GLD Options History — September 2008

In September 2008, GLD traded between $73.08 and $89.57. ATM implied volatility averaged 38.5%. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 0.7% (HV 20d: 39.2%). Max pain ranged from $78.00 to $82.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2008-09-17: Highest Volume — 295,092 contracts
  • 2008-09-17: Largest IV spike — 28.8% change
  • 2008-09-22: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.63$73.08$89.57$79.20$85.07
Max Pain$79.86$78.00$82.00$82.00$81.00
ATM IV38.5%27.2%50.6%27.6%48.4%
Expected Move11.0%7.8%14.5%7.9%13.9%
HV 20d39.2%25.7%55.5%28.5%55.5%
HV 60d29.9%23.2%37.8%24.4%37.8%
Term Structure-2.8%-8.8%0.3%0.1%-4.1%
VWIV38.9%27.8%51.2%27.8%49.7%
Skew 25d-1.7%-5.8%1.1%0.7%-2.8%
Skew 10d-2.4%-8.3%4.0%0.7%-7.1%
Call IV 25d40.3%27.4%54.8%27.9%51.3%
Put IV 25d38.6%28.2%50.8%28.6%48.4%
Bid-Ask Spread %15.939.7229.5411.7115.33
Gamma HHI0.080.060.100.090.07
Net GEX86.1M21.5M153.4M48.4M110.1M
Net DEX-1.36B-3.24B468.7M-48.7M-2.15B
Net VEX-9.7M-13.0M-5.9M-6.4M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.121.471.470.62
Total Volume86,465.33323,493295,09223,49360,502
Total OI1,181,104.857959,6651,482,0681,025,3561,095,626

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$79.20$82.0027.6%7.9%28.5%0.0%27.8%0.7%0.1%48.4M-48.7M-6.4M1.4711.719,49513,998852,835172,521
2008-09-03$78.89$82.0027.2%7.8%27.7%0.0%28.3%0.8%0.3%42.0M2.7M-6.2M0.129.7230,9663,619856,835175,511
2008-09-04$78.39$81.0027.9%8.0%27.4%0.0%28.4%0.1%-0.4%40.7M60.6M-5.9M0.1212.36127,57314,733863,077170,904
2008-09-05$78.98$82.0027.8%8.0%27.8%0.0%28.1%-0.3%-0.2%61.1M-292.5M-7.6M0.5814.6823,02413,400972,215179,053
2008-09-08$78.86$81.0029.0%8.2%27.2%0.0%29.2%-0.6%0.1%62.3M-305.1M-7.5M0.7115.3516,23011,592979,898177,776
2008-09-09$76.49$81.0032.6%8.7%25.7%0.0%30.6%-0.2%-1.8%41.5M74.6M-6.6M0.8818.5050,98745,115982,607183,500
2008-09-10$74.22$79.0033.9%9.0%27.4%0.0%31.8%0.8%-1.5%24.8M401.6M-6.0M1.3012.4236,83747,9251,015,565208,199
2008-09-11$73.08$79.0033.1%9.5%26.9%0.0%33.6%0.9%-1.5%21.5M468.7M-6.1M0.3811.3963,34624,3531,037,316220,040
2008-09-12$75.55$78.0032.5%9.3%28.9%0.0%32.7%1.1%-1.8%46.7M-17.6M-7.8M0.2813.1042,46711,9001,112,576228,489
2008-09-15$77.56$78.0035.8%10.3%29.7%0.0%36.1%0.2%-3.3%75.1M-560.4M-9.0M0.2914.0139,69111,6891,136,764229,948
2008-09-16$76.79$78.0037.1%10.7%29.3%0.0%38.4%-0.2%-2.9%69.6M-429.4M-8.8M0.4414.3535,91515,7641,147,891234,501
2008-09-17$85.46$78.0047.8%13.7%48.0%0.0%47.0%-5.8%-6.9%153.4M-3.08B-12.3M0.2822.66229,96565,1271,151,149241,490
2008-09-18$82.80$79.0046.9%13.5%49.5%0.0%46.7%-2.6%-2.5%128.2M-2.38B-12.4M0.3026.55154,47846,7191,210,555271,513
2008-09-19$85.98$79.0043.4%12.5%50.4%0.0%45.6%-4.5%-2.6%146.0M-3.12B-12.7M0.2816.2667,42618,5911,186,041285,833
2008-09-22$89.18$79.0050.6%14.5%51.5%0.0%50.7%-4.2%-6.6%114.1M-3.12B-12.8M0.3316.9370,95023,450795,354164,311
2008-09-23$88.32$80.0048.0%13.8%51.7%0.0%49.7%-4.5%-8.8%121.3M-2.99B-12.9M0.3013.1855,07316,357830,736182,379
2008-09-24$86.71$80.0042.1%12.1%52.3%0.0%43.1%-3.9%-5.1%126.4M-2.64B-12.5M0.4213.3251,21121,574847,710186,283
2008-09-25$86.45$80.0041.9%12.0%52.3%0.0%43.9%-4.2%-3.1%124.0M-2.54B-12.7M0.1816.66106,02519,210865,820199,955
2008-09-26$86.64$80.0043.7%12.5%52.3%0.0%44.9%-3.5%-3.2%122.4M-2.56B-12.6M0.4416.4137,44616,401861,359207,649
2008-09-29$89.57$80.0050.1%14.4%53.3%0.0%51.2%-4.0%-3.7%127.7M-3.24B-13.0M0.3029.5449,79814,850866,066215,352
2008-09-30$85.07$81.0048.4%13.9%55.5%0.0%49.7%-2.8%-4.1%110.1M-2.15B-12.3M0.6215.3337,30623,196873,046222,580