QLD Options History — June 2012

In June 2012, QLD traded between $1.47 and $1.68. ATM implied volatility averaged 37.9%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 3.0% (HV 20d: 40.9%). Max pain ranged from $1.56 to $1.59. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.65.

Notable Days

2012-06-18: Highest Volume — 318,720 contracts
2012-06-11: Largest IV spike — 29.9% change
2012-06-01: Highest IV Rank — 32.6%
2012-06-01: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.58	$1.47	$1.68	$1.47	$1.66
Max Pain	$1.58	$1.56	$1.59	$1.56	$1.59
ATM IV	37.9%	30.5%	50.4%	50.4%	30.5%
Expected Move	11.3%	8.7%	14.4%	14.4%	8.7%
HV 20d	40.9%	35.7%	44.1%	38.1%	43.6%
HV 60d	35.8%	33.5%	39.8%	33.7%	39.8%
IV Rank	16.5%	7.0%	32.6%	32.6%	7.0%
IV Percentile	41.5%	17.5%	69.4%	69.4%	17.5%
Term Structure	2.9%	-1.7%	10.3%	-0.3%	4.2%
VWIV	39.0%	30.9%	49.0%	49.0%	30.9%
Skew 25d	11.2%	7.9%	14.7%	11.9%	7.9%
Skew 10d	21.6%	14.2%	28.2%	22.4%	14.2%
Call IV 25d	34.2%	26.6%	44.9%	44.9%	26.6%
Put IV 25d	45.3%	34.5%	56.9%	56.9%	34.5%
Bid-Ask Spread %	47.08	24.84	70.50	30.30	39.09
Gamma HHI	0.14	0.05	0.29	0.07	0.12
Net GEX	1.5M	272.8K	3.1M	473.1K	1.7M
Net DEX	-10.6M	-31.2M	5.2M	5.2M	-23.2M
Net VEX	-150.7K	-184.0K	-118.7K	-132.9K	-178.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.04	2.78	0.77	0.27
Total Volume	66,901.333	14,944	318,720	61,632	58,624
Total OI	1,047,722.667	613,280	1,165,664	967,552	1,119,488

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
2012-06-01	$1.47	$1.56	50.4%	14.4%	38.1%	32.6%	49.0%	11.9%	-0.3%	473.1K	5.2M	-132.9K	0.77	30.30	N/A	N/A	34,784	26,848	627,648	339,904
2012-06-04	$1.50	$1.56	48.7%	13.9%	35.7%	30.5%	43.4%	14.7%	0.7%	566.7K	3.4M	-131.7K	0.35	57.58	N/A	N/A	25,120	8,736	632,000	348,288
2012-06-05	$1.51	$1.56	43.8%	13.2%	36.0%	24.2%	46.3%	13.3%	1.4%	637.8K	2.1M	-135.1K	0.04	56.70	N/A	N/A	127,232	4,576	641,920	350,368
2012-06-06	$1.58	$1.56	38.7%	12.1%	40.4%	17.7%	42.6%	12.8%	5.0%	2.4M	-18.1M	-151.3K	0.20	56.58	N/A	N/A	44,128	8,704	736,000	350,880
2012-06-07	$1.57	$1.56	37.5%	12.1%	40.4%	16.0%	42.3%	12.7%	6.0%	2.4M	-14.7M	-146.6K	0.17	60.65	N/A	N/A	27,136	4,672	748,640	354,880
2012-06-08	$1.60	$1.56	33.5%	11.5%	41.2%	10.9%	39.1%	11.3%	5.4%	3.1M	-22.9M	-146.1K	0.36	38.71	N/A	N/A	19,552	7,136	755,040	356,544
2012-06-11	$1.55	$1.56	43.4%	12.9%	42.6%	23.7%	43.0%	13.5%	1.9%	2.1M	-7.6M	-132.3K	0.71	37.61	N/A	N/A	16,736	11,936	763,296	360,000
2012-06-12	$1.58	$1.56	36.3%	12.2%	43.1%	14.5%	44.0%	12.7%	-0.3%	2.9M	-15.8M	-132.6K	0.27	54.78	N/A	N/A	20,480	5,536	764,352	365,984
2012-06-13	$1.56	$1.56	38.4%	12.8%	43.2%	17.2%	45.6%	13.7%	4.5%	2.6M	-9.3M	-129.1K	2.04	51.92	N/A	N/A	8,640	17,632	773,280	366,496
2012-06-14	$1.57	$1.56	44.0%	12.6%	43.2%	24.4%	42.7%	13.3%	0.6%	3.1M	-13.3M	-125.3K	0.57	29.01	N/A	N/A	30,784	17,408	776,768	373,184
2012-06-15	$1.61	$1.56	39.1%	11.2%	41.0%	18.1%	39.0%	12.2%	-1.7%	1.6M	-31.2M	-119.2K	0.46	61.33	N/A	N/A	50,144	22,816	788,640	377,024
2012-06-18	$1.64	$1.56	33.9%	9.7%	40.0%	11.4%	32.8%	10.6%	2.4%	551.5K	-10.1M	-118.7K	0.32	70.50	N/A	N/A	241,088	77,632	355,616	257,664
2012-06-19	$1.67	$1.58	31.7%	9.1%	36.4%	8.7%	32.2%	10.2%	3.5%	1.8M	-26.1M	-167.3K	0.96	67.87	N/A	N/A	75,040	72,224	561,376	317,440
2012-06-20	$1.68	$1.59	31.3%	9.0%	36.4%	8.1%	33.2%	9.1%	10.3%	1.9M	-26.1M	-181.5K	1.12	54.16	N/A	N/A	23,328	26,208	608,992	370,976
2012-06-21	$1.59	$1.59	36.4%	10.4%	41.3%	14.7%	37.2%	10.4%	2.6%	1.1M	-6.8M	-170.0K	2.78	66.53	N/A	N/A	32,864	91,232	618,016	381,376
2012-06-22	$1.62	$1.59	32.4%	9.3%	41.6%	9.5%	33.0%	8.4%	3.1%	1.1M	-11.0M	-184.0K	0.49	24.84	N/A	N/A	19,712	9,568	621,184	436,352
2012-06-25	$1.56	$1.59	36.6%	10.5%	44.1%	14.9%	36.0%	9.1%	2.8%	368.0K	4.4M	-164.5K	0.57	25.06	N/A	N/A	38,016	21,568	629,184	441,952
2012-06-26	$1.58	$1.59	36.4%	10.4%	43.4%	14.6%	36.3%	8.8%	1.9%	608.6K	-446.9K	-174.4K	0.23	36.79	N/A	N/A	12,192	2,752	645,952	458,048
2012-06-27	$1.60	$1.59	35.6%	10.2%	43.2%	13.6%	34.8%	9.0%	3.0%	868.5K	-5.7M	-176.7K	0.91	33.79	N/A	N/A	16,928	15,456	651,456	459,200
2012-06-28	$1.57	$1.59	36.9%	10.6%	43.8%	15.3%	36.4%	9.1%	3.2%	272.8K	5.2M	-166.3K	0.14	34.85	N/A	N/A	26,080	3,680	645,728	471,040
2012-06-29	$1.66	$1.59	30.5%	8.7%	43.6%	7.0%	30.9%	7.9%	4.2%	1.7M	-23.2M	-178.5K	0.27	39.09	N/A	N/A	46,048	12,576	646,912	472,576