QLD Options History — May 2012 In May 2012, QLD traded between $1.50 and $1.82. ATM implied volatility averaged 39.6%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 4.3% (HV 20d: 35.3%). Max pain ranged from $1.56 to $1.78. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.55.
Notable Days 2012-05-18 : Highest Volume — 214,080 contracts2012-05-04 : Largest IV spike — 16.9% change2012-05-18 : Highest IV Rank — 30.0%2012-05-18 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $1.64 $1.50 $1.82 $1.82 $1.56 Max Pain $1.65 $1.56 $1.78 $1.78 $1.56 ATM IV 39.6% 29.4% 48.4% 30.1% 43.6% Expected Move 11.3% 8.4% 13.9% 8.6% 12.5% HV 20d 35.3% 30.7% 39.8% 35.8% 34.4% HV 60d 30.0% 27.1% 32.3% 27.1% 32.0% IV Rank 18.8% 5.7% 30.0% 6.5% 23.9% IV Percentile 51.9% 15.5% 66.3% 19.4% 59.5% Term Structure 1.3% -3.3% 5.2% 2.3% 1.4% VWIV 39.2% 29.6% 47.1% 29.6% 44.7% Skew 25d 10.5% 7.1% 12.7% 7.1% 11.3% Skew 10d 19.9% 11.6% 25.1% 13.6% 18.7% Call IV 25d 34.9% 26.7% 42.6% 26.9% 38.4% Put IV 25d 45.4% 34.0% 55.1% 34.0% 49.7% Bid-Ask Spread % 43.06 21.89 72.18 60.31 21.89 Gamma HHI 0.11 0.05 0.16 0.16 0.12 Net GEX 1.7M -686.0K 6.5M 6.3M 1.2M Net DEX -4.0M -66.4M 35.9M -62.0M -7.3M Net VEX -166.0K -246.7K -90.4K -245.1K -154.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.04 1.97 0.68 1.03 Total Volume 83,022.545 12,320 214,080 67,712 17,920 Total OI 1,352,395.636 738,528 1,810,144 1,476,928 958,848
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 2012-05-01 $1.82 $1.78 30.1% 8.6% 35.8% 6.5% 29.6% 7.1% 2.3% 6.3M -62.0M -245.1K 0.68 60.31 N/A N/A 40,320 27,392 994,240 482,688 2012-05-02 $1.82 $1.78 29.4% 8.4% 35.9% 5.7% 30.3% 7.5% 2.4% 6.5M -66.4M -246.7K 0.31 60.24 N/A N/A 64,320 19,776 1,013,760 504,192 2012-05-03 $1.79 $1.78 31.4% 9.0% 35.3% 8.2% 30.3% 7.9% 1.9% 6.2M -45.2M -243.9K 0.40 56.38 N/A N/A 25,600 10,304 1,064,640 510,912 2012-05-04 $1.70 $1.72 36.7% 10.5% 39.0% 15.0% 34.0% 10.5% 0.1% 2.5M -2.4M -193.1K 0.18 34.41 N/A N/A 173,504 31,744 1,074,240 515,712 2012-05-07 $1.70 $1.70 38.0% 10.6% 38.9% 16.6% 36.0% 10.0% 0.8% 2.6M -2.6M -179.1K 0.48 30.47 N/A N/A 49,664 23,936 1,093,632 515,776 2012-05-08 $1.69 $1.70 38.1% 10.7% 37.3% 16.9% 38.7% 10.2% 2.1% 2.0M 3.2M -170.9K 0.31 31.34 N/A N/A 96,192 29,632 1,105,856 530,496 2012-05-09 $1.68 $1.67 39.6% 11.0% 37.0% 18.7% 41.4% 10.6% -3.3% 1.9M 4.6M -169.4K 0.71 27.92 N/A N/A 58,496 41,280 1,125,760 537,856 2012-05-10 $1.67 $1.66 38.1% 10.9% 35.8% 16.8% 39.6% 10.3% 5.2% 1.3M 9.0M -161.7K 0.66 31.07 N/A N/A 24,448 16,064 1,144,960 551,936 2012-05-11 $1.67 $1.66 39.4% 11.3% 34.6% 18.4% 40.3% 10.1% 0.3% 601.8K 8.3M -90.4K 0.79 72.18 N/A N/A 68,064 53,472 577,792 303,936 2012-05-14 $1.64 $1.67 41.7% 11.9% 34.4% 21.4% 41.9% 11.6% 0.4% 61.3K 19.3M -152.4K 0.47 50.02 N/A N/A 36,800 17,120 1,197,920 587,200 2012-05-15 $1.63 $1.67 42.4% 12.2% 30.7% 22.4% 41.2% 10.9% 0.9% -226.1K 22.1M -149.3K 0.75 47.73 N/A N/A 22,976 17,216 1,203,392 590,400 2012-05-16 $1.61 $1.67 42.6% 12.2% 30.9% 22.6% 46.3% 11.0% 0.4% -686.0K 25.7M -141.7K 1.97 59.37 N/A N/A 25,184 49,728 1,206,336 577,184 2012-05-17 $1.54 $1.66 47.3% 13.6% 33.2% 28.6% 45.1% 12.7% -0.6% -665.9K 35.9M -131.5K 0.51 42.04 N/A N/A 66,112 33,888 1,213,408 590,656 2012-05-18 $1.50 $1.64 48.4% 13.9% 33.9% 30.0% 47.1% 12.5% -0.3% -108.5K 34.7M -125.1K 1.15 40.23 N/A N/A 99,712 114,368 1,254,976 555,168 2012-05-21 $1.58 $1.56 41.6% 11.9% 39.8% 21.3% 40.2% 11.6% 0.6% 423.9K -5.4M -143.7K 0.31 29.54 N/A N/A 117,440 36,928 436,608 301,920 2012-05-22 $1.58 $1.56 41.5% 11.9% 39.7% 21.2% 39.1% 11.5% 1.4% 851.6K -9.2M -157.1K 0.04 39.61 N/A N/A 154,368 6,528 517,824 311,744 2012-05-23 $1.59 $1.56 40.7% 11.7% 34.1% 20.1% 39.8% 10.9% 1.6% 1.2M -11.3M -162.6K 0.33 24.42 N/A N/A 37,408 12,416 576,000 315,648 2012-05-24 $1.56 $1.56 41.4% 11.9% 33.5% 21.1% 41.0% 11.2% 2.2% 1.1M -8.7M -159.9K 0.48 33.09 N/A N/A 20,288 9,728 591,584 322,464 2012-05-25 $1.56 $1.56 39.5% 11.3% 32.8% 18.7% 37.3% 10.5% 2.9% 1.1M -7.0M -160.0K 0.14 68.82 N/A N/A 10,784 1,536 593,440 329,472 2012-05-29 $1.60 $1.56 38.2% 10.9% 34.7% 16.9% 37.9% 10.9% 3.0% 1.5M -13.4M -157.9K 0.25 41.68 N/A N/A 24,160 5,952 600,608 330,144 2012-05-30 $1.57 $1.56 41.9% 12.0% 34.7% 21.7% 41.0% 11.4% 2.2% 1.3M -9.2M -156.0K 0.09 44.46 N/A N/A 31,008 2,720 608,128 333,248 2012-05-31 $1.56 $1.56 43.6% 12.5% 34.4% 23.9% 44.7% 11.3% 1.4% 1.2M -7.3M -154.1K 1.03 21.89 N/A N/A 8,832 9,088 625,024 333,824
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