GLD Options History — October 2009 In October 2009, GLD traded between $97.89 and $104.26. ATM implied volatility averaged 19.6%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.8% (HV 20d: 15.8%). Max pain ranged from $97.00 to $102.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.74.
Notable Days 2009-10-06 : Highest Volume — 267,331 contracts2009-10-06 : Largest IV spike — 18.5% change2009-10-06 : Highest IV Rank — 17.1%2009-10-08 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $102.44 $97.89 $104.26 $97.89 $102.53 Max Pain $100.05 $97.00 $102.00 $97.00 $102.00 ATM IV 19.6% 17.8% 24.3% 18.9% 18.6% Expected Move 5.7% 5.1% 6.7% 5.4% 5.3% HV 20d 15.8% 13.2% 16.9% 13.9% 16.9% HV 60d 14.7% 13.9% 15.2% 13.9% 15.1% IV Rank 8.9% 5.7% 17.1% 7.0% 7.8% IV Percentile 22.2% 13.9% 40.9% 18.3% 20.6% Term Structure 1.4% 0.8% 2.1% 0.8% 1.0% VWIV 20.2% 18.2% 24.0% 19.4% 19.2% Skew 25d -1.8% -3.8% 0.4% -2.9% -0.3% Skew 10d -3.0% -6.4% 0.7% -5.6% -0.4% Call IV 25d 21.4% 18.1% 26.1% 21.4% 19.6% Put IV 25d 19.7% 17.9% 22.4% 18.5% 19.3% Bid-Ask Spread % 8.75 4.86 12.17 4.86 9.60 Gamma HHI 0.10 0.08 0.13 0.13 0.08 Net GEX 289.4M 163.8M 428.5M 205.0M 208.8M Net DEX -5.96B -8.22B -3.54B -3.54B -4.90B Net VEX -40.3M -41.8M -38.5M -38.5M -39.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.32 1.94 0.80 0.82 Total Volume 120,688.091 48,755 267,331 53,381 147,145 Total OI 3,056,357.636 2,814,286 3,346,982 2,907,700 3,131,029
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 2009-10-01 $97.89 $97.00 18.9% 5.4% 13.9% 7.0% 19.4% -2.9% 0.8% 205.0M -3.54B -38.5M 0.80 4.86 29,665 23,716 1,964,885 942,815 2009-10-02 $98.37 $98.00 18.5% 5.3% 13.2% 6.1% 19.1% -2.3% 1.2% 217.6M -3.81B -38.7M 0.37 6.63 35,556 13,199 1,963,597 947,129 2009-10-05 $99.82 $98.00 20.5% 6.0% 14.1% 10.0% 20.8% -3.1% 0.8% 277.8M -4.92B -39.1M 0.88 10.02 45,161 39,597 1,977,872 950,528 2009-10-06 $102.28 $98.00 24.3% 6.7% 16.3% 17.1% 23.4% -3.8% 1.0% 321.9M -6.68B -40.8M 0.48 9.93 180,286 87,045 1,985,220 973,531 2009-10-07 $102.36 $98.00 21.6% 6.3% 16.2% 11.9% 22.4% -3.4% 0.9% 360.9M -6.85B -41.4M 0.60 9.59 62,648 37,317 2,052,055 1,008,823 2009-10-08 $103.64 $99.00 22.6% 6.7% 16.5% 13.9% 24.0% -3.3% 0.8% 379.8M -7.78B -41.8M 0.53 7.68 145,136 77,230 2,065,909 1,014,567 2009-10-09 $102.84 $100.00 20.1% 6.1% 16.6% 9.2% 21.7% -3.0% 1.0% 397.0M -7.17B -41.6M 0.71 8.51 86,460 60,980 2,126,492 1,050,170 2009-10-12 $103.56 $100.00 22.3% 6.4% 16.3% 13.4% 22.9% -2.5% 1.3% 390.6M -7.57B -41.6M 0.48 8.25 62,008 29,666 2,122,239 1,085,088 2009-10-13 $104.26 $100.00 20.0% 6.3% 16.1% 10.0% 22.2% -2.5% 1.6% 419.0M -8.22B -41.7M 0.45 9.46 78,910 35,748 2,138,775 1,092,191 2009-10-14 $104.18 $100.00 17.8% 5.7% 15.9% 5.7% 20.2% -2.2% 2.1% 428.5M -8.09B -41.2M 0.32 8.59 147,612 47,792 2,150,972 1,106,980 2009-10-15 $102.86 $100.00 19.6% 5.6% 16.6% 9.7% 20.0% -1.9% 1.9% 364.0M -6.84B -41.1M 0.84 10.04 66,344 55,698 2,181,901 1,126,235 2009-10-16 $103.18 $100.00 19.6% 5.6% 16.3% 9.7% 20.0% -1.9% 1.8% 322.5M -7.22B -41.3M 0.45 8.69 86,434 39,198 2,193,942 1,153,040 2009-10-19 $104.23 $100.00 19.1% 5.5% 16.4% 8.5% 19.7% -1.3% 2.0% 268.1M -6.29B -40.4M 0.96 9.02 53,847 51,795 1,897,508 916,778 2009-10-20 $103.42 $100.00 18.2% 5.2% 16.3% 6.5% 18.7% -1.2% 2.0% 250.0M -5.74B -39.7M 0.52 12.17 50,831 26,269 1,915,564 947,741 2009-10-21 $103.75 $100.00 19.6% 5.6% 15.8% 9.8% 20.0% -1.2% 1.5% 256.1M -5.95B -40.5M 0.55 7.50 76,796 42,095 1,940,636 959,652 2009-10-22 $103.92 $101.00 18.1% 5.2% 14.8% 6.3% 18.4% -1.0% 1.9% 257.5M -5.96B -39.6M 0.46 9.35 53,993 24,754 1,946,645 977,261 2009-10-23 $103.49 $102.00 18.0% 5.2% 14.6% 6.2% 18.3% -0.8% 1.2% 254.7M -5.73B -40.0M 0.93 10.39 45,549 42,194 1,970,078 987,821 2009-10-26 $101.86 $102.00 18.6% 5.3% 16.1% 7.6% 19.0% -0.7% 1.3% 210.3M -4.61B -39.0M 0.63 8.24 106,970 67,353 1,974,521 1,011,066 2009-10-27 $101.85 $102.00 18.1% 5.2% 16.1% 6.3% 18.4% -0.2% 1.4% 200.2M -4.57B -40.0M 1.11 9.24 27,323 30,378 2,019,399 1,076,544 2009-10-28 $100.73 $102.00 19.0% 5.4% 16.1% 8.3% 19.2% -0.4% 0.8% 163.8M -3.77B -40.0M 1.45 7.04 41,706 60,660 2,023,285 1,089,098 2009-10-29 $102.69 $102.00 17.8% 5.1% 16.8% 5.7% 18.2% 0.4% 1.6% 213.2M -5.00B -39.5M 1.94 7.74 44,942 87,132 1,998,077 1,082,209 2009-10-30 $102.53 $102.00 18.6% 5.3% 16.9% 7.8% 19.2% -0.3% 1.0% 208.8M -4.90B -39.6M 0.82 9.60 81,035 66,110 2,012,408 1,118,621
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