GLD Options History — May 2009

In May 2009, GLD traded between $86.95 and $96.20. ATM implied volatility averaged 22.9%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.9% (HV 20d: 17.0%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2009-05-29: Highest Volume — 271,232 contracts
2009-05-21: Largest IV spike — 14.3% change
2009-05-21: Highest IV Rank — 10.5%
2009-05-04: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.30	$86.95	$96.20	$86.95	$96.20
Max Pain	$89.85	$88.00	$90.00	$88.00	$90.00
ATM IV	22.9%	20.7%	25.7%	22.9%	24.7%
Expected Move	6.8%	5.9%	7.7%	6.6%	7.1%
HV 20d	17.0%	14.5%	21.4%	20.8%	14.6%
HV 60d	23.0%	21.4%	24.7%	24.5%	21.6%
IV Rank	4.1%	0.0%	10.5%	3.4%	8.4%
IV Percentile	8.3%	0.0%	26.2%	4.8%	19.7%
Term Structure	1.5%	0.3%	2.7%	2.7%	2.3%
VWIV	24.4%	21.2%	26.9%	23.0%	26.6%
Skew 25d	-2.3%	-3.6%	-1.2%	-1.2%	-3.0%
Skew 10d	-4.6%	-6.8%	-2.6%	-2.6%	-5.0%
Call IV 25d	25.5%	22.3%	28.5%	23.8%	27.1%
Put IV 25d	23.2%	20.3%	26.4%	22.5%	24.1%
Bid-Ask Spread %	9.74	6.41	11.94	6.41	7.89
Gamma HHI	0.07	0.05	0.13	0.05	0.09
Net GEX	148.4M	39.5M	240.6M	39.5M	226.8M
Net DEX	-2.96B	-5.18B	-968.3M	-968.3M	-5.18B
Net VEX	-30.3M	-34.9M	-28.4M	-28.4M	-34.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.23	2.12	0.49	0.25
Total Volume	107,348.15	50,343	271,232	56,716	271,232
Total OI	2,221,116.3	1,968,295	2,402,437	2,151,628	2,368,218

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
2009-05-01	$86.95	$88.00	22.9%	6.6%	20.8%	3.4%	23.0%	-1.2%	2.7%	39.5M	-968.3M	-28.4M	0.49	6.41	37,960	18,756	1,424,766	726,862
2009-05-04	$88.64	$90.00	25.2%	7.7%	21.4%	8.2%	26.7%	-2.0%	1.5%	79.4M	-1.80B	-29.4M	0.77	10.70	29,352	22,687	1,452,421	735,880
2009-05-05	$88.25	$90.00	24.4%	7.4%	18.9%	6.7%	26.4%	-2.3%	1.8%	73.2M	-1.63B	-29.0M	1.41	11.94	33,688	47,549	1,458,868	741,415
2009-05-06	$89.54	$90.00	23.2%	7.3%	18.7%	4.0%	25.8%	-2.3%	1.0%	109.9M	-2.25B	-29.3M	0.85	10.64	104,914	89,288	1,470,640	748,282
2009-05-07	$89.44	$90.00	22.1%	7.1%	18.6%	1.7%	25.9%	-2.6%	1.1%	111.0M	-2.19B	-30.1M	0.47	11.16	69,679	32,652	1,512,388	782,187
2009-05-08	$89.98	$90.00	21.4%	7.0%	18.6%	0.1%	25.3%	-2.4%	1.9%	137.6M	-2.52B	-29.9M	2.12	10.63	23,745	50,241	1,519,307	774,463
2009-05-11	$89.69	$89.00	20.9%	6.6%	17.7%	0.0%	23.8%	-2.2%	2.3%	141.3M	-2.48B	-28.8M	0.34	10.80	55,616	18,682	1,523,381	758,849
2009-05-12	$90.70	$90.00	22.5%	6.6%	17.9%	3.3%	23.2%	-2.4%	1.5%	192.1M	-3.13B	-28.9M	0.49	10.60	72,764	35,799	1,561,713	766,164
2009-05-13	$91.09	$90.00	21.9%	6.9%	17.9%	2.1%	24.6%	-2.4%	0.8%	218.3M	-3.41B	-29.6M	0.51	10.78	72,716	37,269	1,589,603	779,058
2009-05-14	$91.03	$90.00	22.1%	6.3%	16.0%	2.4%	22.4%	-2.3%	1.2%	218.9M	-3.36B	-29.2M	0.73	10.91	50,863	37,083	1,610,134	792,303
2009-05-15	$91.55	$90.00	21.8%	6.2%	15.6%	1.8%	21.7%	-2.3%	1.2%	240.6M	-3.70B	-29.2M	0.49	9.39	75,412	36,911	1,605,693	788,726
2009-05-18	$90.36	$90.00	20.7%	5.9%	15.4%	0.0%	21.2%	-1.8%	1.5%	99.1M	-2.09B	-28.5M	0.73	11.26	44,791	32,592	1,339,179	629,116
2009-05-19	$90.96	$90.00	20.7%	5.9%	15.5%	0.0%	21.4%	-1.9%	1.1%	113.9M	-2.36B	-28.7M	0.49	10.51	33,772	16,571	1,356,353	637,407
2009-05-20	$92.25	$90.00	22.5%	6.4%	16.0%	3.7%	23.2%	-1.8%	0.8%	130.8M	-2.93B	-29.5M	0.58	9.39	63,770	36,952	1,369,747	640,087
2009-05-21	$93.85	$90.00	25.7%	7.4%	16.1%	10.5%	26.5%	-3.0%	0.3%	143.2M	-3.61B	-31.2M	0.39	8.89	131,265	50,679	1,393,311	648,639
2009-05-22	$94.15	$90.00	25.6%	7.3%	15.9%	10.4%	26.9%	-3.6%	0.8%	157.1M	-3.94B	-33.2M	0.31	8.41	106,902	33,659	1,476,371	672,795
2009-05-26	$93.76	$90.00	23.7%	6.8%	15.6%	6.3%	24.9%	-2.5%	1.6%	173.0M	-3.83B	-32.8M	0.29	8.49	40,218	11,492	1,532,879	690,883
2009-05-27	$93.45	$90.00	22.7%	6.5%	14.5%	4.3%	24.1%	-2.0%	2.5%	174.2M	-3.73B	-32.6M	0.47	7.60	61,670	28,746	1,547,844	697,851
2009-05-28	$94.24	$90.00	23.4%	6.7%	14.5%	5.8%	25.3%	-2.4%	1.9%	187.8M	-4.14B	-33.4M	0.23	8.37	104,889	24,137	1,582,815	715,728
2009-05-29	$96.20	$90.00	24.7%	7.1%	14.6%	8.4%	26.6%	-3.0%	2.3%	226.8M	-5.18B	-34.9M	0.25	7.89	217,157	54,075	1,640,944	727,274