QLD Options History — March 2012

In March 2012, QLD traded between $1.64 and $1.90. ATM implied volatility averaged 28.2%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.9% (HV 20d: 22.3%). Max pain ranged from $1.53 to $1.70. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.11.

Notable Days

2012-03-14: Highest Volume — 481,984 contracts
2012-03-09: Largest IV drop — 13.3% change
2012-03-06: Highest IV Rank — 9.3%
2012-03-06: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.79	$1.64	$1.90	$1.71	$1.86
Max Pain	$1.63	$1.53	$1.70	$1.63	$1.70
ATM IV	28.2%	25.0%	33.5%	27.9%	28.0%
Expected Move	8.5%	7.5%	10.1%	8.0%	8.0%
HV 20d	22.3%	19.7%	24.3%	19.7%	23.5%
HV 60d	23.3%	19.6%	27.6%	27.0%	19.7%
IV Rank	3.7%	0.0%	9.3%	2.0%	3.8%
IV Percentile	8.4%	0.0%	32.9%	4.4%	8.7%
Term Structure	4.4%	2.4%	7.5%	4.0%	3.1%
VWIV	30.6%	27.6%	34.7%	30.3%	28.3%
Skew 25d	8.1%	5.9%	11.5%	6.6%	7.1%
Skew 10d	17.4%	13.7%	25.7%	14.9%	14.7%
Call IV 25d	26.2%	23.7%	30.0%	25.7%	24.8%
Put IV 25d	34.2%	30.0%	41.5%	32.2%	32.0%
Bid-Ask Spread %	49.13	22.59	72.28	71.09	22.96
Gamma HHI	0.15	0.08	0.27	0.08	0.16
Net GEX	2.7M	866.8K	5.6M	918.4K	3.6M
Net DEX	-77.8M	-130.9M	-26.1M	-48.8M	-80.1M
Net VEX	-213.8K	-244.9K	-177.3K	-201.8K	-239.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.13	4.40	1.46	0.88
Total Volume	146,213.818	41,216	481,984	75,904	168,192
Total OI	1,381,800.727	996,992	2,069,440	1,153,280	1,336,448

