GLD Options History — January 2010

In January 2010, GLD traded between $105.96 and $112.85. ATM implied volatility averaged 21.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.5% (HV 20d: 21.6%). Max pain ranged from $110.00 to $111.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.71.

Notable Days

2010-01-12: Highest Volume — 494,056 contracts
2010-01-11: Largest IV spike — 13.8% change
2010-01-06: Highest IV Rank — 31.6%
2010-01-22: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.47	$105.96	$112.85	$109.80	$105.96
Max Pain	$110.11	$110.00	$111.00	$110.00	$110.00
ATM IV	21.1%	19.2%	23.0%	21.5%	19.9%
Expected Move	6.0%	5.5%	6.5%	6.4%	5.7%
HV 20d	21.6%	18.7%	26.8%	26.8%	18.7%
HV 60d	21.1%	20.4%	21.9%	20.5%	21.1%
IV Rank	23.7%	16.1%	31.6%	25.4%	19.0%
IV Percentile	40.4%	26.6%	57.1%	40.9%	31.7%
Term Structure	1.1%	0.3%	2.0%	1.8%	1.4%
VWIV	21.4%	19.8%	23.4%	23.0%	20.3%
Skew 25d	0.0%	-1.2%	1.6%	-1.1%	0.9%
Skew 10d	0.5%	-2.2%	4.4%	-1.6%	2.4%
Call IV 25d	21.5%	19.6%	23.6%	23.6%	20.2%
Put IV 25d	21.5%	19.7%	24.1%	22.5%	21.1%
Bid-Ask Spread %	3.14	2.50	3.92	3.92	3.41
Gamma HHI	0.06	0.04	0.09	0.07	0.04
Net GEX	235.7M	41.8M	484.1M	310.8M	41.8M
Net DEX	-4.74B	-9.04B	-1.10B	-6.08B	-1.10B
Net VEX	-49.2M	-52.2M	-46.9M	-47.9M	-52.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.41	1.18	0.61	0.48
Total Volume	252,338.105	115,017	494,056	206,716	255,511
Total OI	3,703,087.474	2,900,697	4,521,201	3,898,101	3,359,768

Daily Data (19 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
2010-01-04	$109.80	$110.00	21.5%	6.4%	26.8%	25.4%	23.0%	-1.1%	1.8%	310.8M	-6.08B	-47.9M	0.61	3.92	128,259	78,457	2,495,795	1,402,306
2010-01-05	$109.70	$110.00	20.3%	6.1%	22.6%	20.5%	21.7%	-1.0%	2.0%	318.1M	-6.01B	-47.5M	0.59	3.76	98,330	58,165	2,544,023	1,433,009
2010-01-06	$111.51	$110.00	23.0%	6.3%	23.4%	31.6%	22.5%	-1.2%	1.2%	407.0M	-7.77B	-48.1M	0.57	3.63	266,937	153,192	2,565,265	1,441,398
2010-01-07	$110.82	$110.00	22.0%	6.1%	22.5%	27.5%	22.1%	-1.1%	1.1%	368.8M	-6.96B	-48.5M	0.78	3.61	130,817	101,402	2,626,082	1,522,584
2010-01-08	$111.37	$110.00	19.4%	5.8%	22.5%	16.8%	20.6%	-0.9%	0.8%	400.7M	-7.45B	-48.1M	0.90	2.94	67,961	61,029	2,656,979	1,536,448
2010-01-11	$112.85	$110.00	22.1%	5.8%	23.0%	27.7%	20.8%	-0.5%	1.1%	484.1M	-9.04B	-46.9M	0.75	2.68	156,055	116,813	2,669,025	1,533,946
2010-01-12	$110.49	$110.00	22.1%	6.0%	23.8%	27.9%	21.4%	-0.7%	0.4%	308.6M	-6.22B	-47.8M	1.18	2.50	226,915	267,141	2,684,184	1,610,083
2010-01-13	$111.54	$110.00	22.3%	5.7%	23.8%	28.5%	20.1%	-0.2%	1.0%	321.6M	-7.22B	-48.3M	0.90	2.77	132,735	119,575	2,696,105	1,709,837
2010-01-14	$112.03	$110.00	20.4%	5.9%	23.9%	21.1%	20.6%	-0.3%	0.9%	421.2M	-7.99B	-49.0M	0.54	2.62	203,681	109,920	2,736,404	1,717,027
2010-01-15	$110.86	$111.00	20.4%	5.9%	23.8%	21.0%	20.9%	-0.2%	1.2%	290.1M	-6.43B	-50.1M	0.76	3.01	140,972	106,429	2,776,390	1,744,811
2010-01-19	$111.52	$111.00	19.2%	5.5%	19.0%	16.1%	19.8%	-0.2%	1.3%	197.9M	-4.32B	-48.7M	0.73	2.73	88,233	64,432	1,785,680	1,115,017
2010-01-20	$108.94	$110.00	20.4%	5.8%	20.3%	20.8%	21.1%	0.0%	0.6%	121.6M	-2.79B	-48.7M	0.92	2.84	111,117	102,475	1,816,146	1,144,890
2010-01-21	$107.37	$110.00	22.3%	6.4%	19.9%	28.5%	22.9%	0.9%	0.3%	79.9M	-1.88B	-48.7M	0.64	3.35	160,327	102,866	1,825,969	1,155,781
2010-01-22	$107.17	$110.00	22.9%	6.5%	19.7%	30.8%	23.4%	1.0%	0.4%	72.7M	-1.76B	-50.0M	0.52	3.67	213,613	111,885	1,844,824	1,199,959
2010-01-25	$107.48	$110.00	21.4%	6.1%	19.7%	25.0%	22.3%	1.1%	0.8%	120.0M	-2.06B	-49.4M	0.41	3.30	215,420	87,578	1,963,330	1,229,679
2010-01-26	$107.56	$110.00	20.8%	6.0%	18.7%	22.5%	21.4%	1.6%	1.2%	96.1M	-2.12B	-51.8M	0.54	2.63	74,863	40,154	1,971,559	1,266,351
2010-01-27	$106.53	$110.00	20.7%	5.9%	19.0%	22.2%	21.3%	1.2%	1.1%	61.8M	-1.46B	-51.4M	0.82	3.66	122,260	99,696	1,991,137	1,270,286
2010-01-28	$106.48	$110.00	19.6%	5.6%	18.7%	17.7%	20.2%	1.2%	1.2%	54.9M	-1.35B	-50.9M	0.83	2.52	119,859	99,350	2,022,054	1,294,531
2010-01-29	$105.96	$110.00	19.9%	5.7%	18.7%	19.0%	20.3%	0.9%	1.4%	41.8M	-1.10B	-52.2M	0.48	3.41	172,812	82,699	2,046,085	1,313,683