QLD Options History — December 2014

In December 2014, QLD traded between $4.00 and $4.44. ATM implied volatility averaged 30.3%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 6.2% (HV 20d: 24.1%). Max pain ranged from $3.28 to $4.38. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.63.

Notable Days

2014-12-11: Highest Volume — 166,688 contracts
2014-12-10: Largest IV spike — 47.8% change
2014-12-10: Highest IV Rank — 65.6%
2014-12-16: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.33	$4.00	$4.44	$4.39	$4.27
Max Pain	$3.60	$3.28	$4.38	$3.28	$4.31
ATM IV	30.3%	22.1%	42.9%	29.1%	33.6%
Expected Move	9.5%	8.5%	11.5%	8.9%	9.5%
HV 20d	24.1%	14.2%	32.3%	14.6%	31.8%
HV 60d	32.4%	31.2%	34.6%	31.7%	32.8%
IV Rank	35.4%	15.7%	65.6%	32.5%	43.3%
IV Percentile	66.9%	13.5%	98.0%	71.4%	86.9%
Term Structure	2.6%	-2.0%	7.2%	-2.0%	0.5%
VWIV	35.6%	28.8%	42.0%	34.4%	37.2%
Skew 25d	8.6%	3.3%	13.8%	8.8%	6.1%
Skew 10d	17.4%	4.5%	31.3%	13.9%	17.8%
Call IV 25d	26.2%	22.3%	34.9%	24.1%	29.1%
Put IV 25d	34.9%	25.6%	45.8%	32.9%	35.2%
Bid-Ask Spread %	42.58	25.75	76.56	54.93	40.81
Gamma HHI	0.11	0.05	0.19	0.06	0.16
Net GEX	573.2K	-400.3K	1.4M	759.7K	630.6K
Net DEX	-59.0M	-73.8M	-25.3M	-69.0M	-52.9M
Net VEX	-159.7K	-186.8K	-124.6K	-166.7K	-141.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.25	3.30	1.37	3.30
Total Volume	114,043.636	6,400	166,688	128,672	14,176
Total OI	516,760.727	450,944	595,712	503,552	469,024

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
2014-12-01	$4.39	$3.28	29.1%	8.9%	14.6%	32.5%	34.4%	8.8%	-2.0%	759.7K	-69.0M	-166.7K	1.37	54.93	N/A	N/A	54,240	74,432	235,584	267,968
2014-12-02	$4.42	$3.28	26.9%	9.0%	14.6%	27.2%	33.8%	7.4%	1.7%	807.6K	-70.7M	-171.1K	1.41	27.80	N/A	N/A	52,128	73,312	239,584	270,144
2014-12-03	$4.44	$3.28	25.0%	9.0%	14.2%	22.7%	30.9%	5.9%	2.6%	951.8K	-73.1M	-165.5K	1.42	48.73	N/A	N/A	51,616	73,120	240,672	271,136
2014-12-04	$4.44	$3.28	25.2%	9.0%	14.2%	23.2%	28.8%	5.8%	2.1%	888.8K	-73.3M	-165.4K	0.38	36.33	N/A	N/A	4,640	1,760	240,320	271,040
2014-12-05	$4.43	$3.28	22.1%	9.1%	14.3%	15.7%	34.3%	6.9%	5.5%	959.6K	-73.8M	-165.1K	1.43	30.39	N/A	N/A	51,104	73,056	242,944	272,064
2014-12-08	$4.36	$3.28	27.1%	9.3%	15.7%	27.7%	35.9%	7.6%	5.5%	980.9K	-66.4M	-166.1K	1.40	27.10	N/A	N/A	52,256	73,248	243,488	272,960
2014-12-09	$4.40	$3.28	29.0%	9.2%	15.9%	32.4%	31.6%	8.0%	3.7%	978.2K	-71.2M	-151.8K	1.44	34.45	N/A	N/A	51,104	73,376	243,456	273,408
2014-12-10	$4.25	$3.28	42.9%	9.8%	20.8%	65.6%	38.1%	8.5%	0.1%	850.2K	-58.0M	-179.8K	2.15	46.28	N/A	N/A	51,392	110,688	246,048	275,264
2014-12-11	$4.29	$3.28	34.6%	10.1%	20.9%	45.8%	39.2%	12.3%	0.3%	173.0K	-57.5M	-183.0K	1.80	42.40	N/A	N/A	59,488	107,200	247,584	308,544
2014-12-12	$4.21	$3.28	37.5%	10.6%	21.9%	52.7%	41.1%	13.8%	-0.0%	206.0K	-49.2M	-186.8K	1.83	50.72	N/A	N/A	56,864	104,192	255,680	310,592
2014-12-15	$4.14	$3.34	36.7%	10.9%	22.4%	50.8%	42.0%	13.3%	1.5%	-187.6K	-35.3M	-180.5K	1.76	39.45	N/A	N/A	49,952	87,712	258,528	313,888
2014-12-16	$4.00	$3.34	39.4%	11.5%	25.4%	57.1%	41.8%	10.9%	0.7%	-173.2K	-25.3M	-176.9K	1.47	39.46	N/A	N/A	53,280	78,496	259,296	317,248
2014-12-17	$4.14	$3.34	34.3%	10.8%	28.0%	45.0%	41.9%	10.6%	3.4%	-400.3K	-31.6M	-172.9K	1.94	48.13	N/A	N/A	51,008	99,040	262,592	317,760
2014-12-18	$4.33	$3.34	32.3%	10.0%	32.3%	40.3%	34.5%	7.8%	4.2%	97.7K	-63.6M	-153.8K	1.84	50.84	N/A	N/A	57,696	105,984	261,472	332,416
2014-12-19	$4.36	$3.38	28.4%	9.8%	32.3%	30.9%	34.1%	9.2%	5.2%	1.4M	-71.4M	-152.3K	0.25	47.40	N/A	N/A	15,776	3,968	262,240	333,472
2014-12-22	$4.38	$0.00	28.9%	8.8%	32.3%	32.2%	35.9%	8.5%	1.5%	480.4K	-57.5M	-143.9K	1.88	29.29	N/A	N/A	44,512	83,808	195,040	255,904
2014-12-23	$4.37	$4.38	24.1%	8.8%	31.8%	20.6%	35.9%	11.3%	7.2%	559.2K	-57.6M	-148.6K	2.08	34.82	N/A	N/A	40,672	84,480	198,560	256,512
2014-12-24	$4.37	$4.38	26.8%	8.7%	31.7%	27.1%	32.3%	7.0%	3.6%	610.0K	-57.1M	-143.8K	2.03	25.75	N/A	N/A	41,248	83,584	200,096	256,992
2014-12-26	$4.43	$4.38	25.4%	8.5%	31.9%	23.7%	34.1%	3.3%	5.6%	674.2K	-65.4M	-124.6K	2.12	76.56	N/A	N/A	40,320	85,536	202,592	257,888
2014-12-29	$4.43	$4.22	30.3%	8.6%	31.7%	35.4%	30.7%	7.6%	0.2%	640.4K	-61.1M	-138.8K	1.95	73.97	N/A	N/A	44,544	86,784	202,496	260,608
2014-12-30	$4.37	$4.31	26.7%	9.0%	31.1%	26.9%	34.0%	9.8%	4.1%	703.5K	-58.2M	-135.2K	0.64	31.23	N/A	N/A	4,384	2,784	203,712	261,920
2014-12-31	$4.27	$4.31	33.6%	9.5%	31.8%	43.3%	37.2%	6.1%	0.5%	630.6K	-52.9M	-141.6K	3.30	40.81	N/A	N/A	3,296	10,880	205,376	263,648