GLD Options History — December 2009

In December 2009, GLD traded between $106.17 and $119.18. ATM implied volatility averaged 24.0%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.8% (HV 20d: 23.2%). Max pain ranged from $102.00 to $106.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.71.

Notable Days

2009-12-04: Highest Volume — 728,348 contracts
2009-12-04: Largest IV spike — 17.9% change
2009-12-04: Highest IV Rank — 46.7%
2009-12-09: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.48	$106.17	$119.18	$117.38	$107.31
Max Pain	$104.64	$102.00	$106.00	$105.00	$105.00
ATM IV	24.0%	20.0%	28.6%	23.8%	20.0%
Expected Move	6.8%	5.7%	7.8%	6.8%	5.7%
HV 20d	23.2%	13.5%	27.4%	14.6%	24.9%
HV 60d	19.0%	15.4%	20.7%	15.4%	20.0%
IV Rank	32.0%	19.2%	46.7%	27.6%	19.2%
IV Percentile	53.3%	31.0%	67.9%	55.2%	31.0%
Term Structure	0.6%	-0.6%	1.4%	0.4%	1.4%
VWIV	24.4%	20.5%	27.8%	24.3%	20.5%
Skew 25d	0.1%	-0.9%	1.7%	0.9%	-0.2%
Skew 10d	0.4%	-1.8%	4.6%	2.2%	-0.9%
Call IV 25d	24.4%	20.8%	27.9%	23.9%	20.9%
Put IV 25d	24.6%	20.7%	27.8%	24.8%	20.7%
Bid-Ask Spread %	3.20	2.50	4.37	3.47	2.78
Gamma HHI	0.06	0.05	0.09	0.09	0.06
Net GEX	272.2M	70.5M	639.8M	567.5M	194.5M
Net DEX	-7.38B	-16.62B	-3.01B	-14.83B	-3.83B
Net VEX	-53.7M	-81.1M	-47.7M	-53.7M	-47.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.34	1.09	0.34	0.58
Total Volume	280,214	115,146	728,348	301,072	115,146
Total OI	4,384,479	3,672,872	4,984,314	4,269,074	3,869,859

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
2009-12-01	$117.38	$105.00	23.8%	6.8%	14.6%	27.6%	24.3%	0.9%	0.4%	567.5M	-14.83B	-53.7M	0.34	3.47	223,983	77,089	2,714,859	1,554,215
2009-12-02	$119.18	$105.00	24.2%	6.9%	13.5%	31.5%	24.9%	1.2%	-0.0%	636.2M	-16.62B	-54.3M	0.48	3.78	318,246	151,462	2,772,887	1,584,921
2009-12-03	$118.70	$106.00	24.2%	6.9%	13.9%	31.5%	25.2%	1.7%	0.2%	639.8M	-16.20B	-56.3M	0.76	3.59	150,031	113,982	2,856,023	1,658,409
2009-12-04	$113.75	$102.00	28.6%	7.7%	21.9%	46.7%	27.6%	-0.1%	-0.6%	432.8M	-10.96B	-58.1M	0.53	4.37	475,057	253,291	2,888,820	1,692,316
2009-12-07	$113.11	$103.00	28.5%	7.6%	22.1%	46.6%	27.2%	0.7%	-0.3%	337.0M	-9.91B	-56.0M	0.72	3.30	190,893	137,988	2,820,943	1,759,938
2009-12-08	$110.95	$104.00	27.8%	7.8%	23.4%	44.0%	27.8%	0.1%	0.1%	246.4M	-7.64B	-55.3M	0.81	4.31	247,686	201,191	2,827,792	1,768,646
2009-12-09	$110.84	$104.00	26.8%	7.8%	23.4%	40.5%	27.6%	0.3%	-0.1%	244.2M	-7.60B	-55.7M	0.67	3.94	190,909	127,738	2,861,155	1,817,022
2009-12-10	$110.82	$104.00	25.8%	7.4%	23.1%	37.1%	26.3%	-0.0%	0.7%	244.3M	-7.76B	-55.2M	0.69	3.14	123,801	86,026	2,900,038	1,835,743
2009-12-11	$109.32	$104.00	25.7%	7.4%	23.1%	36.8%	26.2%	0.3%	0.3%	156.9M	-6.04B	-53.5M	0.89	3.02	168,310	150,461	2,899,385	1,832,096
2009-12-14	$110.24	$105.00	23.7%	6.8%	22.8%	29.6%	24.1%	-0.3%	1.0%	193.5M	-7.11B	-51.9M	0.88	3.08	124,162	108,779	2,949,869	1,857,979
2009-12-15	$110.21	$105.00	23.8%	6.8%	21.9%	30.1%	24.2%	-0.1%	0.9%	194.9M	-7.13B	-53.1M	0.51	3.33	149,160	75,845	2,981,302	1,894,167
2009-12-16	$111.59	$105.00	22.7%	6.5%	22.4%	26.7%	23.1%	-0.4%	1.2%	276.6M	-8.85B	-53.0M	0.74	3.03	101,460	75,075	3,023,108	1,877,342
2009-12-17	$107.34	$105.00	25.1%	7.2%	26.2%	35.5%	25.6%	-0.5%	-0.1%	70.5M	-4.03B	-51.2M	0.87	2.58	223,828	194,995	3,037,338	1,879,949
2009-12-18	$108.95	$105.00	24.5%	7.0%	26.9%	36.1%	25.1%	0.1%	0.3%	159.9M	-5.85B	-51.8M	0.71	3.25	178,881	126,332	3,087,872	1,896,442
2009-12-21	$106.95	$105.00	23.3%	6.7%	27.4%	31.3%	23.9%	0.5%	1.1%	198.4M	-4.22B	-81.1M	0.73	2.50	114,564	83,580	2,770,681	1,669,658
2009-12-22	$106.17	$105.00	22.5%	6.4%	26.9%	28.3%	23.0%	0.5%	0.8%	154.4M	-3.01B	-48.6M	0.88	2.57	129,583	114,501	2,370,604	1,302,268
2009-12-23	$106.55	$105.00	20.4%	5.8%	26.9%	20.0%	20.9%	0.4%	1.4%	167.8M	-3.26B	-48.4M	0.72	2.75	118,608	85,905	2,411,478	1,345,950
2009-12-24	$108.36	$105.00	21.2%	6.1%	26.9%	23.4%	21.7%	-0.3%	1.3%	236.7M	-4.78B	-49.9M	0.83	3.05	89,378	73,929	2,424,340	1,344,545
2009-12-28	$108.55	$105.00	23.3%	6.7%	26.7%	31.6%	23.8%	-0.7%	0.5%	245.5M	-4.99B	-49.8M	0.45	2.68	109,379	49,269	2,436,019	1,355,824
2009-12-29	$107.47	$105.00	21.6%	6.2%	26.7%	24.9%	22.4%	-0.9%	1.0%	204.4M	-4.03B	-48.0M	0.79	3.28	88,770	69,686	2,440,192	1,359,144
2009-12-30	$106.93	$105.00	21.3%	6.1%	25.7%	24.5%	21.8%	-0.9%	1.1%	185.4M	-3.60B	-48.1M	1.09	2.55	84,184	91,565	2,454,111	1,373,289
2009-12-31	$107.31	$105.00	20.0%	5.7%	24.9%	19.2%	20.5%	-0.2%	1.4%	194.5M	-3.83B	-47.7M	0.58	2.78	72,807	42,339	2,475,391	1,394,468