GLD Options History — July 2009 In July 2009, GLD traded between $89.27 and $93.71. ATM implied volatility averaged 17.2%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.1% (HV 20d: 14.2%). 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 0.73.
Notable Days 2009-07-08 : Highest Volume — 124,230 contracts2009-07-09 : Largest IV drop — 18.5% change2009-07-08 : Highest IV Rank — 9.6%2009-07-08 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $91.78 $89.27 $93.71 $92.39 $93.35 Max Pain $91.32 $90.00 $92.00 $90.00 $92.00 ATM IV 17.2% 15.5% 21.1% 16.6% 16.9% Expected Move 5.0% 4.5% 6.1% 4.8% 4.8% HV 20d 14.2% 13.1% 17.4% 17.4% 14.7% HV 60d 16.6% 15.8% 17.4% 17.4% 16.0% IV Rank 2.3% 0.0% 9.6% 0.0% 2.6% IV Percentile 1.8% 0.0% 7.1% 0.0% 4.0% Term Structure 2.2% 1.0% 3.2% 3.2% 1.6% VWIV 18.0% 16.1% 22.2% 16.7% 17.4% Skew 25d -0.4% -1.8% 0.5% -0.5% -0.4% Skew 10d -0.5% -3.1% 1.0% -1.4% -0.4% Call IV 25d 18.3% 16.1% 22.7% 17.1% 17.8% Put IV 25d 17.9% 15.6% 21.7% 16.6% 17.4% Bid-Ask Spread % 7.13 4.89 9.65 5.11 5.50 Gamma HHI 0.06 0.05 0.12 0.06 0.07 Net GEX 124.3M 69.1M 182.5M 141.1M 158.3M Net DEX -2.03B -2.84B -988.3M -2.33B -2.76B Net VEX -29.8M -32.2M -28.0M -29.5M -31.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.18 2.36 0.83 0.60 Total Volume 64,816.636 23,945 124,230 68,877 115,017 Total OI 2,257,464.182 2,070,399 2,357,469 2,157,978 2,357,469
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 2009-07-01 $92.39 $90.00 16.6% 4.8% 17.4% 0.0% 16.7% -0.5% 3.2% 141.1M -2.33B -29.5M 0.83 5.11 37,567 31,310 1,485,680 672,298 2009-07-02 $91.25 $90.00 16.1% 4.6% 16.1% 0.0% 17.2% -1.1% 3.1% 115.0M -1.84B -29.2M 0.27 4.89 24,892 6,732 1,497,139 685,567 2009-07-06 $90.76 $91.00 17.8% 5.6% 13.4% 3.2% 20.0% -1.8% 1.7% 107.0M -1.61B -28.1M 0.38 9.40 41,794 15,919 1,505,699 685,774 2009-07-07 $90.71 $91.00 18.1% 5.6% 13.4% 3.8% 19.5% -1.3% 1.1% 107.3M -1.58B -28.3M 0.41 8.77 32,700 13,332 1,521,831 694,204 2009-07-08 $89.27 $92.00 21.1% 6.1% 14.3% 9.6% 22.2% -1.1% 1.0% 69.1M -988.3M -28.3M 1.35 8.56 52,886 71,344 1,530,081 695,230 2009-07-09 $89.51 $92.00 17.2% 5.6% 14.4% 2.1% 19.8% -0.3% 1.4% 73.1M -1.06B -28.2M 0.89 9.65 49,031 43,823 1,547,141 717,388 2009-07-10 $89.58 $91.00 16.9% 5.5% 14.4% 1.5% 19.7% -0.1% 1.3% 71.5M -1.07B -28.5M 1.24 8.40 13,081 16,268 1,570,335 731,322 2009-07-13 $90.19 $91.00 18.9% 5.3% 13.7% 5.2% 19.4% -0.4% 2.0% 97.8M -1.36B -28.0M 0.56 9.61 20,308 11,288 1,561,596 736,215 2009-07-14 $90.81 $91.00 17.3% 5.3% 13.4% 2.3% 19.1% -0.2% 1.6% 127.4M -1.71B -28.4M 2.36 7.93 16,834 39,811 1,568,503 738,740 2009-07-15 $92.24 $91.00 19.7% 5.5% 14.2% 6.7% 19.6% -0.2% 2.2% 165.5M -2.47B -29.0M 0.46 6.73 61,386 28,438 1,572,980 757,703 2009-07-16 $91.98 $91.00 18.2% 5.2% 14.1% 3.9% 18.4% -0.5% 2.3% 148.8M -2.23B -29.0M 0.63 7.74 32,229 20,259 1,571,527 776,544 2009-07-17 $91.93 $91.00 17.2% 4.9% 13.8% 2.1% 17.8% 0.1% 3.2% 182.5M -2.22B -29.4M 0.72 6.47 40,486 29,070 1,574,672 773,905 2009-07-20 $93.28 $91.00 17.6% 5.0% 14.7% 2.8% 17.8% 0.4% 2.9% 116.6M -2.47B -30.1M 0.44 8.54 49,594 21,603 1,399,337 671,062 2009-07-21 $93.13 $91.00 16.6% 4.8% 13.5% 0.8% 16.9% 0.2% 3.0% 123.5M -2.41B -30.4M 0.18 5.24 88,174 15,880 1,429,611 687,349 2009-07-22 $93.44 $91.00 15.8% 4.5% 13.5% 0.0% 16.1% 0.5% 3.1% 137.8M -2.68B -31.7M 0.80 8.02 50,024 40,132 1,487,382 693,504 2009-07-23 $93.26 $92.00 16.7% 4.8% 13.4% 1.7% 17.0% -0.2% 2.5% 129.7M -2.62B -31.4M 0.30 6.91 69,007 20,400 1,502,012 718,246 2009-07-24 $93.41 $92.00 15.9% 4.6% 13.1% 0.1% 16.4% -0.0% 2.8% 152.6M -2.77B -32.2M 0.62 7.69 14,824 9,121 1,548,674 732,065 2009-07-27 $93.71 $92.00 16.0% 4.6% 13.1% 0.2% 16.3% -0.3% 2.5% 159.3M -2.84B -31.6M 0.36 6.17 31,585 11,309 1,548,071 736,492 2009-07-28 $92.11 $92.00 16.2% 4.7% 14.5% 0.8% 16.9% -0.5% 2.4% 125.6M -2.11B -31.0M 0.60 5.12 29,565 17,598 1,564,251 738,905 2009-07-29 $91.20 $92.00 16.3% 4.7% 14.6% 0.9% 16.7% -0.4% 1.8% 109.0M -1.70B -30.4M 1.13 5.08 28,775 32,542 1,581,048 747,739 2009-07-30 $91.62 $92.00 15.5% 4.5% 13.9% 0.0% 16.1% -0.7% 2.1% 116.4M -1.88B -30.6M 0.88 5.36 15,945 14,083 1,585,955 762,966 2009-07-31 $93.35 $92.00 16.9% 4.8% 14.7% 2.6% 17.4% -0.4% 1.6% 158.3M -2.76B -31.9M 0.60 5.50 71,837 43,180 1,592,012 765,457
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