GLD Options History — October 2008

In October 2008, GLD traded between $70.65 and $89.90. ATM implied volatility averaged 54.1%. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 0.2% (HV 20d: 53.9%). Max pain ranged from $77.00 to $82.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.57.

Notable Days

  • 2008-10-03: Highest Volume — 202,912 contracts
  • 2008-10-10: Largest IV spike — 32.6% change
  • 2008-10-28: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.22$70.65$89.90$85.97$71.34
Max Pain$79.70$77.00$82.00$81.00$77.00
ATM IV54.1%44.6%68.2%45.3%55.9%
Expected Move14.9%12.8%17.3%13.0%16.0%
HV 20d53.9%47.8%63.0%55.5%47.9%
HV 60d42.7%37.8%45.9%37.8%45.9%
Term Structure-4.4%-8.9%-2.1%-2.4%-3.7%
VWIV53.7%46.4%62.1%48.9%58.4%
Skew 25d-0.4%-4.6%3.0%-2.2%0.5%
Skew 10d0.3%-6.7%7.0%-5.6%2.9%
Call IV 25d54.5%45.7%62.1%48.7%57.6%
Put IV 25d54.2%46.3%63.2%46.5%58.2%
Bid-Ask Spread %15.947.9924.8114.5817.84
Gamma HHI0.060.050.080.070.05
Net GEX70.2M20.9M158.6M118.2M24.9M
Net DEX-1.04B-3.47B336.0M-2.29B197.8M
Net VEX-11.0M-14.6M-7.8M-12.4M-8.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.151.490.230.61
Total Volume80,512.43527,993202,912116,26341,166
Total OI1,170,902.565883,9851,396,4241,117,0521,121,837

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$85.97$81.0045.3%13.0%55.5%0.0%48.9%-2.2%-2.4%118.2M-2.29B-12.4M0.2314.5894,26621,997883,228233,824
2008-10-02$82.33$82.0053.8%15.4%57.9%0.0%55.4%0.1%-7.3%94.0M-1.59B-12.2M0.3616.94111,07640,151939,165243,996
2008-10-03$82.59$82.0052.9%15.2%57.9%0.0%53.7%1.9%-8.9%100.9M-1.61B-12.5M0.1520.56177,05325,859996,829255,625
2008-10-06$84.28$80.0058.6%14.0%58.2%0.0%49.6%-4.6%-4.4%126.9M-2.52B-14.6M0.3310.4456,26918,3771,101,669267,707
2008-10-07$87.27$80.0053.3%13.5%57.8%0.0%47.4%-3.1%-3.8%133.3M-2.70B-13.2M0.4011.6342,50116,945983,614273,007
2008-10-08$89.42$80.0047.7%13.5%56.4%0.0%49.3%-3.7%-2.6%151.1M-3.27B-13.4M0.1812.5891,07016,463985,243279,838
2008-10-09$89.90$80.0051.4%13.8%55.7%0.0%48.7%-3.6%-3.3%158.6M-3.47B-13.8M0.2514.0138,4979,5491,009,769286,534
2008-10-10$83.22$80.0068.2%16.4%63.0%0.0%59.2%1.6%-2.8%95.8M-1.78B-13.1M0.7114.0187,46662,4811,016,618289,434
2008-10-13$81.99$80.0062.3%15.2%62.8%0.0%55.1%-2.8%-4.4%83.5M-1.29B-12.1M0.667.9934,23922,5031,039,815316,369
2008-10-14$82.20$80.0050.0%13.5%62.7%0.0%48.1%-2.9%-3.6%84.2M-1.19B-11.6M0.5419.2434,62218,6251,042,339319,441
2008-10-15$83.31$80.0051.7%14.0%49.6%0.0%51.3%-0.9%-3.8%95.0M-1.42B-11.9M0.5121.6533,59016,9691,045,818322,995
2008-10-16$79.29$80.0048.7%14.0%51.4%0.0%50.2%-0.3%-3.4%35.4M-387.6M-10.6M1.0016.3357,41757,5201,053,853325,432
2008-10-17$77.21$80.0050.2%14.4%49.8%0.0%51.2%0.1%-3.8%32.8M48.6M-10.1M1.4914.3623,83835,4951,063,652332,772
2008-10-20$78.50$80.0044.6%12.8%48.1%0.0%46.5%0.7%-2.1%43.2M-426.1M-9.5M1.0817.9317,03218,417649,533234,452
2008-10-21$76.03$80.0044.6%12.8%48.9%0.0%46.4%0.6%-2.3%33.5M-90.5M-8.7M0.6521.4622,92014,901654,980244,630
2008-10-22$71.71$80.0056.0%16.0%52.1%0.0%57.5%3.0%-4.6%23.9M157.4M-8.2M0.6116.3072,00543,817662,472247,522
2008-10-23$70.65$80.0053.1%15.2%52.1%0.0%53.7%2.8%-5.5%20.9M336.0M-7.8M1.0124.8136,91037,301686,242265,967
2008-10-24$72.21$79.0056.7%16.3%53.1%0.0%59.1%2.3%-5.2%27.6M32.0M-9.1M0.3317.0447,07115,693706,221282,048
2008-10-27$72.18$78.0059.9%17.2%50.9%0.0%61.6%0.7%-6.1%29.9M-36.6M-9.1M0.4012.6557,76023,079729,083282,766
2008-10-28$73.79$79.0060.3%17.3%49.7%0.0%62.1%1.1%-6.4%34.0M-207.4M-9.8M0.2413.5760,59814,532746,673298,122
2008-10-29$74.00$78.0060.2%17.2%49.5%0.0%61.1%0.0%-6.3%36.2M-279.0M-10.1M0.6314.2034,20521,548787,532306,137
2008-10-30$72.71$77.0058.9%16.9%47.8%0.0%60.1%0.6%-5.5%30.9M-49.0M-9.6M0.6516.5417,00410,989797,741318,215
2008-10-31$71.34$77.0055.9%16.0%47.9%0.0%58.4%0.5%-3.7%24.9M197.8M-8.8M0.6117.8425,50915,657798,694323,143