QLD Options History — August 2012

In August 2012, QLD traded between $1.67 and $1.89. ATM implied volatility averaged 26.8%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.6% (HV 20d: 27.4%). Max pain ranged from $1.63 to $1.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.73.

Notable Days

2012-08-16: Highest Volume — 628,832 contracts
2012-08-03: Largest IV drop — 13.8% change
2012-08-01: Highest IV Rank — 11.6%
2012-08-01: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.82	$1.67	$1.89	$1.68	$1.87
Max Pain	$1.69	$1.63	$1.75	$1.63	$1.75
ATM IV	26.8%	22.2%	34.0%	34.0%	27.4%
Expected Move	8.2%	7.2%	9.8%	9.8%	7.9%
HV 20d	27.4%	16.5%	35.0%	33.5%	16.5%
HV 60d	36.2%	32.4%	39.0%	38.1%	32.4%
IV Rank	5.2%	0.0%	11.6%	11.6%	7.1%
IV Percentile	7.8%	0.0%	32.1%	32.1%	8.3%
Term Structure	3.9%	1.2%	6.0%	1.2%	4.9%
VWIV	29.3%	24.9%	34.4%	34.4%	27.5%
Skew 25d	6.6%	4.9%	7.7%	7.2%	7.2%
Skew 10d	13.4%	9.7%	17.0%	14.0%	13.2%
Call IV 25d	25.5%	22.3%	31.6%	31.6%	24.8%
Put IV 25d	32.1%	28.4%	38.8%	38.8%	32.0%
Bid-Ask Spread %	29.25	14.57	81.33	81.33	26.45
Gamma HHI	0.23	0.17	0.34	0.18	0.17
Net GEX	4.0M	1.7M	6.6M	3.4M	3.1M
Net DEX	-72.4M	-141.7M	-28.3M	-33.5M	-60.8M
Net VEX	-159.4K	-186.4K	-111.3K	-164.4K	-179.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.13	2.83	0.46	0.48
Total Volume	65,985.391	6,496	628,832	23,168	37,120
Total OI	1,010,217.739	782,336	1,383,008	969,280	960,512

