GLD Options History — December 2008

In December 2008, GLD traded between $74.52 and $86.52. ATM implied volatility averaged 39.9%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 0.7% (HV 20d: 39.2%). Max pain ranged from $79.00 to $82.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.57.

Notable Days

2008-12-16: Highest Volume — 151,866 contracts
2008-12-11: Largest IV spike — 14.1% change
2008-12-01: Highest IV Rank — 52.9%
2008-12-01: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.16	$74.52	$86.52	$75.65	$86.52
Max Pain	$80.50	$79.00	$82.00	$80.00	$82.00
ATM IV	39.9%	35.6%	46.1%	46.1%	37.4%
Expected Move	11.7%	10.2%	13.2%	13.2%	10.7%
HV 20d	39.2%	25.7%	47.9%	47.7%	25.7%
HV 60d	46.3%	41.9%	51.2%	51.0%	41.9%
IV Rank	39.6%	30.6%	52.9%	52.9%	34.3%
IV Percentile	57.9%	50.0%	72.2%	72.2%	53.1%
Term Structure	1.1%	-1.0%	3.3%	0.9%	3.1%
VWIV	42.3%	36.4%	47.9%	47.9%	37.1%
Skew 25d	-2.9%	-5.0%	-1.1%	-2.1%	-3.7%
Skew 10d	-5.8%	-9.9%	-1.2%	-6.7%	-6.1%
Call IV 25d	43.7%	37.4%	48.2%	48.2%	40.1%
Put IV 25d	40.7%	35.4%	46.1%	46.1%	36.4%
Bid-Ask Spread %	19.19	15.42	23.63	21.22	18.99
Gamma HHI	0.10	0.08	0.21	0.08	0.10
Net GEX	48.4M	22.1M	90.2M	32.3M	51.2M
Net DEX	-869.9M	-1.92B	-14.8M	-276.2M	-1.34B
Net VEX	-9.8M	-11.5M	-8.1M	-9.1M	-11.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.15	1.49	0.37	0.55
Total Volume	47,785.682	10,236	151,866	40,846	38,309
Total OI	978,216.364	743,583	1,229,371	996,624	834,145

Daily Data (22 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
2008-12-01	$75.65	$80.00	46.1%	13.2%	47.7%	52.9%	47.9%	-2.1%	0.9%	32.3M	-276.2M	-9.1M	0.37	21.22	29,866	10,980	712,486	284,138
2008-12-02	$76.95	$80.00	42.9%	12.3%	47.9%	46.1%	45.6%	-1.2%	1.8%	37.0M	-381.6M	-9.2M	0.53	20.91	16,907	8,937	716,952	287,378
2008-12-03	$76.18	$80.00	41.2%	11.8%	43.2%	42.4%	43.7%	-1.2%	3.0%	32.1M	-245.1M	-8.9M	0.15	19.27	36,490	5,549	722,881	290,652
2008-12-04	$75.50	$80.00	39.8%	11.4%	41.2%	39.5%	41.5%	-2.0%	3.3%	32.0M	-169.5M	-8.7M	1.25	21.87	16,894	21,182	745,374	292,525
2008-12-05	$74.52	$80.00	39.1%	12.7%	41.4%	38.1%	46.3%	-3.5%	-0.9%	22.1M	-14.8M	-8.4M	0.57	23.13	16,119	9,220	726,141	298,728
2008-12-08	$76.19	$79.00	37.9%	12.1%	42.1%	35.3%	44.0%	-3.1%	0.4%	29.8M	-188.5M	-8.3M	0.28	17.54	21,127	5,896	726,754	298,942
2008-12-09	$76.33	$80.00	37.0%	12.0%	41.8%	33.6%	43.4%	-3.1%	-0.5%	32.6M	-198.3M	-8.1M	0.84	15.42	14,731	12,448	730,143	295,510
2008-12-10	$79.75	$80.00	37.1%	12.0%	43.4%	33.7%	43.7%	-3.6%	0.2%	53.1M	-695.2M	-8.7M	0.58	23.63	25,194	14,627	728,321	303,483
2008-12-11	$80.65	$80.00	42.3%	12.1%	41.6%	44.9%	45.3%	-4.9%	0.1%	60.0M	-869.0M	-8.9M	0.28	19.70	54,868	15,334	731,577	304,569
2008-12-12	$80.81	$80.00	42.2%	12.1%	40.7%	44.5%	43.6%	-5.0%	0.0%	59.0M	-854.1M	-9.0M	0.55	17.33	19,787	10,844	750,327	311,443
2008-12-15	$82.60	$80.00	43.7%	12.5%	40.9%	47.9%	46.0%	-4.7%	-0.2%	68.0M	-1.18B	-9.1M	0.45	17.02	44,082	19,798	751,473	316,587
2008-12-16	$84.46	$80.00	41.6%	11.9%	40.9%	43.4%	42.7%	-4.6%	1.0%	79.1M	-1.55B	-9.4M	0.19	18.40	127,720	24,146	761,492	322,525
2008-12-17	$85.43	$80.00	43.1%	12.3%	40.8%	46.5%	43.4%	-3.7%	-1.0%	90.2M	-1.92B	-11.1M	0.53	16.47	71,394	37,970	854,956	333,875
2008-12-18	$83.87	$80.00	40.4%	11.6%	41.7%	40.6%	40.7%	-3.5%	0.7%	65.3M	-1.54B	-11.3M	0.54	19.79	35,615	19,217	862,159	353,723
2008-12-19	$82.63	$81.00	38.6%	11.1%	42.3%	36.9%	39.1%	-3.5%	1.4%	73.7M	-1.29B	-10.9M	1.49	21.09	17,117	25,446	871,082	358,289
2008-12-22	$83.46	$81.00	37.7%	10.8%	34.7%	35.0%	38.9%	-1.1%	2.2%	37.4M	-929.6M	-10.6M	0.71	17.10	21,078	15,045	526,042	217,541
2008-12-23	$82.63	$81.00	35.6%	10.2%	33.9%	30.6%	36.4%	-1.9%	2.3%	34.9M	-815.2M	-10.5M	0.41	20.28	20,622	8,558	532,287	228,368
2008-12-24	$83.46	$81.00	35.7%	10.2%	34.0%	30.7%	36.6%	-1.6%	2.2%	36.9M	-919.4M	-10.7M	0.64	18.51	6,231	4,005	536,665	231,643
2008-12-26	$85.60	$82.00	37.9%	10.9%	34.9%	35.3%	41.1%	-2.6%	1.0%	43.2M	-1.21B	-11.0M	0.26	16.80	38,506	9,836	538,435	233,521
2008-12-29	$86.35	$82.00	40.8%	11.7%	34.9%	41.7%	41.7%	-2.0%	0.7%	48.4M	-1.32B	-11.1M	0.64	20.70	21,367	13,647	554,848	238,776
2008-12-30	$85.90	$82.00	39.2%	11.2%	26.0%	38.2%	41.9%	-2.2%	1.4%	47.2M	-1.24B	-11.1M	0.70	16.96	37,881	26,695	559,709	244,295
2008-12-31	$86.52	$82.00	37.4%	10.7%	25.7%	34.3%	37.1%	-3.7%	3.1%	51.2M	-1.34B	-11.5M	0.55	18.99	24,698	13,611	574,080	260,065