GLD Options History — February 2010

In February 2010, GLD traded between $104.04 and $109.98. ATM implied volatility averaged 21.0%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.9% (HV 20d: 21.9%). Max pain ranged from $105.00 to $109.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.71.

Notable Days

2010-02-04: Highest Volume — 348,168 contracts
2010-02-04: Largest IV spike — 33.8% change
2010-02-04: Highest IV Rank — 37.2%
2010-02-05: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$107.60	$104.04	$109.98	$108.35	$109.43
Max Pain	$105.95	$105.00	$109.00	$109.00	$105.00
ATM IV	21.0%	18.3%	24.4%	20.0%	18.4%
Expected Move	6.1%	5.2%	7.1%	5.7%	5.3%
HV 20d	21.9%	18.7%	23.8%	20.3%	22.4%
HV 60d	22.5%	21.0%	23.0%	21.0%	22.7%
IV Rank	23.8%	12.2%	37.2%	19.4%	14.0%
IV Percentile	43.6%	19.8%	70.6%	33.3%	20.2%
Term Structure	0.7%	-0.1%	1.8%	1.2%	0.6%
VWIV	22.1%	18.9%	25.5%	21.1%	19.2%
Skew 25d	0.4%	-0.8%	1.5%	0.3%	0.4%
Skew 10d	1.4%	-1.7%	4.0%	1.1%	2.4%
Call IV 25d	21.9%	18.9%	24.9%	20.7%	18.9%
Put IV 25d	22.3%	18.4%	26.1%	21.0%	19.2%
Bid-Ask Spread %	3.66	2.20	5.49	2.98	2.58
Gamma HHI	0.07	0.04	0.19	0.05	0.06
Net GEX	162.8M	-18.4M	383.6M	189.3M	211.7M
Net DEX	-2.99B	-5.50B	42.7M	-3.05B	-4.40B
Net VEX	-56.8M	-59.8M	-53.2M	-53.2M	-56.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.46	1.84	0.81	0.53
Total Volume	176,982.316	107,445	348,168	210,961	132,726
Total OI	3,718,418.105	3,290,880	4,059,892	3,444,467	3,540,063

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
2010-02-01	$108.35	$109.00	20.0%	5.7%	20.3%	19.4%	21.1%	0.3%	1.2%	189.3M	-3.05B	-53.2M	0.81	2.98	116,558	94,403	2,109,872	1,334,595
2010-02-02	$109.13	$109.00	18.9%	5.4%	18.7%	15.0%	19.9%	-0.6%	1.7%	232.5M	-3.72B	-55.5M	0.79	2.34	124,196	98,583	2,156,115	1,355,326
2010-02-03	$108.70	$109.00	18.3%	5.2%	18.8%	12.2%	18.9%	-0.8%	1.8%	206.6M	-3.40B	-53.8M	1.84	2.20	54,166	99,756	2,180,202	1,382,805
2010-02-04	$104.37	$109.00	24.4%	7.0%	22.5%	37.2%	24.8%	1.5%	-0.1%	-6.6M	7.9M	-54.4M	0.61	2.99	215,925	132,243	2,202,124	1,434,833
2010-02-05	$104.68	$106.00	22.9%	7.1%	22.6%	31.1%	25.5%	1.3%	0.3%	17.8M	-400.4M	-58.5M	0.88	4.77	107,739	94,425	2,317,837	1,464,558
2010-02-08	$104.04	$105.00	22.8%	6.9%	22.4%	30.8%	24.2%	1.2%	0.2%	-18.4M	42.7M	-55.4M	0.72	4.37	66,739	47,972	2,332,250	1,475,812
2010-02-09	$105.41	$105.00	20.5%	6.5%	22.4%	21.5%	23.0%	1.1%	0.7%	36.5M	-907.7M	-56.4M	0.46	4.80	122,986	56,992	2,349,666	1,492,183
2010-02-10	$105.12	$105.00	21.3%	6.6%	21.4%	24.7%	23.2%	1.0%	0.8%	12.9M	-904.4M	-57.1M	0.65	5.49	93,492	61,109	2,398,501	1,504,170
2010-02-11	$107.13	$105.00	22.5%	6.5%	22.4%	29.5%	23.4%	0.9%	1.0%	135.1M	-2.78B	-59.8M	0.62	3.53	87,397	53,801	2,446,212	1,523,833
2010-02-12	$107.04	$105.00	21.6%	6.2%	22.2%	25.8%	22.5%	0.7%	0.9%	122.6M	-2.65B	-59.0M	0.82	4.00	59,062	48,383	2,449,688	1,526,033
2010-02-16	$109.62	$105.00	22.7%	6.5%	23.8%	30.1%	23.3%	0.2%	0.3%	325.2M	-5.19B	-58.9M	0.55	3.40	156,125	85,699	2,463,993	1,536,023
2010-02-17	$109.25	$105.00	22.2%	6.4%	23.7%	28.3%	22.7%	0.2%	0.4%	292.1M	-4.77B	-59.4M	0.48	4.29	85,269	40,902	2,491,840	1,558,483
2010-02-18	$109.98	$105.00	21.2%	6.1%	22.3%	24.0%	22.0%	-0.1%	0.8%	374.5M	-5.50B	-58.5M	0.63	4.05	136,295	85,465	2,499,378	1,560,514
2010-02-19	$109.47	$105.00	21.3%	6.1%	21.7%	25.5%	21.9%	-0.5%	0.7%	383.6M	-4.81B	-58.3M	0.54	5.01	137,128	74,588	2,487,008	1,552,969
2010-02-22	$109.07	$105.00	20.5%	5.9%	21.8%	22.6%	21.6%	-0.3%	0.7%	163.9M	-4.26B	-56.6M	0.74	3.26	65,946	49,012	2,009,487	1,281,393
2010-02-23	$107.89	$105.00	20.8%	6.0%	22.1%	23.7%	21.5%	-0.3%	0.5%	135.5M	-3.55B	-56.2M	0.71	3.41	72,830	51,487	2,060,295	1,300,991
2010-02-24	$107.36	$106.00	19.8%	5.7%	22.2%	19.8%	20.7%	0.4%	0.4%	111.4M	-2.99B	-55.4M	0.49	3.09	127,860	63,293	2,062,940	1,321,808
2010-02-25	$108.31	$105.00	19.0%	5.5%	22.1%	16.7%	19.6%	0.5%	0.4%	167.2M	-3.59B	-55.7M	0.70	2.93	95,495	66,617	2,134,804	1,351,340
2010-02-26	$109.43	$105.00	18.4%	5.3%	22.4%	14.0%	19.2%	0.4%	0.6%	211.7M	-4.40B	-56.8M	0.53	2.58	86,928	45,798	2,164,700	1,375,363