Daily Data (23 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
2012-08-01	$1.68	$1.63	34.0%	9.8%	33.5%	11.6%	34.4%	7.2%	1.2%	3.4M	-33.5M	-164.4K	0.46	81.33	N/A	N/A	15,872	7,296	682,752	286,528
2012-08-02	$1.67	$1.63	32.3%	9.3%	33.6%	9.4%	32.5%	6.1%	2.9%	3.5M	-28.3M	-156.2K	0.69	26.01	N/A	N/A	17,216	11,808	687,872	290,432
2012-08-03	$1.73	$1.63	27.8%	8.0%	34.7%	3.7%	27.6%	4.9%	4.4%	5.0M	-50.9M	-163.7K	0.27	20.87	N/A	N/A	46,048	12,608	690,176	295,456
2012-08-06	$1.76	$1.63	28.0%	8.9%	35.0%	3.9%	31.8%	7.7%	3.6%	5.7M	-63.6M	-154.9K	0.94	25.45	N/A	N/A	48,640	45,568	712,032	296,320
2012-08-07	$1.79	$1.66	27.5%	8.9%	34.2%	3.3%	31.7%	7.2%	1.7%	5.5M	-77.3M	-155.4K	0.58	22.02	N/A	N/A	45,056	26,304	743,872	333,536
2012-08-08	$1.79	$1.66	25.7%	8.7%	33.7%	1.0%	33.4%	7.4%	2.7%	6.1M	-78.3M	-154.6K	1.22	22.29	N/A	N/A	13,216	16,064	767,264	343,328
2012-08-09	$1.80	$1.66	22.8%	8.3%	32.6%	0.0%	31.3%	6.8%	3.4%	6.3M	-84.5M	-150.3K	0.88	22.43	N/A	N/A	17,472	15,328	774,592	353,408
2012-08-10	$1.80	$1.66	22.2%	8.4%	31.6%	0.0%	30.0%	6.5%	4.2%	6.3M	-88.7M	-142.7K	0.73	63.45	N/A	N/A	15,744	11,552	778,528	358,304
2012-08-13	$1.81	$1.66	24.5%	8.1%	31.3%	3.1%	32.0%	6.5%	3.9%	6.6M	-95.5M	-126.3K	0.86	25.55	N/A	N/A	10,656	9,216	784,256	360,064
2012-08-14	$1.81	$1.66	24.0%	8.1%	31.3%	2.5%	28.9%	6.5%	3.2%	6.6M	-99.5M	-118.9K	0.35	43.96	N/A	N/A	34,592	11,968	785,504	366,240
2012-08-15	$1.82	$1.66	23.1%	8.1%	30.3%	1.3%	30.5%	6.8%	3.9%	5.7M	-103.7M	-122.1K	0.62	38.02	N/A	N/A	13,120	8,192	794,528	371,872
2012-08-16	$1.86	$1.69	26.1%	7.5%	30.4%	5.4%	28.9%	5.8%	6.0%	1.7M	-118.5M	-111.3K	0.13	16.76	N/A	N/A	554,496	74,336	787,072	374,624
2012-08-17	$1.88	$1.72	25.0%	7.2%	28.3%	3.8%	24.9%	6.1%	5.2%	2.0M	-141.7M	-157.3K	0.26	19.22	N/A	N/A	67,168	17,472	965,696	417,312
2012-08-20	$1.89	$1.72	25.4%	7.3%	26.0%	4.4%	25.7%	6.1%	4.0%	2.4M	-60.6M	-164.6K	0.94	37.33	N/A	N/A	22,656	21,216	541,568	240,768
2012-08-21	$1.87	$1.75	25.6%	7.3%	25.0%	4.7%	25.9%	6.0%	4.8%	2.4M	-56.9M	-168.9K	1.10	18.21	N/A	N/A	23,968	26,464	552,352	256,416
2012-08-22	$1.88	$1.75	26.5%	7.6%	23.6%	5.8%	27.9%	6.2%	4.0%	2.3M	-59.7M	-175.7K	0.67	32.42	N/A	N/A	20,832	13,952	566,400	269,888
2012-08-23	$1.85	$1.75	27.8%	8.0%	24.4%	7.7%	26.4%	6.7%	3.6%	2.5M	-54.1M	-183.1K	0.34	17.79	N/A	N/A	43,872	15,072	575,744	274,464
2012-08-24	$1.88	$1.75	26.8%	7.7%	18.7%	6.3%	26.9%	6.6%	4.6%	2.7M	-61.0M	-182.7K	0.48	43.51	N/A	N/A	15,936	7,584	604,704	281,920
2012-08-27	$1.88	$1.75	27.8%	8.0%	18.5%	7.7%	27.7%	6.7%	4.3%	2.7M	-62.6M	-179.6K	0.32	18.67	N/A	N/A	43,616	13,984	609,824	285,440
2012-08-28	$1.88	$1.75	28.0%	8.0%	18.4%	7.9%	27.3%	6.9%	4.0%	3.0M	-64.8M	-183.1K	0.38	19.20	N/A	N/A	4,704	1,792	641,696	291,936
2012-08-29	$1.88	$1.75	28.3%	8.1%	18.1%	8.3%	27.7%	6.6%	4.5%	3.0M	-65.2M	-183.3K	1.37	17.30	N/A	N/A	3,744	5,120	644,672	292,512
2012-08-30	$1.84	$1.75	30.1%	8.6%	19.9%	10.8%	32.5%	7.5%	4.2%	3.0M	-54.7M	-186.4K	2.83	14.57	N/A	N/A	7,584	21,440	646,432	296,192
2012-08-31	$1.87	$1.75	27.4%	7.9%	16.5%	7.1%	27.5%	7.2%	4.9%	3.1M	-60.8M	-179.9K	0.48	26.45	N/A	N/A	25,088	12,032	648,384	312,128