GLD Options History — June 2009

In June 2009, GLD traded between $90.54 and $96.36. ATM implied volatility averaged 21.4%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.7% (HV 20d: 18.6%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2009-06-23: Highest Volume — 123,278 contracts
2009-06-11: Largest IV spike — 12.9% change
2009-06-01: Highest IV Rank — 11.2%
2009-06-01: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.87	$90.54	$96.36	$95.73	$91.18
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	21.4%	17.3%	26.0%	26.0%	17.3%
Expected Move	6.3%	5.0%	7.5%	7.5%	5.0%
HV 20d	18.6%	13.7%	20.7%	14.7%	17.8%
HV 60d	19.6%	18.2%	20.9%	20.6%	18.2%
IV Rank	2.9%	0.0%	11.2%	11.2%	0.0%
IV Percentile	5.5%	0.0%	28.4%	28.4%	0.0%
Term Structure	2.1%	1.3%	3.0%	1.6%	3.0%
VWIV	22.7%	17.9%	27.0%	26.5%	17.9%
Skew 25d	-1.5%	-3.0%	-0.5%	-2.4%	-0.9%
Skew 10d	-2.7%	-6.0%	-0.3%	-5.0%	-1.7%
Call IV 25d	23.4%	18.4%	27.9%	27.9%	18.4%
Put IV 25d	21.8%	17.5%	25.5%	25.5%	17.5%
Bid-Ask Spread %	8.66	4.25	14.81	8.12	4.25
Gamma HHI	0.08	0.06	0.16	0.09	0.06
Net GEX	175.9M	90.8M	270.8M	243.0M	112.4M
Net DEX	-3.19B	-5.58B	-1.59B	-5.14B	-1.80B
Net VEX	-32.5M	-36.5M	-29.0M	-35.9M	-29.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.27	1.23	0.48	0.52
Total Volume	81,405.409	33,827	123,278	97,735	39,395
Total OI	2,564,489.636	2,017,603	2,932,666	2,540,026	2,140,904

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
2009-06-01	$95.73	$90.00	26.0%	7.5%	14.7%	11.2%	26.5%	-2.4%	1.6%	243.0M	-5.14B	-35.9M	0.48	8.12	65,932	31,803	1,782,599	757,427
2009-06-02	$96.36	$90.00	24.8%	7.1%	13.7%	8.7%	25.3%	-1.4%	1.8%	264.3M	-5.58B	-36.5M	0.42	7.84	76,155	31,857	1,839,263	778,671
2009-06-03	$94.41	$90.00	23.4%	6.7%	16.0%	5.8%	23.9%	-1.5%	2.7%	228.1M	-4.40B	-35.5M	0.47	7.52	62,046	29,254	1,849,766	799,753
2009-06-04	$96.23	$90.00	23.6%	6.8%	16.5%	6.1%	24.3%	-1.5%	2.9%	270.8M	-5.46B	-36.4M	0.27	7.00	54,718	14,579	1,875,699	810,334
2009-06-05	$93.71	$90.00	22.3%	7.3%	19.6%	3.4%	26.5%	-3.0%	2.3%	215.6M	-3.98B	-35.2M	0.33	14.81	76,424	25,034	1,892,911	816,650
2009-06-08	$93.56	$90.00	22.7%	7.4%	19.6%	4.2%	27.0%	-2.9%	1.7%	219.5M	-3.90B	-34.8M	0.83	10.37	35,932	29,775	1,913,526	825,797
2009-06-09	$93.83	$90.00	20.3%	6.8%	19.5%	0.0%	24.8%	-2.5%	2.1%	230.1M	-3.99B	-33.8M	0.66	11.18	51,412	33,873	1,923,321	830,280
2009-06-10	$93.86	$90.00	20.5%	6.7%	19.3%	0.4%	24.0%	-2.3%	2.1%	224.2M	-3.95B	-34.2M	0.36	9.97	63,686	23,136	1,938,663	853,301
2009-06-11	$93.70	$90.00	23.1%	6.6%	19.3%	5.9%	23.8%	-2.3%	2.2%	206.9M	-3.84B	-34.4M	0.72	11.17	36,035	26,035	1,973,909	867,663
2009-06-12	$92.17	$90.00	23.0%	6.6%	20.3%	5.7%	24.1%	-1.5%	1.9%	168.1M	-2.95B	-33.3M	0.70	10.78	59,152	41,132	1,976,976	877,812
2009-06-15	$91.10	$90.00	23.3%	6.7%	20.7%	6.3%	24.0%	-1.7%	2.5%	109.2M	-2.09B	-32.4M	1.04	10.02	39,086	40,841	1,992,733	901,060
2009-06-16	$91.93	$90.00	21.6%	6.2%	20.3%	2.7%	22.1%	-1.2%	1.4%	156.8M	-2.63B	-31.7M	0.46	8.60	59,365	27,480	1,997,035	904,687
2009-06-17	$92.35	$90.00	21.2%	6.1%	20.3%	1.8%	22.1%	-1.1%	1.6%	180.4M	-2.99B	-31.4M	0.48	9.22	35,817	17,163	2,012,112	904,706
2009-06-18	$91.61	$90.00	20.4%	5.9%	19.8%	0.2%	20.9%	-1.8%	1.3%	146.5M	-2.52B	-30.1M	0.45	8.92	80,819	36,213	2,018,308	909,219
2009-06-19	$91.90	$90.00	19.7%	5.6%	18.8%	0.0%	20.6%	-1.3%	2.1%	210.3M	-2.73B	-29.6M	0.63	9.28	61,861	38,912	2,025,560	907,106
2009-06-22	$90.54	$90.00	19.8%	5.7%	19.3%	0.3%	20.5%	-1.0%	2.1%	90.8M	-1.59B	-29.4M	1.04	7.47	40,942	42,656	1,406,971	610,632
2009-06-23	$90.92	$90.00	19.6%	5.6%	19.4%	0.0%	20.4%	-0.9%	1.6%	99.0M	-1.73B	-29.6M	0.63	6.85	75,577	47,701	1,420,804	630,103
2009-06-24	$91.45	$90.00	20.0%	5.7%	19.6%	0.8%	20.9%	-0.7%	1.8%	109.2M	-1.98B	-30.4M	0.46	7.52	66,713	30,920	1,435,881	637,501
2009-06-25	$92.31	$90.00	20.1%	5.8%	19.7%	1.1%	20.9%	-1.0%	1.8%	131.6M	-2.37B	-31.0M	1.23	6.05	31,962	39,206	1,470,754	637,970
2009-06-26	$92.29	$90.00	18.9%	5.4%	17.9%	0.0%	19.5%	-0.7%	2.5%	127.7M	-2.32B	-31.0M	0.46	7.39	23,198	10,629	1,472,656	662,045
2009-06-29	$92.04	$90.00	18.5%	5.3%	17.9%	0.0%	19.2%	-0.5%	2.7%	126.0M	-2.20B	-30.2M	0.36	6.14	26,858	9,635	1,474,072	661,632
2009-06-30	$91.18	$90.00	17.3%	5.0%	17.8%	0.0%	17.9%	-0.9%	3.0%	112.4M	-1.80B	-29.0M	0.52	4.25	25,896	13,499	1,474,655	666,249