GLD Options History — January 2009

In January 2009, GLD traded between $79.79 and $91.31. ATM implied volatility averaged 34.6%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.3% (HV 20d: 28.4%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.64.

Notable Days

2009-01-23: Highest Volume — 215,015 contracts
2009-01-13: Largest IV drop — 19.6% change
2009-01-12: Highest IV Rank — 34.7%
2009-01-05: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.94	$79.79	$91.31	$86.23	$91.31
Max Pain	$83.15	$82.00	$85.00	$82.00	$85.00
ATM IV	34.6%	30.2%	37.6%	36.9%	34.9%
Expected Move	10.1%	9.5%	10.8%	10.6%	10.0%
HV 20d	28.4%	24.5%	32.3%	25.2%	32.3%
HV 60d	37.5%	35.1%	41.3%	41.3%	35.9%
IV Rank	28.4%	19.0%	34.7%	33.3%	29.1%
IV Percentile	48.2%	41.9%	56.2%	50.0%	47.9%
Term Structure	2.0%	1.1%	4.4%	2.7%	4.4%
VWIV	35.9%	33.5%	38.3%	37.8%	36.1%
Skew 25d	-2.5%	-3.6%	-1.1%	-2.3%	-3.0%
Skew 10d	-4.7%	-7.0%	-1.6%	-4.7%	-5.3%
Call IV 25d	37.3%	34.2%	40.3%	39.3%	37.7%
Put IV 25d	34.8%	32.5%	37.5%	37.0%	34.7%
Bid-Ask Spread %	14.53	10.10	19.39	16.09	11.36
Gamma HHI	0.09	0.06	0.14	0.11	0.14
Net GEX	42.9M	1.8M	88.0M	50.6M	88.0M
Net DEX	-1.05B	-2.40B	-63.6M	-1.26B	-2.40B
Net VEX	-12.1M	-16.3M	-10.1M	-11.3M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.24	1.53	0.95	0.33
Total Volume	65,731.55	30,377	215,015	38,402	120,908
Total OI	896,614.6	678,591	1,019,962	838,773	1,013,313

Daily Data (20 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
2009-01-02	$86.23	$82.00	36.9%	10.6%	25.2%	33.3%	37.8%	-2.3%	2.7%	50.6M	-1.26B	-11.3M	0.95	16.09	19,733	18,669	574,664	264,109
2009-01-05	$84.48	$84.00	35.5%	10.8%	26.5%	30.4%	38.3%	-2.6%	1.8%	37.2M	-890.2M	-10.8M	0.96	14.98	15,535	14,842	572,922	278,198
2009-01-06	$85.13	$84.00	35.6%	10.7%	25.5%	30.5%	37.7%	-3.6%	1.7%	42.0M	-986.9M	-10.9M	0.49	13.48	36,557	17,844	579,310	283,813
2009-01-07	$82.75	$84.00	36.4%	10.6%	27.7%	32.3%	37.7%	-2.8%	1.2%	33.7M	-649.3M	-10.7M	0.81	14.16	21,138	17,076	600,866	291,694
2009-01-08	$84.46	$84.00	36.3%	10.6%	28.2%	32.0%	38.2%	-2.2%	1.3%	43.3M	-920.4M	-11.0M	0.37	14.58	31,259	11,480	605,345	297,564
2009-01-09	$83.92	$83.00	32.5%	10.1%	24.5%	23.8%	36.2%	-3.1%	1.7%	44.1M	-870.8M	-11.0M	0.88	12.81	28,178	24,880	623,635	303,965
2009-01-12	$80.76	$83.00	37.6%	9.9%	28.2%	34.7%	35.3%	-2.3%	1.3%	19.1M	-266.1M	-10.1M	0.98	18.20	32,606	31,800	635,973	315,858
2009-01-13	$80.88	$83.00	30.2%	9.7%	28.2%	19.0%	34.3%	-2.6%	1.1%	25.1M	-328.0M	-10.3M	1.53	14.58	25,989	39,772	651,069	313,116
2009-01-14	$79.79	$83.00	30.9%	9.5%	27.3%	20.5%	33.9%	-2.1%	1.4%	1.8M	-63.6M	-10.2M	0.61	17.50	39,784	24,428	661,838	332,405
2009-01-15	$80.39	$82.00	33.1%	9.5%	26.1%	25.1%	34.0%	-1.2%	2.1%	9.0M	-251.5M	-10.6M	0.58	19.32	39,871	22,949	667,744	335,468
2009-01-16	$82.71	$82.00	33.2%	9.5%	27.9%	25.4%	33.5%	-2.1%	1.8%	40.2M	-822.2M	-11.2M	0.60	19.39	41,217	24,591	682,123	337,839
2009-01-20	$84.52	$82.00	35.6%	10.2%	28.4%	30.6%	36.2%	-1.1%	1.2%	28.8M	-847.2M	-11.3M	0.50	14.88	35,465	17,906	456,006	222,585
2009-01-21	$84.15	$82.00	33.7%	9.7%	27.8%	26.5%	34.1%	-1.6%	2.1%	30.9M	-852.7M	-11.4M	0.24	16.01	30,626	7,406	476,570	230,735
2009-01-22	$84.58	$82.00	33.1%	9.5%	27.7%	25.1%	33.9%	-1.7%	2.9%	33.5M	-985.0M	-12.1M	0.41	14.94	36,011	14,827	498,728	234,689
2009-01-23	$88.53	$82.00	37.3%	10.7%	31.6%	34.0%	38.0%	-2.9%	1.1%	46.6M	-1.53B	-13.3M	0.29	10.10	166,375	48,640	526,142	246,172
2009-01-26	$88.95	$83.00	36.9%	10.6%	31.5%	33.3%	37.7%	-3.2%	1.8%	70.8M	-1.84B	-14.9M	0.65	11.74	33,358	21,596	640,258	279,567
2009-01-27	$88.38	$83.00	33.5%	9.6%	30.6%	25.9%	33.8%	-2.3%	2.7%	72.2M	-1.69B	-14.7M	0.62	12.91	33,335	20,823	648,289	285,245
2009-01-28	$87.42	$85.00	34.5%	9.9%	30.8%	28.2%	35.0%	-3.5%	2.1%	65.5M	-1.60B	-15.2M	0.65	11.33	37,813	24,653	676,557	298,020
2009-01-29	$89.50	$85.00	35.0%	10.0%	31.7%	29.2%	35.7%	-2.9%	2.6%	76.0M	-1.94B	-15.6M	0.29	12.29	65,773	18,918	678,300	311,598
2009-01-30	$91.31	$85.00	34.9%	10.0%	32.3%	29.1%	36.1%	-3.0%	4.4%	88.0M	-2.40B	-16.3M	0.33	11.36	90,688	30,220	699,698	313,615