QLD Options History — March 2016

In March 2016, QLD traded between $4.17 and $4.63. ATM implied volatility averaged 35.5%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.8% (HV 20d: 33.7%). Max pain ranged from $3.94 to $4.19. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2016-03-22: Highest Volume — 46,624 contracts
2016-03-30: Largest IV drop — 16.9% change
2016-03-08: Highest IV Rank — 43.2%
2016-03-10: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.40	$4.17	$4.63	$4.30	$4.62
Max Pain	$4.16	$3.94	$4.19	$3.94	$4.19
ATM IV	35.5%	26.3%	46.0%	40.2%	26.4%
Expected Move	10.0%	7.5%	11.9%	11.5%	7.6%
HV 20d	33.7%	21.3%	49.8%	49.8%	21.3%
HV 60d	46.5%	44.2%	49.1%	49.1%	44.2%
IV Rank	23.6%	6.2%	43.2%	33.2%	6.5%
IV Percentile	53.3%	11.5%	79.8%	69.8%	12.3%
Term Structure	2.1%	-1.4%	5.4%	2.5%	4.8%
VWIV	34.0%	25.4%	40.0%	36.9%	26.9%
Skew 25d	10.5%	4.5%	23.1%	23.1%	6.4%
Skew 10d	19.2%	10.7%	26.0%	26.0%	14.5%
Call IV 25d	29.3%	23.7%	35.1%	29.8%	24.0%
Put IV 25d	39.8%	29.2%	52.9%	52.9%	30.4%
Bid-Ask Spread %	72.67	18.11	89.08	84.53	87.39
Gamma HHI	0.07	0.05	0.11	0.06	0.08
Net GEX	754.4K	501.0K	1.1M	539.7K	1.1M
Net DEX	-14.4M	-22.4M	-9.0M	-10.3M	-20.8M
Net VEX	-66.5K	-75.4K	-58.1K	-68.8K	-68.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.45	0.83	0.65	0.60
Total Volume	41,789.091	36,736	46,624	40,848	36,736
Total OI	182,423.273	142,528	203,808	181,456	172,048

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
2016-03-01	$4.30	$3.94	40.2%	11.5%	49.8%	33.2%	36.9%	23.1%	2.5%	539.7K	-10.3M	-68.8K	0.65	84.53	N/A	N/A	24,736	16,112	112,192	69,264
2016-03-02	$4.31	$3.94	38.1%	10.9%	46.9%	28.4%	36.9%	9.4%	-0.4%	644.8K	-12.0M	-73.4K	0.83	75.12	N/A	N/A	21,552	17,824	115,744	70,352
2016-03-03	$4.30	$4.19	37.9%	10.6%	46.7%	28.0%	37.5%	11.8%	1.6%	668.8K	-12.2M	-75.4K	0.67	66.56	N/A	N/A	26,016	17,360	117,440	71,408
2016-03-04	$4.31	$4.19	42.0%	10.8%	46.6%	35.7%	37.2%	12.2%	0.8%	705.1K	-12.9M	-74.5K	0.74	68.60	N/A	N/A	23,328	17,152	120,736	71,680
2016-03-07	$4.24	$4.19	44.3%	11.4%	37.0%	40.0%	38.2%	12.1%	0.1%	644.7K	-10.4M	-71.5K	0.69	67.44	N/A	N/A	25,104	17,328	120,784	72,992
2016-03-08	$4.17	$4.19	46.0%	11.5%	36.1%	43.2%	39.4%	14.0%	3.1%	614.9K	-9.0M	-69.5K	0.66	69.79	N/A	N/A	26,032	17,216	120,656	73,488
2016-03-09	$4.22	$4.19	40.7%	11.7%	35.9%	33.3%	40.0%	12.0%	-1.0%	629.0K	-9.5M	-69.6K	0.72	64.69	N/A	N/A	24,000	17,296	121,792	73,840
2016-03-10	$4.21	$4.19	41.5%	11.9%	36.1%	34.8%	38.9%	12.3%	-1.4%	663.6K	-9.4M	-67.5K	0.73	77.41	N/A	N/A	25,360	18,512	122,096	73,840
2016-03-11	$4.36	$4.19	37.3%	10.7%	37.3%	26.9%	36.3%	12.8%	0.1%	861.4K	-15.0M	-67.1K	0.80	63.99	N/A	N/A	24,176	19,296	123,008	75,552
2016-03-14	$4.39	$4.19	36.1%	10.3%	37.1%	24.6%	35.2%	10.9%	1.8%	978.5K	-17.0M	-65.1K	0.77	18.11	N/A	N/A	23,504	18,096	124,656	75,456
2016-03-15	$4.38	$4.19	34.7%	9.9%	35.1%	22.0%	36.1%	11.6%	3.0%	1.0M	-16.6M	-64.4K	0.80	64.69	N/A	N/A	22,608	18,080	124,672	75,776
2016-03-16	$4.45	$4.19	36.0%	10.3%	31.9%	24.5%	34.8%	9.4%	-0.0%	958.5K	-19.5M	-62.1K	0.69	83.01	N/A	N/A	25,904	17,744	124,272	77,104
2016-03-17	$4.45	$4.13	32.6%	9.4%	30.3%	18.2%	32.2%	9.1%	2.0%	1.0M	-20.3M	-63.0K	0.65	72.68	N/A	N/A	26,240	17,008	125,760	76,720
2016-03-18	$4.47	$4.13	32.2%	9.2%	30.3%	17.4%	30.3%	9.0%	4.1%	501.0K	-22.4M	-61.4K	0.58	79.68	N/A	N/A	28,864	16,784	127,056	76,752
2016-03-21	$4.50	$4.13	32.2%	9.2%	28.9%	17.3%	31.3%	7.5%	1.6%	546.0K	-10.9M	-58.7K	0.49	72.55	N/A	N/A	28,880	14,032	93,424	49,104
2016-03-22	$4.52	$4.19	32.1%	9.2%	26.0%	17.1%	32.6%	9.3%	4.7%	667.2K	-13.7M	-64.5K	0.45	77.49	N/A	N/A	32,224	14,400	102,896	51,792
2016-03-23	$4.45	$4.19	31.9%	9.1%	26.8%	16.7%	30.3%	10.5%	3.5%	714.1K	-13.4M	-65.9K	0.58	77.43	N/A	N/A	26,352	15,264	106,272	52,160
2016-03-24	$4.45	$4.19	30.2%	8.7%	26.5%	13.6%	30.5%	10.1%	2.7%	720.9K	-12.1M	-65.8K	0.64	77.31	N/A	N/A	23,248	14,944	107,696	53,408
2016-03-28	$4.44	$4.19	31.0%	8.9%	26.6%	15.2%	31.5%	7.5%	5.4%	705.8K	-12.5M	-63.0K	0.63	77.81	N/A	N/A	23,504	14,832	106,128	53,904
2016-03-29	$4.57	$4.19	31.6%	9.1%	27.5%	16.2%	29.5%	4.5%	1.0%	825.3K	-15.8M	-58.1K	0.55	89.08	N/A	N/A	26,768	14,784	107,728	54,240
2016-03-30	$4.63	$4.19	26.3%	7.5%	21.3%	6.2%	25.4%	6.2%	5.4%	908.9K	-20.4M	-64.4K	0.56	83.43	N/A	N/A	25,744	14,416	112,784	54,640
2016-03-31	$4.62	$4.19	26.4%	7.6%	21.3%	6.5%	26.9%	6.4%	4.8%	1.1M	-20.8M	-68.1K	0.60	87.39	N/A	N/A	23,024	13,712	116,448	55,600