	-47.7M	-287.8K	0.38	38.81	N/A	N/A	132,288	49,664	1,490,368	847,040
2011-08-30	$1.25	$1.09	55.5%	15.9%	98.8%	38.2%	53.9%	15.9%	-1.3%	2.0M	-60.8M	-302.8K	0.38	39.45	N/A	N/A	138,496	52,096	1,561,344	856,960
2011-08-31	$1.26	$1.09	52.4%	15.0%	98.6%	34.3%	53.4%	11.3%	3.8%	2.3M	-65.2M	-303.8K	0.34	40.10	N/A	N/A	250,304	86,208	1,646,912	874,176