GLD Options History — June 2008

Name: GLD Options Analytics - June 2008
Creator: Options Analysis Suite

In June 2008, GLD traded between $85.55 and $91.47. ATM implied volatility averaged 23.6%. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.3% (HV 20d: 24.9%). Max pain ranged from $86.00 to $90.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.51.

Notable Days

2008-06-26: Highest Volume — 60,839 contracts
2008-06-20: Largest IV spike — 9.1% change
2008-06-23: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.82	$85.55	$91.47	$86.88	$91.40
Max Pain	$86.58	$86.00	$90.00	$87.00	$86.00
ATM IV	23.6%	21.3%	25.7%	21.6%	24.6%
Expected Move	6.8%	6.1%	7.4%	6.2%	7.1%
HV 20d	24.9%	23.3%	26.4%	24.1%	25.0%
Term Structure	0.9%	0.1%	1.7%	0.5%	1.5%
VWIV	24.0%	21.1%	26.2%	21.6%	25.0%
Skew 25d	-1.0%	-2.0%	-0.4%	-0.4%	-1.4%
Skew 10d	-2.2%	-3.7%	-0.9%	-0.9%	-2.5%
Call IV 25d	24.7%	21.9%	27.0%	22.1%	26.0%
Put IV 25d	23.6%	21.2%	25.9%	21.7%	24.6%
Bid-Ask Spread %	14.37	9.87	18.14	17.43	10.53
Gamma HHI	0.15	0.11	0.37	0.22	0.11
Net GEX	19.5M	-2.6M	62.6M	0	49.0M
Net DEX	-205.2M	-672.9M	19.5M	0	-672.9M
Net VEX	-1.5M	-2.9M	0	0	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.17	2.70	2.70	0.22
Total Volume	22,734.1	6,382	60,839	20,816	10,247
Total OI	126,914.05	0	249,146	0	249,146

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 Vol	Put Vol	Call OI	Put OI
2008-06-03	$86.88	$0.00	21.6%	6.2%	0.0%	0.0%	21.6%	-0.4%	0.5%	0	0	0	2.70	17.43	5,625	15,191	0	0
2008-06-04	$86.65	$87.00	21.3%	6.1%	0.0%	0.0%	21.1%	-0.8%	0.8%	-2.6M	18.1M	-271.9K	0.65	15.58	8,121	5,294	5,307	12,627
2008-06-05	$86.45	$86.00	21.3%	6.1%	0.0%	0.0%	21.6%	-0.4%	0.5%	-2.4M	19.5M	-445.5K	0.61	15.86	7,332	4,479	13,288	19,353
2008-06-06	$89.06	$90.00	22.0%	6.6%	0.0%	0.0%	23.2%	-1.1%	0.2%	-757.6K	-26.0M	-579.5K	0.78	18.00	10,933	8,548	19,076	22,570
2008-06-09	$87.99	$89.00	22.9%	6.7%	0.0%	0.0%	23.8%	-1.3%	1.3%	338.2K	-17.4M	-834.3K	0.18	16.74	11,089	1,951	29,195	30,723
2008-06-10	$85.55	$89.00	24.6%	6.8%	0.0%	0.0%	24.2%	-1.1%	0.8%	-174.0K	14.5M	-970.9K	0.31	18.14	40,667	12,693	37,803	32,380
2008-06-11	$87.02	$86.00	23.9%	6.8%	0.0%	0.0%	24.1%	-0.9%	0.9%	10.1M	-116.3M	-1.5M	0.79	15.82	6,099	4,815	70,470	43,487
2008-06-12	$85.60	$86.00	23.8%	6.8%	0.0%	0.0%	23.9%	-1.5%	1.0%	7.0M	-47.8M	-1.5M	0.43	15.93	13,257	5,683	70,512	47,362
2008-06-13	$85.83	$86.00	23.4%	6.7%	0.0%	0.0%	24.2%	-1.0%	1.3%	10.3M	-75.6M	-1.6M	0.43	13.55	8,615	3,686	77,062	50,220
2008-06-16	$87.01	$86.00	23.8%	6.8%	0.0%	0.0%	24.2%	-1.1%	0.7%	17.5M	-165.4M	-1.6M	0.26	14.88	20,674	5,434	81,863	51,372
2008-06-17	$87.25	$86.00	23.7%	6.8%	0.0%	0.0%	23.6%	-0.6%	0.7%	24.1M	-187.7M	-1.7M	0.56	15.93	4,087	2,295	91,722	54,680
2008-06-18	$88.28	$86.00	22.5%	6.5%	0.0%	0.0%	23.0%	-0.8%	1.7%	28.3M	-254.1M	-1.7M	0.17	13.80	25,628	4,322	93,113	56,017
2008-06-19	$88.42	$86.00	22.9%	6.6%	0.0%	0.0%	23.2%	-0.8%	1.4%	35.7M	-325.0M	-1.8M	0.34	16.50	16,632	5,661	110,816	58,548
2008-06-20	$88.95	$86.00	25.0%	7.2%	0.0%	0.0%	25.1%	-1.1%	0.6%	62.6M	-379.7M	-1.9M	0.24	13.42	43,671	10,456	116,753	61,931
2008-06-23	$87.09	$86.00	25.7%	7.4%	0.0%	0.0%	26.2%	-1.6%	0.1%	22.8M	-224.9M	-2.2M	0.34	11.73	13,334	4,488	119,155	54,289
2008-06-24	$87.47	$86.00	24.8%	7.1%	24.1%	0.0%	25.7%	-1.2%	0.7%	27.2M	-269.5M	-2.2M	0.20	11.62	6,763	1,384	124,499	47,458
2008-06-25	$87.42	$86.00	24.8%	7.1%	23.3%	0.0%	25.4%	-0.8%	1.0%	26.8M	-268.1M	-2.3M	0.45	10.11	13,244	5,928	129,836	58,132
2008-06-26	$90.61	$86.00	25.2%	7.2%	26.4%	0.0%	25.7%	-1.0%	0.8%	36.0M	-525.7M	-2.5M	0.23	9.87	49,568	11,271	138,353	60,405
2008-06-27	$91.47	$86.00	24.3%	7.0%	25.7%	0.0%	24.8%	-2.0%	1.7%	38.4M	-599.1M	-2.4M	0.29	11.91	19,749	5,768	138,353	60,405
2008-06-30	$91.40	$86.00	24.6%	7.1%	25.0%	0.0%	25.0%	-1.4%	1.5%	49.0M	-672.9M	-2.9M	0.22	10.53	8,382	1,865	172,760	76,386