QLD Options History — October 2013

In October 2013, QLD traded between $2.38 and $2.77. ATM implied volatility averaged 28.3%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.9% (HV 20d: 26.4%). Max pain ranged from $2.03 to $2.53. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.98.

Notable Days

2013-10-15: Highest Volume — 153,760 contracts
2013-10-07: Largest IV spike — 17.3% change
2013-10-08: Highest IV Rank — 85.6%
2013-10-08: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.61	$2.38	$2.77	$2.56	$2.75
Max Pain	$2.39	$2.03	$2.53	$2.53	$2.03
ATM IV	28.3%	23.1%	39.1%	26.4%	24.2%
Expected Move	9.9%	9.4%	10.6%	9.7%	9.5%
HV 20d	26.4%	16.3%	30.4%	17.4%	27.7%
HV 60d	23.3%	20.4%	24.5%	21.2%	24.2%
IV Rank	36.6%	13.0%	85.6%	27.9%	17.9%
IV Percentile	53.4%	12.7%	99.2%	46.0%	23.8%
Term Structure	1.2%	-2.2%	3.7%	1.7%	2.3%
VWIV	34.6%	30.6%	37.9%	34.5%	37.9%
Skew 25d	6.6%	3.9%	11.0%	6.1%	4.5%
Skew 10d	13.6%	8.0%	22.2%	12.4%	8.9%
Call IV 25d	25.8%	21.8%	33.3%	24.5%	22.5%
Put IV 25d	32.3%	26.5%	44.2%	30.6%	27.0%
Bid-Ask Spread %	9.47	5.40	16.58	8.86	5.40
Gamma HHI	0.14	0.06	0.23	0.07	0.16
Net GEX	1.3M	-467.1K	5.7M	593.2K	1.2M
Net DEX	-37.8M	-102.5M	-2.6M	-29.8M	-37.9M
Net VEX	-207.7K	-242.9K	-162.6K	-162.6K	-242.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.16	2.63	0.70	1.31
Total Volume	54,992.696	12,032	153,760	20,320	19,296
Total OI	778,420.87	555,616	1,113,408	648,736	689,728

