QLD Options History — December 2011

In December 2011, QLD traded between $1.21 and $1.33. ATM implied volatility averaged 44.2%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 7.1% (HV 20d: 51.4%). Max pain ranged from $1.25 to $1.27. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2011-12-16: Highest Volume — 353,920 contracts
2011-12-09: Largest IV drop — 20.9% change
2011-12-08: Highest IV Rank — 39.1%
2011-12-08: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.28	$1.21	$1.33	$1.31	$1.27
Max Pain	$1.26	$1.25	$1.27	$1.25	$1.25
ATM IV	44.2%	36.3%	56.1%	46.7%	38.1%
Expected Move	12.7%	10.4%	15.3%	13.4%	10.9%
HV 20d	51.4%	37.3%	59.6%	59.6%	37.3%
HV 60d	53.9%	50.1%	55.5%	55.5%	50.1%
IV Rank	23.6%	13.2%	39.1%	26.7%	15.7%
IV Percentile	59.7%	43.7%	79.8%	66.3%	48.4%
Term Structure	4.6%	0.2%	9.8%	2.1%	4.7%
VWIV	43.8%	35.4%	57.3%	46.2%	36.9%
Skew 25d	12.1%	8.7%	15.6%	10.8%	9.0%
Skew 10d	23.8%	17.3%	29.5%	20.0%	18.3%
Call IV 25d	38.7%	32.2%	45.7%	42.5%	33.4%
Put IV 25d	50.8%	41.2%	61.3%	53.3%	42.5%
Bid-Ask Spread %	46.63	10.98	62.75	56.99	10.98
Gamma HHI	0.13	0.07	0.23	0.09	0.14
Net GEX	3.0M	312.2K	5.1M	2.7M	3.7M
Net DEX	-34.1M	-62.3M	3.9M	-47.0M	-39.9M
Net VEX	-185.2K	-212.8K	-128.8K	-209.2K	-198.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.03	1.57	0.50	0.26
Total Volume	113,804.19	20,096	353,920	93,504	20,096
Total OI	1,747,580.952	1,244,928	1,997,312	1,648,512	1,796,672

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
2011-12-01	$1.31	$1.25	46.7%	13.4%	59.6%	26.7%	46.2%	10.8%	2.1%	2.7M	-47.0M	-209.2K	0.50	56.99	N/A	N/A	62,528	30,976	1,001,344	647,168
2011-12-02	$1.30	$1.25	48.8%	14.0%	57.5%	29.6%	46.7%	11.6%	0.2%	2.8M	-45.4M	-212.8K	0.28	55.17	N/A	N/A	101,248	28,480	1,041,344	660,480
2011-12-05	$1.33	$1.27	49.5%	14.0%	58.2%	30.5%	46.6%	14.4%	3.4%	3.3M	-59.7M	-207.8K	0.50	41.69	N/A	N/A	59,584	29,888	1,102,336	679,552
2011-12-06	$1.33	$1.27	49.2%	14.1%	57.9%	30.0%	50.3%	14.3%	3.3%	3.5M	-58.4M	-208.9K	0.22	38.74	N/A	N/A	84,608	18,624	1,127,296	683,136
2011-12-07	$1.33	$1.27	50.9%	14.5%	57.2%	32.3%	55.4%	13.8%	3.7%	3.8M	-60.4M	-208.9K	0.34	36.37	N/A	N/A	83,840	28,224	1,173,824	689,408
2011-12-08	$1.28	$1.27	56.1%	15.3%	52.7%	39.1%	57.3%	15.6%	1.5%	3.5M	-39.5M	-206.2K	0.62	44.81	N/A	N/A	39,360	24,576	1,214,912	697,472
2011-12-09	$1.32	$1.27	44.4%	13.3%	53.9%	23.7%	44.6%	12.9%	4.7%	4.9M	-62.3M	-197.0K	0.38	48.79	N/A	N/A	47,808	18,368	1,237,376	703,488
2011-12-12	$1.29	$1.27	45.7%	13.2%	52.7%	25.5%	47.2%	13.2%	5.3%	5.1M	-42.4M	-172.4K	0.43	48.92	N/A	N/A	89,280	38,784	1,244,416	700,352
2011-12-13	$1.26	$1.27	46.8%	13.5%	53.1%	27.0%	47.3%	14.7%	5.1%	4.2M	-23.6M	-163.7K	0.72	48.53	N/A	N/A	53,440	38,464	1,250,816	705,024
2011-12-14	$1.23	$1.25	48.8%	14.0%	53.1%	29.5%	49.1%	14.7%	9.8%	2.6M	-2.4M	-146.4K	0.66	44.71	N/A	N/A	53,504	35,520	1,256,448	698,560
2011-12-15	$1.22	$1.25	46.5%	13.3%	52.0%	26.5%	43.8%	14.2%	9.4%	1.8M	3.9M	-136.5K	0.65	48.24	N/A	N/A	44,480	29,056	1,269,504	709,760
2011-12-16	$1.23	$1.25	44.6%	12.8%	49.9%	24.1%	43.0%	13.2%	5.4%	312.2K	3.8M	-128.8K	0.15	47.76	N/A	N/A	306,560	47,360	1,283,456	713,856
2011-12-19	$1.21	$1.25	45.2%	13.0%	49.9%	24.9%	42.3%	13.1%	3.7%	985.9K	-8.3M	-153.1K	0.29	51.80	N/A	N/A	80,960	23,424	709,760	535,168
2011-12-20	$1.28	$1.25	39.7%	11.4%	52.1%	17.7%	38.9%	11.2%	4.0%	1.6M	-26.6M	-166.4K	0.12	51.52	N/A	N/A	195,648	23,232	749,632	551,296
2011-12-21	$1.24	$1.25	40.3%	11.5%	53.3%	18.4%	39.3%	10.2%	4.9%	2.0M	-21.6M	-179.6K	1.57	48.39	N/A	N/A	24,896	39,104	892,224	563,072
2011-12-22	$1.26	$1.25	38.8%	11.1%	50.5%	16.5%	36.6%	9.7%	4.4%	2.1M	-26.4M	-184.0K	0.96	54.94	N/A	N/A	146,560	140,288	892,544	592,768
2011-12-23	$1.28	$1.25	36.3%	10.4%	50.2%	13.2%	35.4%	9.0%	6.2%	2.8M	-36.3M	-202.3K	0.03	62.09	N/A	N/A	175,488	5,760	989,056	624,960
2011-12-27	$1.29	$1.25	36.7%	10.5%	44.8%	13.8%	37.5%	8.7%	4.9%	3.6M	-47.6M	-204.8K	0.61	62.75	N/A	N/A	35,328	21,376	1,124,992	628,800
2011-12-28	$1.26	$1.25	39.2%	11.2%	45.4%	17.1%	38.4%	10.4%	5.2%	3.3M	-34.5M	-200.3K	0.37	62.58	N/A	N/A	24,576	9,152	1,137,216	634,368
2011-12-29	$1.28	$1.25	36.8%	10.5%	37.7%	13.9%	36.1%	8.8%	5.5%	3.8M	-42.3M	-201.2K	0.18	13.40	N/A	N/A	24,896	4,544	1,145,728	639,616
2011-12-30	$1.27	$1.25	38.1%	10.9%	37.3%	15.7%	36.9%	9.0%	4.7%	3.7M	-39.9M	-198.2K	0.26	10.98	N/A	N/A	15,936	4,160	1,156,352	640,320