GLD Options History — November 2008 In November 2008, GLD traded between $70.00 and $80.91. ATM implied volatility averaged 46.5%. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 2.9% (HV 20d: 43.7%). Max pain ranged from $77.00 to $80.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.75.
Notable Days 2008-11-21 : Highest Volume — 193,962 contracts2008-11-21 : Largest IV spike — 14.3% change2008-11-03 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $74.60 $70.00 $80.91 $71.10 $80.31 Max Pain $79.37 $77.00 $80.00 $77.00 $80.00 ATM IV 46.5% 42.9% 54.1% 54.1% 43.5% Expected Move 13.2% 11.9% 15.5% 15.5% 12.5% HV 20d 43.7% 35.6% 50.5% 46.8% 42.5% HV 60d 47.8% 45.8% 50.0% 45.8% 49.6% Term Structure -1.6% -4.5% 3.1% -4.2% 3.1% VWIV 47.6% 42.2% 55.2% 55.2% 44.3% Skew 25d -1.3% -3.5% 0.4% 0.4% -2.9% Skew 10d -2.2% -6.0% 2.1% 0.1% -5.9% Call IV 25d 48.3% 43.6% 55.5% 55.5% 46.7% Put IV 25d 47.0% 42.4% 55.9% 55.9% 43.8% Bid-Ask Spread % 18.68 14.77 24.30 17.70 23.43 Gamma HHI 0.07 0.05 0.10 0.05 0.08 Net GEX 28.8M 7.0M 61.1M 22.1M 53.7M Net DEX -36.0M -1.11B 716.1M 325.4M -948.0M Net VEX -8.5M -10.7M -6.9M -8.3M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.24 2.38 1.20 0.49 Total Volume 47,304.526 14,725 193,962 22,095 14,725 Total OI 1,154,111.579 949,501 1,266,595 1,136,843 990,938
Daily Data (19 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 2008-11-03 $71.10 $77.00 54.1% 15.5% 46.8% 0.0% 55.2% 0.4% -4.2% 22.1M 325.4M -8.3M 1.20 17.70 10,042 12,053 805,982 330,861 2008-11-04 $75.48 $77.00 50.8% 14.6% 50.5% 0.0% 52.4% -0.5% -4.5% 40.1M -238.7M -9.2M 0.68 18.32 29,602 20,038 808,264 329,539 2008-11-05 $72.80 $77.00 48.5% 13.9% 50.1% 0.0% 49.8% -0.5% -4.3% 26.0M 248.5M -8.1M 0.54 17.18 21,945 11,937 813,433 333,143 2008-11-06 $72.22 $77.00 47.4% 13.6% 49.8% 0.0% 49.3% -1.1% -3.8% 22.3M 361.7M -7.7M 0.24 16.61 42,511 10,166 816,992 335,987 2008-11-07 $72.50 $80.00 43.0% 12.0% 43.3% 0.0% 43.1% -1.2% -2.5% 22.2M 334.8M -7.9M 0.72 17.60 11,157 8,019 841,889 339,153 2008-11-10 $73.58 $80.00 44.6% 11.9% 43.9% 0.0% 43.6% -1.8% -2.4% 26.4M 186.9M -7.9M 0.73 22.16 11,540 8,424 847,177 342,139 2008-11-11 $72.05 $80.00 45.1% 12.0% 44.1% 0.0% 42.2% -1.2% -2.0% 17.7M 429.5M -7.3M 2.38 17.62 10,763 25,622 849,711 344,427 2008-11-12 $70.00 $80.00 47.0% 12.6% 44.1% 0.0% 45.4% -1.1% -2.9% 7.0M 716.1M -6.9M 1.33 18.85 15,201 20,285 852,073 353,164 2008-11-13 $72.15 $80.00 45.9% 13.2% 43.4% 0.0% 48.2% 0.4% -2.3% 16.2M 397.4M -7.7M 1.42 15.18 18,333 26,031 857,075 360,115 2008-11-14 $73.30 $80.00 47.4% 13.6% 43.2% 0.0% 49.9% -1.3% -3.5% 23.2M 161.4M -8.1M 0.59 17.77 42,266 24,811 859,954 360,785 2008-11-17 $72.65 $80.00 45.8% 13.1% 42.7% 0.0% 46.8% -1.4% -2.7% 15.6M 345.9M -7.6M 0.78 16.58 18,142 14,077 872,551 363,437 2008-11-18 $72.51 $80.00 43.6% 12.5% 41.3% 0.0% 45.9% -0.3% -1.8% 11.1M 437.6M -7.3M 0.48 14.77 21,941 10,516 877,340 367,031 2008-11-19 $72.26 $80.00 42.9% 12.3% 35.7% 0.0% 43.8% -0.9% -0.9% 7.9M 442.1M -7.3M 0.28 16.12 35,851 10,058 882,909 364,687 2008-11-20 $73.45 $80.00 42.9% 12.3% 35.6% 0.0% 44.7% -0.9% -0.4% 16.1M 214.9M -7.6M 0.88 20.54 24,240 21,420 894,460 365,965 2008-11-21 $78.85 $80.00 49.0% 14.1% 42.8% 0.0% 51.0% -1.4% 0.5% 61.1M -959.5M -9.5M 0.33 21.98 145,938 48,024 897,305 369,290 2008-11-24 $80.91 $80.00 50.5% 14.5% 43.4% 0.0% 53.4% -3.5% -0.6% 52.9M -1.11B -10.6M 0.34 17.59 58,348 19,875 684,802 264,699 2008-11-25 $80.87 $80.00 47.6% 13.7% 43.0% 0.0% 49.6% -3.5% 1.1% 53.6M -1.07B -10.7M 0.57 20.57 28,766 16,295 693,782 273,196 2008-11-26 $80.38 $80.00 44.4% 12.7% 43.2% 0.0% 45.7% -2.3% 3.1% 52.8M -964.7M -10.6M 0.28 24.30 23,217 6,607 702,843 281,022 2008-11-28 $80.31 $80.00 43.5% 12.5% 42.5% 0.0% 44.3% -2.9% 3.1% 53.7M -948.0M -10.4M 0.49 23.43 9,888 4,837 707,398 283,540
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