Daily Data (22 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
2012-03-01	$1.71	$1.63	27.9%	8.0%	19.7%	2.0%	30.3%	6.6%	4.0%	918.4K	-48.8M	-201.8K	1.46	71.09	N/A	N/A	30,912	44,992	599,616	553,664
2012-03-02	$1.71	$1.63	26.8%	7.7%	19.8%	0.5%	27.6%	5.9%	4.4%	964.6K	-49.2M	-202.0K	0.67	72.28	N/A	N/A	61,952	41,408	615,360	577,152
2012-03-05	$1.68	$1.53	29.9%	9.6%	20.2%	4.5%	33.1%	10.2%	4.6%	1.1M	-37.8M	-207.9K	1.32	38.86	N/A	N/A	46,592	61,312	656,704	593,408
2012-03-06	$1.64	$1.53	33.5%	10.1%	21.9%	9.3%	34.7%	11.5%	4.8%	866.8K	-26.1M	-210.6K	1.17	41.07	N/A	N/A	90,944	106,816	676,736	594,048
2012-03-07	$1.67	$1.53	30.1%	9.6%	22.3%	4.9%	32.4%	10.7%	5.5%	1.6M	-38.6M	-209.2K	0.13	32.02	N/A	N/A	209,472	27,072	704,448	613,952
2012-03-08	$1.70	$1.56	28.8%	9.2%	23.2%	3.2%	32.5%	10.2%	6.1%	4.6M	-72.9M	-221.7K	1.45	26.69	N/A	N/A	43,520	62,976	891,200	627,392
2012-03-09	$1.72	$1.56	25.0%	8.8%	22.9%	0.0%	31.9%	9.4%	6.4%	4.9M	-82.1M	-217.4K	1.17	41.43	N/A	N/A	42,624	49,664	908,224	663,616
2012-03-12	$1.72	$1.58	26.0%	8.8%	21.9%	1.3%	33.0%	9.8%	6.2%	5.6M	-84.9M	-202.3K	0.95	45.42	N/A	N/A	32,128	30,464	917,696	679,872
2012-03-13	$1.78	$1.58	26.6%	8.4%	24.3%	2.1%	30.9%	8.7%	6.7%	2.8M	-120.8M	-179.4K	0.86	49.21	N/A	N/A	92,736	79,360	925,824	695,552
2012-03-14	$1.80	$1.58	27.9%	9.0%	24.3%	3.7%	31.8%	9.2%	5.7%	3.1M	-123.3M	-183.7K	4.40	51.92	N/A	N/A	89,216	392,768	945,280	714,624
2012-03-15	$1.81	$1.59	30.0%	8.6%	23.2%	6.4%	31.4%	8.4%	6.3%	1.8M	-130.9M	-177.3K	0.57	51.56	N/A	N/A	119,296	68,224	968,512	1,067,712
2012-03-16	$1.80	$1.63	29.6%	8.5%	21.9%	5.9%	29.3%	8.0%	7.5%	1.8M	-124.6M	-181.9K	0.30	53.95	N/A	N/A	271,104	81,024	966,208	1,103,232
2012-03-19	$1.83	$1.64	28.8%	8.2%	21.8%	4.9%	29.8%	7.0%	3.5%	2.0M	-63.9M	-205.0K	0.76	51.11	N/A	N/A	82,240	62,400	622,208	374,784
2012-03-20	$1.84	$1.66	27.6%	7.9%	21.8%	3.4%	28.1%	7.1%	3.6%	2.2M	-65.6M	-218.2K	0.21	22.59	N/A	N/A	106,816	22,528	660,352	413,184
2012-03-21	$1.84	$1.67	27.1%	7.8%	21.3%	2.7%	28.4%	7.0%	3.2%	3.0M	-71.1M	-235.1K	0.88	59.24	N/A	N/A	58,176	51,072	738,368	424,832
2012-03-22	$1.83	$1.69	28.8%	8.3%	21.4%	4.9%	30.7%	7.4%	2.7%	3.0M	-68.8M	-244.9K	1.06	48.75	N/A	N/A	42,240	44,608	767,936	452,544
2012-03-23	$1.83	$1.69	28.1%	8.0%	21.5%	3.9%	30.4%	6.9%	2.6%	3.1M	-68.9M	-244.4K	1.91	61.15	N/A	N/A	14,144	27,072	774,400	460,160
2012-03-26	$1.89	$1.69	26.1%	7.5%	23.8%	1.4%	28.1%	6.3%	2.4%	3.3M	-92.0M	-220.1K	0.72	63.09	N/A	N/A	53,440	38,336	777,088	462,720
2012-03-27	$1.90	$1.70	27.9%	8.0%	23.3%	3.7%	30.7%	6.8%	2.4%	3.2M	-92.4M	-228.0K	1.07	61.00	N/A	N/A	49,216	52,480	788,608	476,736
2012-03-28	$1.88	$1.70	28.6%	8.2%	23.3%	4.6%	29.9%	7.0%	2.7%	3.2M	-86.2M	-235.7K	0.88	59.95	N/A	N/A	46,912	41,088	792,320	502,080
2012-03-29	$1.87	$1.70	27.5%	7.9%	23.4%	3.3%	30.3%	6.6%	2.9%	3.4M	-82.5M	-236.5K	1.66	55.54	N/A	N/A	29,760	49,408	802,048	512,768
2012-03-30	$1.86	$1.70	28.0%	8.0%	23.5%	3.8%	28.3%	7.1%	3.1%	3.6M	-80.1M	-239.8K	0.88	22.96	N/A	N/A	89,600	78,592	818,560	517,888