GLD Options History — April 2009

In April 2009, GLD traded between $85.22 and $91.03. ATM implied volatility averaged 26.6%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.5% (HV 20d: 23.1%). Max pain ranged from $87.00 to $90.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2009-04-06: Highest Volume — 236,885 contracts
  • 2009-04-09: Largest IV spike — 8.1% change
  • 2009-04-02: Highest IV Rank — 16.9%
  • 2009-04-03: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.53$85.22$91.03$91.03$87.27
Max Pain$88.19$87.00$90.00$90.00$88.00
ATM IV26.6%22.7%29.2%28.4%22.7%
Expected Move7.8%6.5%9.0%8.1%6.5%
HV 20d23.1%20.0%25.9%25.9%22.4%
HV 60d26.7%24.4%28.6%28.1%24.5%
IV Rank11.3%3.0%16.9%15.1%3.0%
IV Percentile23.3%3.9%30.5%28.7%3.9%
Term Structure2.2%1.3%3.2%3.2%2.5%
VWIV27.7%23.6%31.8%29.2%23.6%
Skew 25d-1.7%-2.9%-0.5%-1.6%-0.5%
Skew 10d-3.1%-4.8%-1.4%-3.3%-2.0%
Call IV 25d28.7%23.7%33.5%30.1%23.7%
Put IV 25d27.0%23.2%30.7%28.6%23.2%
Bid-Ask Spread %10.156.4313.839.486.43
Gamma HHI0.070.050.280.070.05
Net GEX31.4M-99.4M98.4M98.4M47.3M
Net DEX-1.08B-2.43B379.1M-2.43B-1.12B
Net VEX-29.2M-32.1M-26.1M-32.1M-28.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.272.280.370.39
Total Volume100,519.66731,238236,88585,64144,214
Total OI2,213,622.191,935,0312,473,2612,123,5012,133,382

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$91.03$90.0028.4%8.1%25.9%15.1%29.2%-1.6%3.2%98.4M-2.43B-32.1M0.379.4862,62923,0121,429,366694,135
2009-04-02$88.80$90.0029.2%8.4%24.6%16.9%29.4%-2.7%2.8%56.3M-1.56B-30.8M1.469.4888,893129,6211,443,829703,506
2009-04-03$87.59$90.0027.5%9.0%24.8%13.3%31.8%-2.9%1.6%27.0M-1.00B-30.3M1.3013.8345,80359,3761,468,456743,768
2009-04-06$85.27$90.0028.1%8.9%25.7%14.4%31.2%-2.5%1.5%-14.7M53.8M-28.2M1.0612.32114,776122,1091,477,796768,828
2009-04-07$86.74$90.0026.9%8.8%24.9%12.0%31.0%-2.9%1.3%-155.9K-535.7M-29.5M0.3012.1794,74328,5011,524,780806,714
2009-04-08$86.61$90.0024.9%8.3%24.5%7.6%29.1%-1.8%1.9%-8.3M-431.2M-29.3M0.4812.4466,58931,7891,543,197813,038
2009-04-09$86.31$88.0026.9%7.7%23.0%11.9%27.3%-2.4%2.4%-14.2M-315.8M-28.6M1.0811.8246,66950,3571,573,633817,031
2009-04-13$87.88$88.0028.2%8.1%24.1%14.7%28.4%-1.7%2.2%26.3M-1.15B-29.5M0.899.8137,08733,1711,594,521823,936
2009-04-14$87.37$88.0027.4%7.8%24.1%12.9%28.0%-1.8%2.4%8.6M-899.1M-28.5M2.2810.5920,26746,2991,598,421828,411
2009-04-15$87.50$88.0026.7%7.7%24.0%11.5%26.8%-1.9%1.9%3.8M-982.4M-28.3M1.9210.8229,53356,6281,602,246845,915
2009-04-16$85.81$88.0026.0%7.5%21.0%10.1%26.6%-1.6%2.3%-30.5M26.9M-26.9M0.969.8567,56964,6221,614,107847,534
2009-04-17$85.22$88.0025.6%7.3%20.0%9.0%26.4%-1.3%2.2%-99.4M379.1M-26.1M0.878.1881,42070,6281,627,935845,326
2009-04-20$86.95$87.0026.4%7.6%21.8%10.9%26.7%-0.9%2.3%48.5M-1.08B-28.0M0.5310.1449,95226,6121,299,096635,935
2009-04-21$86.89$87.0026.3%7.5%21.3%10.6%26.7%-1.2%2.4%51.7M-1.10B-28.3M0.6010.6926,77216,0761,325,056650,221
2009-04-22$87.38$87.0026.3%7.5%21.3%10.6%26.4%-1.4%2.1%58.6M-1.29B-28.6M0.277.7448,95613,2181,333,368656,367
2009-04-23$88.80$87.0026.9%7.7%21.8%11.9%27.5%-0.8%3.1%79.1M-1.89B-30.0M0.7310.8574,16453,7781,350,210659,725
2009-04-24$89.72$87.0027.2%7.8%22.2%12.6%27.8%-1.9%1.6%91.7M-2.28B-31.3M0.2710.7987,13423,7861,385,113686,980
2009-04-27$89.01$87.0026.8%7.7%21.9%11.8%27.0%-1.5%2.6%89.9M-2.05B-30.9M0.708.1018,42712,8111,413,765695,580
2009-04-28$87.75$87.0025.4%7.3%22.3%8.8%26.0%-1.0%1.8%65.2M-1.46B-29.6M0.729.5552,91838,2531,400,219702,645
2009-04-29$88.33$87.0024.6%7.0%22.4%6.9%24.7%-1.0%2.3%73.4M-1.64B-29.8M0.678.0831,07620,6751,408,106713,869
2009-04-30$87.27$88.0022.7%6.5%22.4%3.0%23.6%-0.5%2.5%47.3M-1.12B-28.7M0.396.4331,82812,3861,413,497719,885