GLD Options History — November 2009 In November 2009, GLD traded between $103.95 and $116.62. ATM implied volatility averaged 20.8%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.8% (HV 20d: 16.0%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.67.
Notable Days 2009-11-23 : Highest Volume — 379,289 contracts2009-11-03 : Largest IV spike — 15.1% change2009-11-27 : Highest IV Rank — 27.7%2009-11-27 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $110.67 $103.95 $116.62 $103.95 $115.64 Max Pain $102.10 $100.00 $105.00 $102.00 $105.00 ATM IV 20.8% 17.7% 23.8% 18.8% 23.4% Expected Move 6.0% 5.4% 6.8% 5.4% 6.7% HV 20d 16.0% 13.7% 17.3% 16.8% 14.5% HV 60d 15.4% 15.1% 15.7% 15.2% 15.2% IV Rank 16.1% 7.0% 27.7% 8.9% 26.6% IV Percentile 34.6% 13.5% 54.8% 21.0% 53.2% Term Structure 0.6% 0.2% 1.4% 1.0% 0.2% VWIV 21.7% 19.6% 24.6% 19.8% 24.6% Skew 25d -0.4% -1.5% 0.9% -0.2% 0.8% Skew 10d -0.2% -2.8% 2.4% 0.7% 2.0% Call IV 25d 21.9% 19.7% 24.0% 19.7% 23.7% Put IV 25d 21.5% 19.1% 24.9% 19.5% 24.5% Bid-Ask Spread % 3.80 2.92 5.31 4.42 3.41 Gamma HHI 0.09 0.07 0.14 0.08 0.08 Net GEX 412.0M 268.4M 563.8M 268.4M 520.0M Net DEX -10.55B -13.49B -5.79B -5.79B -13.21B Net VEX -45.5M -54.1M -40.1M -40.1M -53.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.27 1.20 0.98 0.94 Total Volume 236,635.1 98,630 379,289 219,645 175,689 Total OI 3,760,447.8 3,153,564 4,235,306 3,153,564 4,235,306
Daily Data (20 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 2009-11-02 $103.95 $102.00 18.8% 5.4% 16.8% 8.9% 19.8% -0.2% 1.0% 268.4M -5.79B -40.1M 0.98 4.42 110,967 108,678 2,017,022 1,136,542 2009-11-03 $106.46 $102.00 21.7% 6.2% 16.7% 16.6% 22.4% -0.4% 0.5% 300.5M -7.74B -43.3M 0.65 4.45 176,070 114,148 2,063,795 1,212,165 2009-11-04 $107.10 $102.00 21.8% 6.2% 16.7% 18.4% 22.6% -1.1% 0.8% 325.3M -8.20B -43.8M 0.89 5.31 148,791 132,885 2,113,757 1,257,913 2009-11-05 $106.98 $102.00 19.1% 5.5% 16.3% 11.1% 19.6% -1.0% 1.1% 352.5M -8.19B -43.4M 0.54 3.51 91,792 49,634 2,169,729 1,318,942 2009-11-06 $107.43 $100.00 17.7% 5.5% 16.0% 7.0% 19.7% -1.5% 0.8% 380.8M -8.61B -42.5M 0.41 4.70 99,091 40,461 2,200,835 1,335,303 2009-11-09 $108.19 $100.00 18.8% 5.6% 16.0% 10.2% 19.9% -1.0% 0.5% 400.7M -9.11B -41.1M 0.60 4.32 134,792 81,014 2,216,625 1,362,745 2009-11-10 $108.39 $100.00 18.5% 5.6% 15.9% 9.2% 20.2% -1.4% 0.6% 416.2M -9.15B -42.8M 0.37 3.63 72,024 26,606 2,236,566 1,398,321 2009-11-11 $109.60 $100.00 18.9% 5.8% 16.2% 10.3% 20.4% -1.4% 0.4% 440.0M -10.30B -41.4M 0.46 4.03 112,038 51,588 2,263,665 1,399,176 2009-11-12 $108.21 $100.00 20.5% 5.9% 16.2% 15.0% 21.7% -1.1% 0.2% 411.9M -9.07B -44.1M 1.19 3.49 78,269 93,146 2,310,045 1,426,219 2009-11-13 $109.74 $100.00 19.8% 5.7% 16.7% 13.0% 20.4% -0.2% 0.7% 445.9M -10.34B -42.5M 1.20 2.92 87,123 104,445 2,321,686 1,474,357 2009-11-16 $111.63 $100.00 21.7% 6.2% 17.3% 18.5% 22.5% -0.4% 0.5% 455.4M -11.82B -43.5M 0.65 3.59 166,609 108,365 2,344,484 1,503,821 2009-11-17 $111.97 $102.00 20.9% 6.0% 16.7% 16.1% 21.2% -0.5% 0.8% 437.1M -11.96B -43.9M 0.49 3.40 191,037 94,094 2,373,780 1,547,186 2009-11-18 $112.25 $103.00 21.6% 6.2% 16.7% 18.0% 22.1% -0.6% 0.6% 469.6M -12.68B -46.6M 0.62 3.71 203,209 125,978 2,478,585 1,581,203 2009-11-19 $112.30 $103.00 21.3% 6.1% 16.8% 17.4% 21.8% -0.3% 0.6% 454.3M -12.58B -45.7M 0.55 4.05 151,009 82,882 2,525,293 1,639,031 2009-11-20 $112.94 $103.00 21.8% 6.3% 16.5% 18.7% 22.5% -0.3% 0.8% 563.8M -13.04B -48.3M 0.92 3.61 140,613 128,930 2,564,614 1,659,183 2009-11-23 $114.29 $103.00 22.7% 6.5% 14.9% 21.1% 23.2% 0.1% 0.4% 388.2M -11.56B -48.5M 0.56 3.27 242,905 136,384 2,307,745 1,355,072 2009-11-24 $114.73 $105.00 20.6% 5.9% 14.7% 15.3% 21.3% 0.4% 1.4% 404.5M -11.66B -50.2M 0.78 2.98 106,751 83,477 2,389,750 1,442,558 2009-11-25 $116.62 $105.00 22.6% 6.5% 13.7% 22.7% 23.3% 0.2% 0.7% 414.3M -13.49B -50.2M 0.41 3.05 268,158 111,023 2,455,472 1,471,758 2009-11-27 $115.06 $105.00 23.8% 6.8% 14.8% 27.7% 24.1% 0.9% 0.2% 391.5M -12.47B -54.1M 0.27 4.15 237,033 64,994 2,565,147 1,533,560 2009-11-30 $115.64 $105.00 23.4% 6.7% 14.5% 26.6% 24.6% 0.8% 0.2% 520.0M -13.21B -53.6M 0.94 3.41 90,485 85,204 2,691,760 1,543,546
« Oct 2009 | All History | Dec 2009 » Home GLD History November 2009