QLD Options History — September 2011

In September 2011, QLD traded between $1.14 and $1.33. ATM implied volatility averaged 65.5%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 2.4% (HV 20d: 63.1%). Max pain ranged from $1.09 to $1.28. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2011-09-16: Highest Volume — 689,536 contracts
2011-09-06: Largest IV spike — 18.5% change
2011-09-30: Highest IV Rank — 74.6%
2011-09-30: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.24	$1.14	$1.33	$1.23	$1.14
Max Pain	$1.25	$1.09	$1.28	$1.09	$1.27
ATM IV	65.5%	50.5%	83.4%	50.5%	83.4%
Expected Move	18.8%	14.5%	23.9%	14.5%	23.9%
HV 20d	63.1%	48.6%	94.1%	92.7%	53.1%
HV 60d	65.9%	64.2%	67.3%	64.2%	67.3%
IV Rank	51.3%	31.7%	74.6%	31.8%	74.6%
IV Percentile	94.9%	87.3%	99.2%	91.3%	99.2%
Term Structure	-3.7%	-12.8%	7.5%	7.5%	-6.5%
VWIV	63.0%	49.8%	80.8%	51.2%	80.8%
Skew 25d	20.6%	8.2%	31.2%	8.2%	25.4%
Skew 10d	39.0%	14.1%	55.1%	14.1%	42.1%
Call IV 25d	54.7%	43.7%	69.4%	49.4%	69.4%
Put IV 25d	75.3%	57.6%	94.8%	57.6%	94.8%
Bid-Ask Spread %	55.41	30.86	72.77	72.77	61.69
Gamma HHI	0.13	0.07	0.39	0.07	0.11
Net GEX	2.1M	893.9K	3.7M	2.4M	893.9K
Net DEX	-40.7M	-124.5M	7.4M	-59.8M	7.4M
Net VEX	-262.5K	-305.7K	-233.0K	-305.7K	-239.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.06	2.98	0.59	1.03
Total Volume	156,336.762	49,344	689,536	52,160	105,344
Total OI	2,387,181.714	1,660,352	2,986,496	2,623,296	2,264,320

Daily Data (21 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
2011-09-01	$1.23	$1.09	50.5%	14.5%	92.7%	31.8%	51.2%	8.2%	7.5%	2.4M	-59.8M	-305.7K	0.59	72.77	N/A	N/A	32,896	19,264	1,706,176	917,120
2011-09-02	$1.18	$1.09	58.9%	16.9%	94.1%	42.7%	55.9%	14.4%	3.9%	2.0M	-27.5M	-280.8K	0.30	48.72	N/A	N/A	69,184	20,544	1,721,664	926,080
2011-09-06	$1.18	$1.28	69.8%	19.2%	82.2%	56.9%	64.4%	31.2%	-8.0%	2.1M	-21.4M	-253.8K	0.30	66.71	N/A	N/A	63,104	18,816	1,739,584	930,560
2011-09-07	$1.24	$1.28	58.5%	16.8%	77.9%	42.2%	57.1%	19.4%	2.7%	2.8M	-55.8M	-272.6K	0.70	36.74	N/A	N/A	47,744	33,408	1,776,384	931,776
2011-09-08	$1.22	$1.28	61.9%	17.6%	70.9%	46.6%	59.4%	20.3%	-2.6%	2.8M	-54.7M	-265.9K	0.15	30.86	N/A	N/A	42,880	6,464	1,785,024	935,360
2011-09-09	$1.17	$1.28	73.1%	20.0%	66.8%	61.2%	66.3%	23.7%	-9.1%	2.2M	-26.7M	-253.5K	1.03	60.07	N/A	N/A	63,424	65,600	1,787,648	937,920
2011-09-12	$1.20	$1.28	69.2%	19.9%	67.2%	56.1%	68.2%	19.3%	-12.8%	2.5M	-36.1M	-236.7K	1.29	62.27	N/A	N/A	48,000	61,760	1,776,640	982,144
2011-09-13	$1.23	$1.27	60.3%	18.5%	67.0%	44.5%	63.0%	23.3%	-4.7%	2.8M	-56.9M	-235.9K	0.58	57.35	N/A	N/A	68,672	39,680	1,787,712	1,004,928
2011-09-14	$1.27	$1.27	58.1%	16.9%	67.4%	41.7%	56.0%	20.9%	-2.5%	3.2M	-76.3M	-233.0K	0.27	37.75	N/A	N/A	287,872	77,184	1,751,616	1,004,736
2011-09-15	$1.30	$1.25	58.5%	16.8%	67.9%	42.2%	54.0%	17.2%	-3.6%	3.7M	-101.3M	-241.5K	0.21	69.18	N/A	N/A	150,272	31,040	1,898,304	1,034,240
2011-09-16	$1.33	$1.25	50.5%	14.5%	55.0%	31.7%	49.8%	17.8%	1.4%	2.5M	-124.5M	-236.2K	0.06	55.21	N/A	N/A	648,256	41,280	1,948,160	1,038,336
2011-09-19	$1.33	$1.25	54.1%	15.5%	52.2%	36.4%	56.8%	18.6%	-0.3%	1.5M	-42.3M	-269.8K	0.63	47.09	N/A	N/A	104,064	65,344	1,082,112	578,240
2011-09-20	$1.32	$1.27	59.2%	17.0%	52.7%	43.1%	54.8%	16.1%	-4.4%	1.6M	-42.4M	-284.6K	0.48	62.26	N/A	N/A	68,480	32,768	1,152,320	632,704
2011-09-21	$1.27	$1.28	67.0%	19.2%	48.9%	53.3%	57.3%	16.9%	-11.0%	1.5M	-30.9M	-279.9K	0.40	67.27	N/A	N/A	68,864	27,712	1,190,208	647,232
2011-09-22	$1.19	$1.28	76.9%	22.0%	55.1%	66.1%	72.2%	24.7%	-6.0%	1.0M	-4.9M	-252.6K	0.24	64.64	N/A	N/A	133,952	32,704	1,224,704	668,032
2011-09-23	$1.21	$1.25	71.1%	20.4%	54.0%	58.6%	64.5%	23.3%	-2.5%	1.3M	-12.8M	-265.6K	0.14	38.89	N/A	N/A	151,552	21,376	1,274,688	676,800
2011-09-26	$1.24	$1.25	76.5%	21.9%	52.0%	65.7%	69.6%	23.5%	-4.8%	1.7M	-23.0M	-276.7K	0.74	41.73	N/A	N/A	47,168	35,072	1,376,832	687,744
2011-09-27	$1.27	$1.25	70.8%	20.3%	48.6%	58.2%	68.8%	22.4%	-7.1%	1.9M	-33.9M	-292.4K	0.97	65.75	N/A	N/A	109,056	106,240	1,398,656	709,888
2011-09-28	$1.23	$1.27	71.9%	20.6%	49.7%	59.7%	72.4%	24.0%	-2.8%	1.7M	-20.8M	-275.8K	0.44	57.69	N/A	N/A	41,920	18,624	1,393,792	716,544
2011-09-29	$1.20	$1.27	75.2%	21.6%	50.2%	63.9%	79.5%	22.5%	-4.1%	1.4M	-10.0M	-259.4K	2.98	59.01	N/A	N/A	44,096	131,392	1,405,120	728,768
2011-09-30	$1.14	$1.27	83.4%	23.9%	53.1%	74.6%	80.8%	25.4%	-6.5%	893.9K	7.4M	-239.5K	1.03	61.69	N/A	N/A	51,840	53,504	1,420,480	843,840