GLD Options History — March 2009

In March 2009, GLD traded between $88.14 and $94.35. ATM implied volatility averaged 33.3%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 5.4% (HV 20d: 27.9%). Max pain ranged from $90.00 to $92.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.55.

Notable Days

2009-03-18: Highest Volume — 389,521 contracts
2009-03-18: Largest IV spike — 12.1% change
2009-03-02: Highest IV Rank — 35.7%
2009-03-02: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.11	$88.14	$94.35	$90.93	$90.28
Max Pain	$90.27	$90.00	$92.00	$92.00	$90.00
ATM IV	33.3%	29.3%	38.0%	38.0%	29.3%
Expected Move	9.6%	8.4%	10.9%	10.9%	8.4%
HV 20d	27.9%	25.8%	30.3%	27.4%	26.2%
HV 60d	28.5%	28.0%	29.0%	28.4%	28.4%
IV Rank	25.6%	17.1%	35.7%	35.7%	17.1%
IV Percentile	42.6%	30.3%	65.0%	63.1%	30.3%
Term Structure	2.0%	0.6%	3.5%	0.9%	3.1%
VWIV	34.5%	30.6%	39.1%	38.7%	31.3%
Skew 25d	-2.3%	-3.5%	-0.6%	-0.7%	-2.2%
Skew 10d	-4.4%	-6.2%	-1.6%	-2.1%	-5.0%
Call IV 25d	35.8%	31.5%	40.8%	39.2%	31.5%
Put IV 25d	33.5%	28.8%	38.5%	38.5%	29.3%
Bid-Ask Spread %	14.53	10.56	18.50	12.63	10.56
Gamma HHI	0.07	0.06	0.10	0.07	0.07
Net GEX	75.9M	486.3K	197.0M	46.9M	79.6M
Net DEX	-2.34B	-4.58B	-760.5M	-1.78B	-2.15B
Net VEX	-30.7M	-36.7M	-28.5M	-29.8M	-31.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.30	1.10	0.61	0.34
Total Volume	138,859.273	46,185	389,521	116,949	142,356
Total OI	2,119,567.591	1,804,404	2,504,415	1,920,138	2,052,774

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
2009-03-02	$90.93	$92.00	38.0%	10.9%	27.4%	35.7%	38.7%	-0.7%	0.9%	46.9M	-1.78B	-29.8M	0.61	12.63	72,727	44,222	1,233,586	686,552
2009-03-03	$90.04	$92.00	35.3%	10.1%	25.8%	29.8%	36.6%	-1.9%	1.7%	33.0M	-1.40B	-29.2M	0.35	11.42	145,454	51,558	1,255,115	702,551
2009-03-04	$88.99	$91.00	33.7%	9.7%	26.1%	26.5%	34.8%	-1.0%	2.4%	26.5M	-1.16B	-29.1M	0.58	13.61	84,505	49,075	1,314,384	712,365
2009-03-05	$91.99	$91.00	36.6%	10.5%	28.5%	32.6%	37.3%	-0.6%	0.8%	77.3M	-2.41B	-31.0M	0.43	13.73	81,709	35,233	1,352,067	711,714
2009-03-06	$92.29	$90.00	33.8%	10.4%	28.3%	26.6%	37.0%	-2.1%	2.0%	81.5M	-2.56B	-31.3M	0.45	14.80	82,482	37,447	1,372,624	723,838
2009-03-09	$90.57	$90.00	34.9%	10.1%	29.1%	29.0%	36.5%	-2.3%	1.5%	46.1M	-1.76B	-29.9M	0.53	14.41	77,089	41,211	1,368,977	740,034
2009-03-10	$88.14	$90.00	33.5%	9.7%	30.3%	26.1%	34.8%	-2.6%	1.9%	486.3K	-760.5M	-28.5M	0.31	13.47	166,600	52,251	1,387,842	756,947
2009-03-11	$89.22	$90.00	30.5%	9.1%	29.6%	19.6%	33.0%	-2.0%	2.1%	10.8M	-1.17B	-29.3M	0.43	18.50	81,125	35,146	1,430,167	771,758
2009-03-12	$91.10	$90.00	33.3%	9.5%	29.4%	25.5%	34.6%	-2.6%	1.7%	46.6M	-2.04B	-29.8M	0.55	18.36	151,058	83,321	1,412,289	773,369
2009-03-13	$91.30	$90.00	33.0%	9.5%	29.2%	25.0%	34.5%	-2.5%	1.6%	71.4M	-2.23B	-30.7M	0.82	16.69	37,311	30,485	1,501,552	801,733
2009-03-16	$90.80	$90.00	32.8%	9.4%	29.2%	24.4%	33.4%	-3.1%	1.7%	55.7M	-1.99B	-29.3M	0.64	15.47	73,656	46,820	1,509,727	790,050
2009-03-17	$90.04	$90.00	31.7%	9.1%	26.7%	22.2%	32.8%	-2.3%	1.1%	48.7M	-1.69B	-29.0M	0.67	14.62	52,256	34,789	1,549,541	789,507
2009-03-18	$93.09	$90.00	35.6%	10.2%	29.0%	30.4%	36.1%	-3.1%	0.9%	147.5M	-3.39B	-31.0M	0.64	14.29	237,175	152,346	1,561,400	795,002
2009-03-19	$94.35	$90.00	38.0%	10.9%	29.3%	35.6%	39.1%	-3.0%	0.6%	197.0M	-4.58B	-33.6M	0.30	15.10	162,913	49,067	1,665,151	839,264
2009-03-20	$93.59	$90.00	35.5%	10.2%	28.2%	30.3%	35.8%	-2.5%	1.4%	167.3M	-4.00B	-32.5M	0.45	16.57	69,041	31,245	1,645,308	829,784
2009-03-23	$92.08	$90.00	32.1%	9.2%	28.7%	23.1%	33.2%	-1.7%	2.7%	90.1M	-2.74B	-31.0M	1.10	14.62	55,510	60,892	1,231,299	573,105
2009-03-24	$91.00	$90.00	32.0%	9.2%	26.9%	22.7%	33.5%	-2.1%	3.2%	77.8M	-2.46B	-30.5M	0.57	13.34	83,390	47,177	1,253,649	592,407
2009-03-25	$91.98	$90.00	32.3%	9.3%	26.7%	23.4%	32.9%	-3.0%	2.1%	94.9M	-2.92B	-31.7M	0.37	12.82	62,192	22,818	1,296,774	611,409
2009-03-26	$91.93	$90.00	30.8%	8.8%	26.7%	20.2%	31.4%	-2.6%	3.5%	110.9M	-3.59B	-36.7M	0.54	16.09	29,971	16,214	1,458,847	628,878
2009-03-27	$90.69	$90.00	29.6%	8.5%	27.0%	17.6%	30.6%	-3.5%	3.3%	84.5M	-2.46B	-31.1M	0.50	13.91	46,460	23,393	1,333,209	627,175
2009-03-30	$89.98	$90.00	30.5%	8.7%	26.4%	19.6%	32.2%	-3.3%	3.2%	75.8M	-2.22B	-30.5M	0.95	14.61	59,218	55,996	1,352,094	634,669
2009-03-31	$90.28	$90.00	29.3%	8.4%	26.2%	17.1%	31.3%	-2.2%	3.1%	79.6M	-2.15B	-31.0M	0.34	10.56	105,985	36,371	1,381,060	671,714