GLD Options History — July 2008

In July 2008, GLD traded between $89.52 and $96.17. ATM implied volatility averaged 25.2%. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.5% (HV 20d: 21.7%). Max pain ranged from $86.00 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2008-07-15: Highest Volume — 185,461 contracts
  • 2008-07-11: Largest IV spike — 20.3% change
  • 2008-07-11: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.67$89.52$96.17$92.66$90.08
Max Pain$92.27$86.00$95.00$86.00$94.00
ATM IV25.2%21.9%30.6%25.5%21.9%
Expected Move7.2%6.3%8.8%7.3%6.3%
HV 20d21.7%19.5%25.1%24.7%20.5%
Term Structure0.9%-0.6%1.7%0.7%1.7%
VWIV25.9%23.1%31.6%25.6%23.1%
Skew 25d-2.0%-3.8%-0.6%-1.8%-0.8%
Skew 10d-3.6%-8.1%-0.3%-3.4%-2.6%
Call IV 25d26.9%23.1%33.5%27.1%23.1%
Put IV 25d24.9%22.3%29.7%25.3%22.3%
Bid-Ask Spread %12.509.4316.629.4313.10
Gamma HHI0.200.110.340.110.25
Net GEX92.6M51.8M176.1M51.8M60.0M
Net DEX-1.05B-2.25B-274.3M-809.4M-362.6M
Net VEX-5.0M-7.0M-2.9M-2.9M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.070.920.080.62
Total Volume51,083.59,623185,46151,55322,898
Total OI461,371.909253,581686,185253,581561,475

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$92.66$86.0025.5%7.3%24.7%0.0%25.6%-1.8%0.7%51.8M-809.4M-2.9M0.089.4347,5284,025175,92377,658
2008-07-02$93.17$86.0025.1%7.2%24.6%0.0%25.2%-2.0%1.2%64.8M-951.5M-3.0M0.4310.7213,2005,732195,15676,812
2008-07-03$92.06$86.0024.7%7.1%25.1%0.0%24.7%-1.2%1.2%67.3M-849.8M-3.1M0.5812.2426,09515,217201,31977,119
2008-07-07$91.23$90.0024.4%7.2%23.4%0.0%25.7%-2.0%0.2%76.2M-755.1M-3.1M0.1415.6034,2084,806216,26588,913
2008-07-08$90.86$91.0024.6%7.0%23.0%0.0%24.7%-1.9%0.4%87.6M-748.8M-3.3M0.5513.1210,7665,876238,64091,853
2008-07-09$91.50$91.0023.8%7.0%20.2%0.0%25.6%-2.0%0.8%97.5M-866.4M-3.3M0.2512.397,6801,943244,44093,962
2008-07-10$93.53$91.0025.4%7.3%20.7%0.0%25.6%-2.1%0.1%103.4M-1.25B-3.2M0.2111.2737,3717,836247,92494,477
2008-07-11$95.16$91.0030.6%8.8%19.8%0.0%31.6%-3.8%-0.6%84.4M-1.50B-3.4M0.079.53129,2799,504260,81199,702
2008-07-14$95.91$91.0029.1%8.3%19.8%0.0%29.4%-3.8%-0.1%118.9M-1.95B-4.1M0.1711.08151,68126,491337,374104,879
2008-07-15$96.17$94.0028.1%8.1%19.5%0.0%30.2%-3.5%0.9%133.3M-2.25B-5.7M0.1310.60163,79121,670422,004127,649
2008-07-16$94.44$94.0026.5%7.6%21.2%0.0%27.6%-2.7%1.4%176.1M-1.95B-7.0M0.5214.7727,00813,981520,821143,952
2008-07-17$94.22$95.0025.6%7.3%21.1%0.0%26.4%-2.6%1.5%173.5M-1.85B-6.9M0.3815.2324,6329,424536,023150,162
2008-07-18$94.17$95.0025.3%7.3%21.1%0.0%26.3%-2.8%1.6%159.8M-1.81B-6.6M0.2715.0733,8428,976524,217152,735
2008-07-21$95.12$95.0025.0%7.2%21.3%0.0%25.5%-2.1%0.8%90.8M-1.12B-6.5M0.2916.629,3822,729369,97595,021
2008-07-22$93.06$95.0024.2%6.9%21.4%0.0%25.0%-2.0%1.3%78.9M-806.1M-6.2M0.4114.9515,1906,163376,62796,573
2008-07-23$90.57$95.0024.3%7.0%23.9%0.0%25.1%-1.4%0.9%60.3M-444.8M-5.5M0.1612.1463,72910,199384,583100,166
2008-07-24$91.33$94.0024.2%6.9%24.0%0.0%25.4%-1.2%0.5%72.1M-607.1M-6.1M0.0910.0538,6203,566407,665104,949
2008-07-25$91.69$94.0024.4%7.0%20.5%0.0%24.9%-0.8%1.1%78.1M-676.0M-6.4M0.1611.3014,5482,314422,263105,984
2008-07-28$91.73$94.0024.9%7.1%20.3%0.0%25.5%-0.6%0.6%80.0M-681.6M-6.2M0.3013.2912,6833,765426,837106,359
2008-07-29$90.59$94.0023.7%6.8%20.8%0.0%23.8%-0.8%1.6%68.0M-477.5M-5.8M0.9211.0421,25219,465429,508108,118
2008-07-30$89.52$94.0022.4%6.4%20.4%0.0%23.5%-1.3%1.1%54.1M-274.3M-5.4M0.2911.4427,0537,719436,132117,157
2008-07-31$90.08$94.0021.9%6.3%20.5%0.0%23.1%-0.8%1.7%60.0M-362.6M-5.7M0.6213.1014,1538,745442,926118,549