GLD Options History — February 2009 In February 2009, GLD traded between $88.32 and $97.80. ATM implied volatility averaged 35.5%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.3% (HV 20d: 29.2%). Max pain ranged from $85.00 to $92.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.53.
Notable Days 2009-02-20 : Highest Volume — 386,358 contracts2009-02-12 : Largest IV spike — 13.6% change2009-02-18 : Highest IV Rank — 39.7%2009-02-18 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $92.63 $88.32 $97.80 $88.84 $92.63 Max Pain $88.95 $85.00 $92.00 $85.00 $91.00 ATM IV 35.5% 31.4% 39.9% 35.3% 35.3% Expected Move 10.4% 9.5% 11.4% 10.1% 10.1% HV 20d 29.2% 25.0% 34.0% 34.0% 27.4% HV 60d 32.3% 28.2% 34.6% 34.6% 28.2% IV Rank 30.2% 21.5% 39.7% 29.9% 29.8% IV Percentile 51.6% 39.5% 65.4% 48.8% 48.4% Term Structure 2.2% 1.3% 3.6% 2.9% 2.4% VWIV 37.4% 34.3% 40.7% 38.6% 35.9% Skew 25d -3.1% -5.0% -0.4% -3.4% -0.6% Skew 10d -6.0% -9.7% 0.7% -7.1% -1.4% Call IV 25d 38.9% 34.8% 43.9% 38.1% 36.1% Put IV 25d 35.8% 32.6% 38.9% 34.7% 35.5% Bid-Ask Spread % 12.56 8.77 16.04 12.62 13.71 Gamma HHI 0.10 0.07 0.17 0.12 0.07 Net GEX 137.1M 70.7M 242.8M 81.2M 70.7M Net DEX -3.30B -6.08B -1.86B -1.93B -2.38B Net VEX -24.2M -30.5M -16.7M -16.7M -30.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.13 1.02 0.46 0.65 Total Volume 169,612.368 97,883 386,358 142,822 158,834 Total OI 1,628,235.421 1,074,854 1,934,606 1,074,854 1,903,328
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 2009-02-02 $88.84 $85.00 35.3% 10.1% 34.0% 29.9% 38.6% -3.4% 2.9% 81.2M -1.93B -16.7M 0.46 12.62 97,889 44,933 744,082 330,772 2009-02-03 $88.47 $85.00 34.1% 9.8% 33.1% 27.3% 37.5% -2.8% 2.6% 82.6M -1.86B -17.1M 0.13 15.32 176,747 22,478 777,240 354,616 2009-02-04 $89.18 $85.00 33.2% 9.5% 33.1% 25.3% 35.2% -2.8% 3.6% 102.7M -2.12B -17.8M 0.16 13.71 119,795 19,005 892,833 363,142 2009-02-05 $90.12 $85.00 33.3% 9.6% 31.1% 25.6% 34.3% -2.2% 3.3% 128.2M -2.55B -18.9M 0.47 16.04 133,870 62,773 982,163 373,779 2009-02-06 $89.59 $88.00 31.4% 10.5% 30.7% 21.5% 36.8% -4.5% 1.5% 131.9M -2.57B -21.5M 1.02 10.00 57,282 58,415 1,078,103 422,116 2009-02-09 $88.32 $88.00 32.0% 10.1% 31.1% 22.9% 37.0% -4.5% 1.9% 101.1M -1.99B -21.5M 0.15 11.43 139,494 21,203 1,098,171 472,058 2009-02-10 $90.21 $88.00 31.6% 10.1% 27.7% 21.9% 35.5% -3.7% 1.3% 147.1M -2.73B -22.4M 0.77 12.54 55,376 42,507 1,125,315 479,428 2009-02-11 $92.29 $89.00 32.7% 10.5% 28.4% 24.4% 37.3% -3.9% 1.5% 170.3M -3.48B -22.9M 0.30 8.77 148,504 44,357 1,126,204 504,368 2009-02-12 $93.17 $90.00 37.2% 10.7% 27.3% 33.9% 37.5% -4.3% 1.8% 177.7M -3.84B -23.8M 0.45 11.48 101,411 45,556 1,145,583 517,711 2009-02-13 $92.55 $90.00 35.2% 10.1% 27.8% 29.7% 36.0% -3.9% 2.6% 185.3M -3.68B -24.5M 0.74 12.16 60,199 44,438 1,198,235 539,892 2009-02-17 $95.45 $90.00 39.5% 11.3% 28.1% 38.8% 39.9% -3.9% 1.8% 222.2M -4.87B -24.8M 0.59 12.86 92,082 54,150 1,202,151 559,194 2009-02-18 $96.91 $90.00 39.9% 11.4% 27.7% 39.7% 40.7% -5.0% 1.7% 222.3M -5.51B -25.9M 0.77 12.40 117,767 90,420 1,242,811 585,665 2009-02-19 $95.77 $90.00 36.4% 10.4% 28.2% 32.3% 36.7% -3.9% 2.4% 242.8M -4.97B -25.8M 0.39 11.69 122,386 47,417 1,274,976 621,661 2009-02-20 $97.80 $90.00 37.2% 10.7% 28.7% 34.0% 38.2% -3.4% 2.5% 195.8M -6.08B -26.8M 0.50 13.13 257,838 128,520 1,310,878 623,728 2009-02-23 $97.73 $91.00 38.8% 11.1% 25.0% 37.4% 39.7% -2.3% 1.6% 103.6M -3.93B -29.3M 0.81 10.25 64,889 52,568 1,102,635 547,374 2009-02-24 $94.73 $91.00 36.8% 10.6% 28.1% 33.1% 37.7% -1.7% 2.5% 89.3M -3.05B -29.3M 0.49 12.17 144,377 71,382 1,142,514 569,081 2009-02-25 $93.15 $92.00 37.8% 10.8% 28.8% 35.1% 38.9% -0.4% 1.3% 77.3M -2.62B -30.5M 0.61 14.76 104,539 63,851 1,234,438 610,398 2009-02-26 $93.06 $92.00 36.2% 10.4% 28.4% 31.8% 37.0% -1.8% 1.7% 72.6M -2.46B -30.3M 0.64 13.69 95,029 60,354 1,237,555 642,275 2009-02-27 $92.63 $91.00 35.3% 10.1% 27.4% 29.8% 35.9% -0.6% 2.4% 70.7M -2.38B -30.5M 0.65 13.71 96,549 62,285 1,245,231 658,097
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