QLD Options History — October 2011

In October 2011, QLD traded between $1.08 and $1.43. ATM implied volatility averaged 58.7%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 1.9% (HV 20d: 56.8%). Max pain ranged from $1.19 to $1.31. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2011-10-21: Highest Volume — 399,872 contracts
2011-10-31: Largest IV spike — 17.6% change
2011-10-03: Highest IV Rank — 90.5%
2011-10-03: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.31	$1.08	$1.43	$1.08	$1.38
Max Pain	$1.24	$1.19	$1.31	$1.27	$1.31
ATM IV	58.7%	42.5%	95.6%	95.6%	50.0%
Expected Move	17.0%	12.2%	27.4%	27.4%	14.3%
HV 20d	56.8%	50.8%	60.3%	53.7%	50.8%
HV 60d	70.1%	68.0%	71.5%	68.0%	68.9%
IV Rank	42.5%	21.3%	90.5%	90.5%	31.1%
IV Percentile	84.1%	69.8%	99.2%	99.2%	76.2%
Term Structure	-0.8%	-20.0%	5.6%	-20.0%	0.6%
VWIV	60.3%	43.9%	83.6%	83.6%	48.1%
Skew 25d	17.0%	11.4%	20.7%	19.7%	14.4%
Skew 10d	33.5%	23.1%	50.5%	36.7%	28.8%
Call IV 25d	50.5%	37.5%	77.0%	77.0%	43.3%
Put IV 25d	67.5%	48.8%	96.7%	96.7%	57.7%
Bid-Ask Spread %	33.55	11.31	69.06	69.06	45.22
Gamma HHI	0.15	0.07	0.47	0.10	0.09
Net GEX	3.7M	499.1K	11.2M	499.1K	2.2M
Net DEX	-48.3M	-116.1M	20.8M	20.8M	-44.8M
Net VEX	-231.8K	-267.7K	-183.7K	-204.6K	-221.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.14	1.49	0.27	0.45
Total Volume	140,736	45,696	399,872	152,832	102,592
Total OI	2,208,502.857	1,024,896	2,776,896	2,297,536	1,447,424

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
2011-10-03	$1.08	$1.27	95.6%	27.4%	53.7%	90.5%	83.6%	19.7%	-20.0%	499.1K	20.8M	-204.6K	0.27	69.06	N/A	N/A	120,320	32,512	1,439,872	857,664
2011-10-04	$1.12	$1.25	81.0%	23.2%	56.0%	71.5%	79.4%	18.0%	-5.0%	762.5K	13.5M	-219.6K	0.22	63.05	N/A	N/A	132,096	28,736	1,469,824	865,984
2011-10-05	$1.18	$1.25	71.2%	20.4%	56.1%	58.7%	74.4%	15.0%	-1.5%	1.4M	-6.2M	-250.6K	0.20	69.03	N/A	N/A	132,864	26,944	1,536,000	875,584
2011-10-06	$1.22	$1.25	68.2%	19.6%	57.4%	54.8%	70.2%	15.4%	-0.7%	1.9M	-16.1M	-261.1K	0.46	57.30	N/A	N/A	94,656	43,392	1,524,544	887,680
2011-10-07	$1.21	$1.19	67.1%	19.2%	55.1%	53.4%	72.7%	19.8%	-2.5%	1.8M	-10.4M	-253.8K	0.46	11.31	N/A	N/A	41,920	19,072	1,577,344	906,368
2011-10-10	$1.29	$1.19	61.4%	17.7%	59.1%	46.0%	63.2%	20.7%	-2.0%	3.2M	-43.0M	-264.7K	0.32	11.42	N/A	N/A	117,440	37,376	1,579,968	910,336
2011-10-11	$1.30	$1.19	56.0%	17.6%	58.7%	38.9%	61.7%	17.0%	-0.4%	3.9M	-55.0M	-267.7K	0.52	18.58	N/A	N/A	64,960	33,472	1,634,496	911,552
2011-10-12	$1.32	$1.19	52.8%	16.1%	58.0%	34.7%	59.6%	17.4%	0.3%	4.6M	-63.9M	-264.4K	0.70	14.51	N/A	N/A	62,656	43,712	1,667,968	925,888
2011-10-13	$1.34	$1.19	57.0%	16.4%	57.5%	40.3%	57.3%	17.3%	0.9%	5.3M	-77.8M	-259.9K	0.67	13.94	N/A	N/A	43,840	29,248	1,675,968	944,192
2011-10-14	$1.39	$1.19	51.4%	14.7%	58.5%	33.0%	51.6%	12.4%	3.0%	5.9M	-116.1M	-253.3K	0.53	19.28	N/A	N/A	95,872	50,688	1,693,120	951,040
2011-10-17	$1.35	$1.19	54.7%	15.7%	59.6%	37.2%	61.3%	17.1%	-1.0%	6.0M	-83.7M	-235.0K	1.27	15.61	N/A	N/A	63,936	80,960	1,705,984	968,768
2011-10-18	$1.38	$1.20	51.9%	14.9%	60.0%	33.6%	56.6%	18.1%	1.4%	6.8M	-111.1M	-230.5K	0.87	23.90	N/A	N/A	65,600	57,152	1,710,464	1,003,648
2011-10-19	$1.33	$1.20	59.2%	17.0%	60.3%	43.1%	61.7%	19.6%	-1.3%	6.3M	-64.6M	-219.3K	0.97	24.08	N/A	N/A	36,672	35,712	1,716,608	1,019,264
2011-10-20	$1.32	$1.20	61.2%	17.5%	54.7%	45.6%	62.0%	19.8%	-2.2%	6.5M	-49.9M	-202.1K	0.69	24.12	N/A	N/A	71,296	49,152	1,711,808	1,032,064
2011-10-21	$1.35	$1.28	54.6%	15.7%	54.9%	37.1%	56.1%	18.1%	5.6%	11.2M	-79.6M	-183.7K	0.19	40.83	N/A	N/A	335,552	64,320	1,718,336	1,058,560
2011-10-24	$1.41	$1.27	47.9%	13.7%	56.0%	28.3%	47.9%	16.1%	1.4%	808.1K	-34.8M	-184.9K	0.14	30.86	N/A	N/A	326,976	46,336	549,696	475,200
2011-10-25	$1.35	$1.27	52.8%	15.1%	57.9%	34.7%	56.1%	18.5%	0.3%	1.7M	-38.2M	-222.2K	1.49	31.79	N/A	N/A	31,872	47,424	812,224	484,800
2011-10-26	$1.35	$1.28	52.5%	15.0%	56.7%	34.3%	53.6%	17.5%	1.0%	1.7M	-36.3M	-222.7K	1.40	36.36	N/A	N/A	28,928	40,576	820,992	506,240
2011-10-27	$1.42	$1.28	44.5%	12.8%	58.3%	24.0%	43.9%	13.8%	2.7%	2.2M	-57.2M	-223.3K	0.46	37.57	N/A	N/A	118,592	54,336	837,760	529,920
2011-10-28	$1.43	$1.31	42.5%	12.2%	53.7%	21.3%	44.5%	11.4%	3.2%	2.4M	-59.1M	-224.0K	1.05	46.66	N/A	N/A	22,272	23,424	881,088	552,320
2011-10-31	$1.38	$1.31	50.0%	14.3%	50.8%	31.1%	48.1%	14.4%	0.6%	2.2M	-44.8M	-221.1K	0.45	45.22	N/A	N/A	70,592	32,000	888,576	558,848