GLD Options History — August 2009 In August 2009, GLD traded between $91.61 and $94.78. ATM implied volatility averaged 16.7%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.8% (HV 20d: 13.9%). Max pain ranged from $89.00 to $93.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.76.
Notable Days 2009-08-24 : Highest Volume — 142,647 contracts2009-08-13 : Largest IV spike — 19.5% change2009-08-04 : Highest IV Rank — 7.4%2009-08-04 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $93.22 $91.61 $94.78 $93.87 $93.40 Max Pain $90.19 $89.00 $93.00 $93.00 $90.00 ATM IV 16.7% 15.2% 19.4% 17.2% 16.4% Expected Move 4.9% 4.4% 5.6% 4.9% 4.7% HV 20d 13.9% 12.6% 15.7% 14.5% 12.6% HV 60d 15.6% 13.5% 16.2% 16.1% 13.5% IV Rank 2.6% 0.0% 7.4% 3.2% 2.2% IV Percentile 4.7% 0.0% 10.7% 4.8% 6.7% Term Structure 2.2% 1.7% 3.4% 1.8% 2.1% VWIV 17.8% 15.7% 20.2% 18.0% 17.2% Skew 25d -0.9% -1.9% 0.1% -0.7% -0.4% Skew 10d -1.8% -3.6% -0.4% -1.1% -0.4% Call IV 25d 18.3% 16.2% 20.7% 18.3% 17.5% Put IV 25d 17.3% 15.3% 19.4% 17.6% 17.1% Bid-Ask Spread % 8.20 4.25 13.22 5.69 5.35 Gamma HHI 0.07 0.06 0.09 0.07 0.08 Net GEX 160.0M 106.4M 202.9M 164.0M 177.1M Net DEX -2.65B -3.54B -1.75B -2.93B -2.81B Net VEX -30.9M -33.4M -28.7M -32.0M -30.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.25 1.62 0.38 0.37 Total Volume 56,985.667 23,465 142,647 55,318 41,392 Total OI 2,457,761.762 2,248,578 2,598,166 2,377,400 2,392,176
Daily Data (21 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 2009-08-03 $93.87 $93.00 17.2% 4.9% 14.5% 3.2% 18.0% -0.7% 1.8% 164.0M -2.93B -32.0M 0.38 5.69 39,961 15,357 1,593,967 783,433 2009-08-04 $94.68 $93.00 19.4% 5.6% 14.7% 7.4% 19.9% -1.3% 1.7% 178.8M -3.48B -33.4M 0.39 10.58 51,114 19,800 1,619,393 784,698 2009-08-05 $94.78 $93.00 17.7% 5.1% 13.1% 4.1% 18.1% -0.9% 2.1% 193.3M -3.54B -33.2M 0.56 10.65 31,967 17,830 1,637,289 794,813 2009-08-06 $94.60 $93.00 17.2% 4.9% 13.2% 3.2% 17.5% -0.5% 1.9% 194.1M -3.44B -32.8M 1.09 4.97 29,076 31,789 1,646,599 803,815 2009-08-07 $93.75 $89.00 16.4% 5.5% 13.8% 1.6% 20.2% -1.9% 2.2% 172.2M -2.95B -32.7M 0.98 13.22 23,067 22,534 1,658,222 818,562 2009-08-10 $92.93 $89.00 16.1% 5.3% 14.3% 1.1% 19.4% -1.6% 2.0% 150.0M -2.44B -31.1M 0.25 10.80 28,412 7,225 1,662,499 819,108 2009-08-11 $92.79 $89.00 15.5% 5.2% 14.1% 0.0% 18.1% -1.4% 2.1% 150.3M -2.37B -30.7M 1.62 10.01 15,961 25,880 1,666,047 820,434 2009-08-12 $92.95 $89.00 15.2% 5.2% 13.1% 0.0% 18.7% -1.1% 2.2% 159.4M -2.46B -30.9M 0.30 10.84 96,172 29,273 1,673,717 832,375 2009-08-13 $93.72 $89.00 18.2% 5.2% 13.3% 5.6% 18.6% -1.2% 2.4% 202.9M -3.03B -32.1M 1.31 10.49 20,697 27,160 1,744,413 829,527 2009-08-14 $93.00 $89.00 17.5% 5.0% 13.6% 4.3% 18.1% -1.1% 2.1% 175.4M -2.60B -31.2M 0.45 9.82 16,230 7,235 1,738,078 835,963 2009-08-17 $91.61 $89.00 17.9% 5.1% 13.7% 5.0% 18.9% -1.1% 2.3% 106.4M -1.75B -30.1M 1.35 8.93 29,259 39,486 1,739,738 836,166 2009-08-18 $92.06 $89.00 16.8% 4.8% 13.8% 2.9% 17.3% -0.8% 2.1% 129.0M -1.95B -29.6M 1.29 9.10 16,280 20,981 1,739,915 838,600 2009-08-19 $92.53 $90.00 17.1% 4.9% 13.9% 3.5% 17.6% -0.8% 2.0% 144.3M -2.23B -29.9M 0.81 8.49 25,504 20,664 1,740,653 837,717 2009-08-20 $92.27 $90.00 16.1% 4.6% 13.9% 1.6% 16.7% -1.1% 2.3% 116.1M -2.08B -29.2M 1.37 6.30 12,121 16,628 1,751,139 847,027 2009-08-21 $93.65 $90.00 16.4% 4.7% 14.9% 2.2% 16.7% -0.6% 2.1% 188.1M -2.91B -29.5M 0.87 8.17 29,927 25,894 1,743,808 835,520 2009-08-24 $92.34 $90.00 16.6% 4.8% 15.7% 2.6% 17.1% -0.9% 2.0% 126.2M -2.12B -28.7M 0.88 7.55 75,764 66,883 1,541,574 707,004 2009-08-25 $92.76 $90.00 16.3% 4.7% 14.5% 2.1% 16.9% 0.1% 2.4% 143.9M -2.42B -29.9M 0.26 7.29 59,002 15,351 1,595,007 703,700 2009-08-26 $92.79 $90.00 15.9% 4.5% 14.0% 1.2% 16.7% -0.8% 2.9% 147.0M -2.48B -30.2M 0.34 4.83 25,135 8,565 1,610,980 709,728 2009-08-27 $93.19 $90.00 15.8% 4.5% 14.0% 1.0% 16.3% -0.2% 2.7% 161.4M -2.65B -30.3M 0.72 4.25 16,622 11,953 1,625,184 709,788 2009-08-28 $93.87 $90.00 15.3% 4.4% 12.6% 0.2% 15.7% -0.9% 3.4% 181.0M -3.00B -30.5M 0.27 4.79 65,102 17,446 1,632,782 711,839 2009-08-31 $93.40 $90.00 16.4% 4.7% 12.6% 2.2% 17.2% -0.4% 2.1% 177.1M -2.81B -30.2M 0.37 5.35 30,240 11,152 1,669,971 722,205
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