QLD Options History — December 2012

In December 2012, QLD traded between $1.65 and $1.78. ATM implied volatility averaged 34.3%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.9% (HV 20d: 27.4%). Max pain ranged from $1.59 to $1.72. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2012-12-19: Highest Volume — 173,216 contracts
2012-12-13: Largest IV spike — 19.6% change
2012-12-28: Highest IV Rank — 71.0%
2012-12-28: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.72	$1.65	$1.78	$1.73	$1.71
Max Pain	$1.65	$1.59	$1.72	$1.59	$1.69
ATM IV	34.3%	29.6%	42.2%	31.6%	37.3%
Expected Move	10.0%	9.0%	12.1%	9.1%	10.7%
HV 20d	27.4%	24.8%	33.4%	33.0%	29.3%
HV 60d	29.8%	29.0%	31.0%	30.6%	31.0%
IV Rank	41.1%	22.6%	71.0%	27.9%	53.4%
IV Percentile	63.4%	32.9%	96.0%	47.2%	82.5%
Term Structure	1.4%	-0.8%	3.2%	0.7%	-0.3%
VWIV	35.4%	31.7%	42.5%	32.7%	38.2%
Skew 25d	7.3%	5.9%	9.4%	6.2%	8.0%
Skew 10d	14.7%	11.7%	20.1%	11.7%	17.9%
Call IV 25d	31.8%	28.4%	37.8%	28.4%	34.1%
Put IV 25d	39.1%	34.7%	47.2%	34.7%	42.1%
Bid-Ask Spread %	27.27	9.48	72.85	16.10	9.48
Gamma HHI	0.18	0.07	0.59	0.17	0.08
Net GEX	2.4M	691.4K	6.3M	1.9M	1.3M
Net DEX	-26.4M	-52.5M	-4.2M	-30.6M	-16.4M
Net VEX	-104.1K	-115.2K	-92.7K	-114.4K	-106.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.15	2.53	0.79	0.30
Total Volume	55,864	17,408	173,216	26,496	83,648
Total OI	822,824	656,480	1,066,688	767,296	780,544

Daily Data (20 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
2012-12-03	$1.73	$1.59	31.6%	9.1%	33.0%	27.9%	32.7%	6.2%	0.7%	1.9M	-30.6M	-114.4K	0.79	16.10	N/A	N/A	14,816	11,680	494,560	272,736
2012-12-04	$1.73	$1.59	32.1%	9.2%	32.6%	29.4%	31.7%	6.3%	1.3%	1.8M	-28.8M	-115.2K	0.55	17.03	N/A	N/A	15,456	8,576	498,816	278,848
2012-12-05	$1.69	$1.59	32.7%	9.4%	33.4%	30.9%	32.5%	6.6%	1.8%	1.6M	-21.5M	-110.3K	0.29	19.86	N/A	N/A	41,856	12,288	502,304	277,792
2012-12-06	$1.71	$1.59	31.3%	9.0%	28.5%	26.8%	32.8%	5.9%	2.4%	1.9M	-26.7M	-111.7K	0.53	17.68	N/A	N/A	11,392	6,016	512,416	283,200
2012-12-07	$1.69	$1.64	31.3%	9.7%	26.5%	26.8%	32.0%	7.3%	3.2%	1.8M	-22.0M	-109.9K	0.35	19.27	N/A	N/A	28,992	10,112	514,592	286,976
2012-12-10	$1.70	$1.64	32.5%	9.9%	26.5%	30.5%	34.8%	6.6%	2.6%	2.0M	-25.0M	-105.4K	0.48	72.85	N/A	N/A	12,096	5,824	533,792	291,296
2012-12-11	$1.75	$1.64	29.9%	9.4%	27.7%	22.6%	34.4%	6.1%	1.2%	2.5M	-36.5M	-107.2K	0.76	28.65	N/A	N/A	27,808	21,088	536,128	295,808
2012-12-12	$1.74	$1.64	29.6%	9.6%	27.3%	26.3%	34.0%	6.9%	1.6%	2.5M	-33.7M	-104.9K	0.81	22.61	N/A	N/A	18,592	15,008	535,136	298,208
2012-12-13	$1.71	$1.64	35.4%	10.2%	26.1%	46.9%	33.7%	7.1%	1.0%	2.4M	-26.7M	-103.3K	0.46	20.12	N/A	N/A	21,920	10,048	543,776	302,240
2012-12-14	$1.68	$1.64	36.8%	10.5%	27.1%	51.8%	37.2%	7.5%	0.4%	1.9M	-18.5M	-97.1K	0.92	26.57	N/A	N/A	11,168	10,240	550,240	302,560
2012-12-17	$1.73	$1.64	35.2%	10.1%	28.2%	46.1%	35.5%	6.7%	1.8%	2.9M	-30.8M	-92.7K	0.41	23.27	N/A	N/A	34,688	14,048	549,920	306,336
2012-12-18	$1.78	$1.64	33.1%	9.5%	25.3%	38.6%	34.8%	6.4%	2.5%	3.3M	-46.0M	-93.9K	0.20	20.75	N/A	N/A	79,872	15,648	553,568	313,408
2012-12-19	$1.76	$1.66	34.7%	9.9%	25.7%	44.3%	34.2%	6.7%	1.3%	4.9M	-46.1M	-94.1K	0.15	20.91	N/A	N/A	150,944	22,272	603,008	318,912
2012-12-20	$1.76	$1.69	34.5%	9.9%	25.7%	43.5%	41.0%	7.1%	2.1%	6.3M	-52.5M	-111.9K	2.53	24.64	N/A	N/A	17,024	43,136	698,560	327,328
2012-12-21	$1.72	$1.69	35.4%	10.2%	25.1%	46.9%	36.3%	8.7%	1.8%	4.8M	-32.1M	-104.3K	0.21	70.39	N/A	N/A	111,168	22,880	703,744	362,944
2012-12-24	$1.72	$1.69	35.6%	10.2%	24.9%	47.5%	35.3%	8.6%	1.2%	1.0M	-14.0M	-97.1K	1.09	12.32	N/A	N/A	33,120	36,128	405,696	250,784
2012-12-26	$1.69	$1.72	37.2%	10.7%	25.6%	53.1%	37.1%	9.3%	1.1%	878.8K	-8.5M	-101.0K	0.58	53.43	N/A	N/A	22,048	12,736	430,112	279,200
2012-12-27	$1.68	$1.72	38.2%	11.0%	24.8%	56.8%	36.9%	8.4%	0.6%	872.3K	-7.9M	-101.2K	0.24	18.02	N/A	N/A	31,104	7,488	440,672	286,144
2012-12-28	$1.65	$1.72	42.2%	12.1%	25.1%	71.0%	42.5%	9.4%	-0.8%	691.4K	-4.2M	-99.1K	0.38	31.50	N/A	N/A	46,624	17,728	446,848	287,328
2012-12-31	$1.71	$1.69	37.3%	10.7%	29.3%	53.4%	38.2%	8.0%	-0.3%	1.3M	-16.4M	-106.9K	0.30	9.48	N/A	N/A	64,512	19,136	479,456	301,088