GLD Options History — August 2008

In August 2008, GLD traded between $77.63 and $89.57. ATM implied volatility averaged 26.7%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.9% (HV 20d: 23.9%). Max pain ranged from $82.00 to $94.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2008-08-05: Highest Volume — 221,620 contracts
  • 2008-08-11: Largest IV spike — 40.8% change
  • 2008-08-15: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.43$77.63$89.57$89.57$81.71
Max Pain$85.62$82.00$94.00$94.00$82.00
ATM IV26.7%21.6%37.2%21.6%24.4%
Expected Move7.5%6.2%8.6%6.2%7.0%
HV 20d23.9%19.1%27.2%20.2%27.2%
HV 60d24.2%22.4%25.0%22.6%24.5%
Term Structure0.4%-1.0%2.5%2.5%1.8%
VWIV26.8%22.6%30.5%22.6%24.9%
Skew 25d-0.3%-2.2%1.4%-1.3%0.7%
Skew 10d-0.2%-3.5%3.0%-2.8%1.2%
Call IV 25d26.9%22.7%30.2%22.7%24.8%
Put IV 25d26.7%21.4%31.3%21.4%25.5%
Bid-Ask Spread %11.858.6915.419.058.69
Gamma HHI0.110.080.240.240.10
Net GEX45.1M13.4M76.0M53.9M71.1M
Net DEX-27.1M-571.1M703.9M-283.7M-477.1M
Net VEX-6.4M-7.7M-5.0M-5.8M-7.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.021.110.110.64
Total Volume63,868.1912,234221,62033,74734,869
Total OI881,897.19574,7801,010,254574,7801,010,217

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$89.57$94.0021.6%6.2%20.2%0.0%22.6%-1.3%2.5%53.9M-283.7M-5.8M0.119.0530,3343,413450,342124,438
2008-08-04$88.14$90.0024.1%6.9%20.7%0.0%24.6%-2.2%0.3%39.7M-78.1M-5.4M0.2213.3788,48219,728458,940124,832
2008-08-05$86.08$90.0026.6%7.0%22.1%0.0%26.4%-2.0%0.1%34.8M93.2M-5.4M0.2315.41180,82340,797534,978139,659
2008-08-06$86.64$90.0023.4%6.9%22.0%0.0%24.9%-1.5%0.3%64.7M-222.1M-7.0M0.7615.1421,09916,038700,635165,736
2008-08-07$86.09$90.0022.2%6.7%20.0%0.0%23.8%-1.1%0.2%51.8M-45.0M-6.5M0.3111.8246,17714,371688,590170,816
2008-08-08$84.43$88.0026.4%7.1%19.1%0.0%25.1%-1.3%0.2%38.5M108.9M-6.5M1.1114.5532,49136,114705,312174,870
2008-08-11$81.13$88.0037.2%8.2%21.8%0.0%29.2%-0.3%-1.0%16.7M554.5M-5.6M0.9313.5645,59542,415725,977193,981
2008-08-12$80.52$86.0032.0%8.3%21.4%0.0%29.3%-0.1%-0.9%15.1M607.1M-5.6M0.7913.8444,81235,579747,727205,121
2008-08-13$81.56$85.0025.5%7.8%22.4%0.0%27.8%-0.4%-0.1%19.3M371.6M-5.8M0.4514.0540,49518,134764,518199,341
2008-08-14$79.35$85.0027.5%7.9%23.4%0.0%27.9%-0.5%-1.0%13.4M661.3M-5.2M0.469.6855,59325,677780,528199,526
2008-08-15$77.63$85.0029.8%8.6%23.7%0.0%30.5%1.1%-1.0%20.5M703.9M-5.0M0.4810.7676,70736,702802,546194,804
2008-08-18$78.80$84.0029.5%8.5%24.3%0.0%30.2%1.4%-0.6%34.4M84.4M-5.7M0.5011.7914,6107,328679,538143,634
2008-08-19$80.43$84.0028.5%8.2%26.0%0.0%29.0%1.0%-0.3%42.2M-83.3M-6.2M0.2310.6349,08111,329679,668146,326
2008-08-20$80.06$83.0027.2%7.8%24.9%0.0%28.2%-0.4%0.7%43.5M-88.6M-6.4M0.9410.8115,58714,601711,517150,924
2008-08-21$82.17$83.0027.5%7.9%27.0%0.0%27.7%0.5%0.7%58.9M-417.3M-7.2M0.0812.3092,9677,009716,636157,861
2008-08-22$81.08$83.0026.0%7.5%26.9%0.0%26.5%0.0%1.4%59.1M-313.5M-7.2M0.3210.2318,6806,054773,321159,834
2008-08-25$80.93$82.0026.2%7.5%26.8%0.0%26.7%0.2%1.3%56.8M-290.2M-6.9M0.0211.6964,8611,360770,600159,738
2008-08-26$81.23$82.0026.0%7.5%27.0%0.0%26.5%0.3%1.2%67.6M-432.2M-7.5M0.418.9117,4337,181830,339160,018
2008-08-27$81.36$82.0025.4%7.3%27.0%0.0%25.6%-0.1%1.4%69.5M-452.5M-7.5M0.4011.928,7543,480841,994164,205
2008-08-28$82.18$82.0024.6%7.0%27.2%0.0%24.7%0.4%2.0%76.0M-571.1M-7.7M0.3010.5611,1613,311845,047165,207
2008-08-29$81.71$82.0024.4%7.0%27.2%0.0%24.9%0.7%1.8%71.1M-477.1M-7.4M0.648.6921,30813,561843,801166,416