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
2013-10-01	$2.56	$2.53	26.4%	9.7%	17.4%	27.9%	34.5%	6.1%	1.7%	593.2K	-29.8M	-162.6K	0.70	8.86	N/A	N/A	11,968	8,352	340,352	308,384
2013-10-02	$2.55	$2.53	27.3%	9.8%	16.3%	32.0%	0.0%	6.8%	1.8%	516.3K	-28.8M	-169.4K	2.63	9.49	N/A	N/A	5,120	13,440	345,856	313,216
2013-10-03	$2.49	$2.53	30.7%	10.0%	18.9%	47.4%	0.0%	8.5%	1.0%	256.4K	-21.1M	-176.3K	0.67	8.81	N/A	N/A	48,864	32,672	348,672	321,440
2013-10-04	$2.54	$2.53	28.5%	10.1%	19.6%	37.3%	36.0%	7.9%	-0.0%	523.9K	-27.3M	-177.8K	1.89	10.37	N/A	N/A	16,928	31,936	361,632	339,392
2013-10-07	$2.49	$2.41	33.4%	10.3%	19.4%	59.8%	0.0%	9.7%	-0.9%	147.1K	-19.7M	-186.3K	2.17	11.01	N/A	N/A	13,152	28,576	366,976	366,912
2013-10-08	$2.40	$2.41	39.1%	10.6%	23.6%	85.6%	37.6%	11.0%	-2.2%	-353.7K	-4.6M	-197.2K	0.32	13.12	N/A	N/A	89,440	28,416	375,008	391,776
2013-10-09	$2.38	$2.44	38.4%	10.4%	23.7%	82.8%	35.6%	10.6%	-2.0%	-467.1K	-2.6M	-204.6K	1.29	16.58	N/A	N/A	32,736	42,272	452,064	404,672
2013-10-10	$2.48	$2.44	32.9%	10.3%	27.9%	57.3%	34.9%	8.8%	0.2%	70.4K	-19.7M	-203.4K	0.62	11.52	N/A	N/A	52,288	32,224	463,232	424,768
2013-10-11	$2.52	$2.44	29.9%	10.5%	28.5%	43.6%	35.4%	7.9%	1.2%	484.1K	-28.8M	-211.3K	0.17	10.66	N/A	N/A	89,216	15,616	490,592	439,872
2013-10-14	$2.56	$2.53	30.3%	10.5%	28.6%	45.8%	35.2%	7.9%	0.2%	2.7M	-48.3M	-212.4K	0.16	10.26	N/A	N/A	49,216	7,680	561,184	443,072
2013-10-15	$2.54	$2.53	33.9%	10.6%	28.6%	61.9%	36.6%	9.1%	-1.1%	3.0M	-44.3M	-224.1K	0.63	8.05	N/A	N/A	94,432	59,328	590,016	446,496
2013-10-16	$2.60	$2.50	28.6%	10.0%	28.4%	38.1%	35.1%	7.5%	1.4%	5.7M	-73.8M	-215.5K	1.09	12.10	N/A	N/A	34,720	37,792	657,632	455,776
2013-10-17	$2.63	$2.50	25.1%	9.8%	28.6%	22.0%	31.6%	5.9%	2.6%	5.0M	-82.9M	-198.2K	0.82	12.42	N/A	N/A	29,632	24,352	631,520	467,488
2013-10-18	$2.71	$2.53	23.1%	9.4%	30.3%	13.0%	35.7%	4.7%	3.7%	1.3M	-102.5M	-190.4K	0.27	12.43	N/A	N/A	55,392	14,976	637,312	470,880
2013-10-21	$2.72	$2.34	24.0%	9.5%	30.1%	16.9%	35.3%	4.3%	2.6%	961.9K	-34.3M	-206.3K	1.01	11.04	N/A	N/A	15,872	16,032	287,872	267,744
2013-10-22	$2.73	$2.34	25.6%	9.6%	30.1%	24.3%	36.4%	4.6%	2.1%	1.0M	-35.0M	-215.7K	0.62	9.20	N/A	N/A	25,856	16,000	296,608	277,280
2013-10-23	$2.70	$2.31	26.2%	9.6%	30.4%	27.1%	31.3%	4.9%	1.8%	899.6K	-31.4M	-220.9K	0.49	5.89	N/A	N/A	33,568	16,480	307,264	287,648
2013-10-24	$2.72	$2.31	25.2%	9.4%	30.1%	22.5%	30.7%	4.4%	2.0%	1.2M	-35.8M	-226.1K	0.79	6.07	N/A	N/A	8,928	7,040	330,528	300,064
2013-10-25	$2.76	$2.31	24.6%	9.5%	30.3%	19.6%	30.6%	4.3%	2.4%	1.3M	-40.0M	-230.0K	1.22	6.62	N/A	N/A	18,336	22,368	333,088	303,360
2013-10-28	$2.76	$2.34	25.4%	9.5%	30.0%	23.3%	36.0%	3.9%	1.6%	1.3M	-39.5M	-229.5K	0.65	6.39	N/A	N/A	13,472	8,800	340,128	317,152
2013-10-29	$2.77	$2.03	23.8%	9.5%	29.3%	15.8%	30.8%	4.1%	2.6%	1.4M	-40.6M	-239.8K	1.15	6.08	N/A	N/A	5,600	6,432	347,104	324,160
2013-10-30	$2.76	$2.03	24.8%	9.5%	29.3%	20.6%	37.9%	3.9%	1.6%	1.3M	-40.0M	-237.5K	1.95	5.52	N/A	N/A	10,176	19,840	350,016	327,744
2013-10-31	$2.75	$2.03	24.2%	9.5%	27.7%	17.9%	0.0%	4.5%	2.3%	1.2M	-37.9M	-242.9K	1.31	5.40	N/A	N/A	8,352	10,944	353,824	335,904