GLD Options History — September 2009 In September 2009, GLD traded between $93.90 and $99.91. ATM implied volatility averaged 21.0%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.4% (HV 20d: 14.6%). Max pain ranged from $90.00 to $98.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.57.
Notable Days 2009-09-02 : Highest Volume — 331,071 contracts2009-09-02 : Largest IV spike — 24.2% change2009-09-03 : Highest IV Rank — 17.0%2009-09-04 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $97.89 $93.90 $99.91 $93.90 $98.85 Max Pain $95.38 $90.00 $98.00 $90.00 $97.00 ATM IV 21.0% 17.8% 24.2% 17.8% 19.2% Expected Move 6.1% 5.1% 7.2% 5.1% 5.5% HV 20d 14.6% 12.3% 15.7% 12.3% 15.5% HV 60d 14.1% 13.5% 14.6% 13.5% 14.2% IV Rank 10.9% 4.9% 17.0% 4.9% 7.5% IV Percentile 23.5% 14.3% 32.9% 14.3% 19.0% Term Structure 1.6% 0.8% 2.6% 1.3% 0.8% VWIV 22.1% 18.5% 26.0% 18.5% 19.7% Skew 25d -2.7% -3.7% -1.2% -1.2% -2.4% Skew 10d -4.7% -6.9% -1.8% -1.8% -4.5% Call IV 25d 23.5% 19.0% 28.0% 19.0% 20.9% Put IV 25d 20.8% 17.3% 24.4% 17.9% 18.5% Bid-Ask Spread % 7.53 5.33 9.57 5.33 6.26 Gamma HHI 0.11 0.08 0.17 0.08 0.13 Net GEX 248.2M 147.5M 357.1M 196.6M 237.0M Net DEX -4.81B -7.14B -2.84B -3.14B -4.17B Net VEX -38.3M -41.7M -30.9M -30.9M -38.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.20 1.01 0.32 0.46 Total Volume 140,520.81 49,852 331,071 69,323 119,288 Total OI 2,837,280.286 2,418,665 3,243,688 2,418,665 2,872,511
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 2009-09-01 $93.90 $90.00 17.8% 5.1% 12.3% 4.9% 18.5% -1.2% 1.3% 196.6M -3.14B -30.9M 0.32 5.33 52,430 16,893 1,689,314 729,351 2009-09-02 $96.19 $90.00 22.2% 6.4% 15.1% 13.1% 22.6% -3.3% 0.9% 242.6M -4.51B -33.6M 0.62 6.57 204,030 127,041 1,725,917 736,391 2009-09-03 $97.46 $91.00 24.2% 6.9% 15.7% 17.0% 25.5% -3.7% 2.1% 249.4M -5.35B -38.0M 0.20 7.36 239,692 48,169 1,834,037 822,858 2009-09-04 $97.53 $94.00 23.4% 7.2% 15.2% 15.5% 26.0% -3.6% 1.5% 278.0M -5.58B -39.1M 0.31 8.66 101,350 30,929 1,932,931 840,811 2009-09-08 $97.43 $94.00 21.9% 7.1% 14.7% 12.5% 25.9% -3.5% 1.5% 285.5M -5.60B -38.4M 0.48 8.41 108,965 52,082 1,950,713 853,242 2009-09-09 $97.08 $94.00 19.1% 6.5% 14.8% 7.2% 23.3% -2.9% 2.3% 298.5M -5.21B -38.3M 0.73 9.57 142,113 104,083 1,986,157 874,493 2009-09-10 $97.70 $95.00 22.2% 6.4% 14.8% 13.1% 23.2% -3.1% 1.8% 303.7M -5.47B -38.4M 1.01 8.78 64,808 65,574 2,018,350 931,698 2009-09-11 $98.78 $95.00 23.6% 6.8% 15.0% 15.8% 24.8% -3.1% 1.7% 308.7M -6.12B -40.0M 0.44 7.92 111,761 49,574 2,035,069 976,799 2009-09-14 $97.96 $95.00 22.9% 6.6% 15.1% 14.4% 23.4% -3.2% 2.0% 308.5M -5.59B -39.5M 0.71 8.78 29,158 20,694 2,080,845 992,588 2009-09-15 $98.90 $95.00 22.6% 6.5% 13.7% 13.8% 22.9% -2.7% 2.0% 332.8M -6.28B -39.1M 0.50 8.15 101,777 50,745 2,088,522 1,000,683 2009-09-16 $99.91 $97.00 22.9% 6.6% 13.9% 14.5% 23.5% -2.6% 2.1% 357.1M -7.14B -41.7M 0.47 7.59 147,501 68,707 2,142,490 1,038,462 2009-09-17 $99.34 $97.00 20.9% 6.0% 14.3% 10.7% 21.6% -2.8% 2.6% 332.8M -6.64B -40.7M 0.46 8.75 78,883 36,611 2,162,823 1,080,865 2009-09-18 $98.67 $97.00 20.3% 5.8% 14.6% 9.6% 20.6% -2.7% 2.3% 257.5M -5.86B -39.5M 0.82 6.98 69,632 56,808 2,149,427 1,092,246 2009-09-21 $98.36 $97.00 20.5% 5.9% 14.1% 9.9% 21.3% -2.4% 1.6% 180.7M -3.82B -39.4M 0.57 7.29 33,623 19,281 1,756,548 821,767 2009-09-22 $99.67 $97.00 21.8% 6.2% 13.2% 12.3% 22.0% -2.1% 1.6% 207.9M -4.54B -40.1M 0.69 7.67 62,362 42,964 1,768,770 829,737 2009-09-23 $98.83 $98.00 21.3% 6.1% 13.9% 11.5% 21.9% -2.0% 1.1% 187.5M -3.99B -39.6M 0.70 8.65 45,805 31,850 1,800,364 854,517 2009-09-24 $97.55 $98.00 19.6% 5.6% 15.0% 8.2% 20.0% -2.1% 1.4% 167.2M -3.23B -38.2M 0.80 7.10 96,586 76,806 1,824,248 871,538 2009-09-25 $97.00 $98.00 18.9% 5.4% 15.3% 7.0% 19.9% -2.3% 1.5% 147.5M -2.88B -38.3M 0.40 6.91 60,530 23,994 1,877,999 902,537 2009-09-28 $97.05 $97.00 17.8% 5.1% 15.1% 4.9% 18.6% -2.1% 1.3% 158.1M -2.84B -37.1M 0.70 5.96 30,245 21,235 1,909,033 910,237 2009-09-29 $97.43 $97.00 17.9% 5.1% 14.9% 5.0% 18.7% -2.7% 1.2% 175.2M -3.09B -36.7M 0.53 5.42 69,501 36,857 1,906,478 909,520 2009-09-30 $98.85 $97.00 19.2% 5.5% 15.5% 7.5% 19.7% -2.4% 0.8% 237.0M -4.17B -38.6M 0.46 6.26 81,592 37,696 1,945,557 926,954
« Aug 2009 | All History | Oct 2009 » Home GLD History September 2009