GLD Options History — March 2010

In March 2010, GLD traded between $106.30 and $111.63. ATM implied volatility averaged 17.0%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.8% (HV 20d: 16.2%). Max pain ranged from $106.00 to $110.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.85.

Notable Days

2010-03-19: Highest Volume — 306,676 contracts
2010-03-24: Largest IV spike — 12.9% change
2010-03-02: Highest IV Rank — 17.8%
2010-03-02: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.07	$106.30	$111.63	$109.43	$108.95
Max Pain	$108.70	$106.00	$110.00	$106.00	$109.00
ATM IV	17.0%	15.0%	19.3%	18.1%	15.1%
Expected Move	4.9%	4.3%	5.5%	5.2%	4.3%
HV 20d	16.2%	13.2%	22.3%	22.3%	16.0%
HV 60d	19.9%	18.6%	22.4%	22.4%	18.6%
IV Rank	8.4%	0.0%	17.8%	12.7%	0.9%
IV Percentile	11.6%	0.0%	29.0%	18.3%	0.4%
Term Structure	0.8%	-0.1%	1.4%	0.8%	1.1%
VWIV	17.9%	15.9%	19.8%	18.8%	15.9%
Skew 25d	0.6%	-0.7%	1.3%	-0.1%	0.6%
Skew 10d	1.2%	-1.0%	2.8%	1.0%	1.2%
Call IV 25d	17.6%	15.3%	20.2%	18.8%	15.5%
Put IV 25d	18.2%	16.1%	19.7%	18.7%	16.1%
Bid-Ask Spread %	3.07	2.35	3.73	2.52	2.71
Gamma HHI	0.06	0.04	0.09	0.06	0.05
Net GEX	144.6M	-34.6M	319.4M	234.9M	81.9M
Net DEX	-3.50B	-6.30B	-920.1M	-4.52B	-2.28B
Net VEX	-53.2M	-57.7M	-49.2M	-56.1M	-53.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.50	1.67	0.50	0.62
Total Volume	141,275.522	72,392	306,676	120,481	121,992
Total OI	3,537,849.304	2,911,545	4,039,627	3,571,898	3,137,697

Daily Data (23 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
2010-03-01	$109.43	$106.00	18.1%	5.2%	22.3%	12.7%	18.8%	-0.1%	0.8%	234.9M	-4.52B	-56.1M	0.50	2.52	80,179	40,302	2,185,369	1,386,529
2010-03-02	$111.02	$106.00	19.3%	5.5%	21.4%	17.8%	19.8%	-0.7%	0.4%	280.7M	-5.85B	-56.5M	0.54	2.52	123,467	66,830	2,194,537	1,396,127
2010-03-03	$111.63	$106.00	18.8%	5.4%	21.4%	15.6%	19.5%	-0.7%	0.5%	319.4M	-6.30B	-57.7M	0.54	2.35	80,199	43,437	2,213,561	1,415,813
2010-03-04	$110.83	$106.00	17.5%	5.0%	21.5%	10.0%	17.9%	-0.3%	0.8%	292.1M	-5.68B	-56.2M	0.71	2.41	80,208	56,969	2,236,061	1,421,267
2010-03-05	$110.81	$109.00	16.0%	5.1%	14.9%	3.3%	18.5%	0.3%	1.3%	283.2M	-5.60B	-55.0M	0.93	3.54	57,363	53,237	2,230,312	1,439,844
2010-03-08	$109.88	$109.00	16.9%	5.1%	15.5%	7.2%	18.5%	0.7%	1.0%	227.9M	-4.70B	-54.4M	0.83	3.27	88,066	73,154	2,243,399	1,457,172
2010-03-09	$109.72	$109.00	16.4%	5.1%	15.2%	5.2%	18.1%	0.8%	1.4%	220.0M	-4.51B	-54.6M	0.66	3.35	58,498	38,448	2,281,322	1,488,113
2010-03-10	$108.47	$109.00	17.0%	5.3%	15.5%	7.5%	19.1%	0.9%	0.8%	127.3M	-3.29B	-54.3M	0.99	3.37	134,601	132,728	2,292,962	1,499,219
2010-03-11	$108.60	$109.00	17.8%	5.1%	15.4%	11.1%	18.4%	0.8%	0.8%	111.5M	-3.35B	-54.9M	0.74	3.00	66,606	49,456	2,335,776	1,567,875
2010-03-12	$107.95	$109.00	17.8%	5.1%	14.2%	11.2%	18.3%	0.9%	0.6%	54.0M	-2.65B	-54.2M	0.80	3.60	80,336	64,008	2,341,944	1,581,077
2010-03-15	$108.36	$109.00	18.2%	5.2%	14.2%	12.9%	19.0%	1.1%	0.5%	88.5M	-3.09B	-54.1M	1.29	3.41	36,230	46,643	2,364,074	1,599,207
2010-03-16	$110.40	$109.00	17.6%	5.0%	13.2%	10.3%	18.2%	1.1%	0.8%	277.2M	-5.06B	-54.4M	0.90	3.26	82,038	74,157	2,363,407	1,608,617
2010-03-17	$109.59	$109.00	17.4%	5.0%	13.4%	9.6%	17.9%	0.5%	0.7%	173.2M	-4.14B	-53.2M	0.85	3.12	83,798	71,365	2,373,804	1,626,073
2010-03-18	$110.34	$110.00	16.4%	4.7%	13.4%	5.3%	16.9%	-0.0%	0.8%	285.6M	-4.96B	-52.3M	1.45	2.96	70,605	102,685	2,395,636	1,642,002
2010-03-19	$108.28	$110.00	16.8%	4.8%	14.9%	6.9%	17.3%	0.7%	1.1%	-34.6M	-2.65B	-51.0M	1.02	3.20	152,178	154,498	2,401,143	1,638,484
2010-03-22	$107.75	$110.00	16.1%	4.6%	15.0%	4.3%	16.7%	0.9%	1.1%	40.6M	-1.68B	-51.1M	0.57	2.68	49,245	27,998	1,768,090	1,143,455
2010-03-23	$108.32	$110.00	15.7%	4.5%	14.6%	2.8%	16.3%	0.8%	0.8%	62.2M	-2.01B	-49.6M	0.76	2.95	54,906	41,739	1,780,119	1,148,481
2010-03-24	$106.30	$110.00	17.7%	5.1%	16.0%	14.7%	18.6%	1.3%	-0.1%	-344.7K	-920.1M	-50.0M	0.93	3.73	87,259	81,329	1,805,824	1,164,749
2010-03-25	$106.78	$109.00	17.1%	4.9%	15.8%	11.1%	17.9%	1.2%	0.7%	6.4M	-1.15B	-50.5M	0.78	3.71	51,972	40,720	1,830,807	1,190,622
2010-03-26	$108.59	$109.00	16.5%	4.7%	16.5%	8.4%	17.4%	1.1%	0.8%	77.4M	-2.20B	-51.4M	0.65	3.12	63,358	41,237	1,838,361	1,202,929
2010-03-29	$108.75	$109.00	15.8%	4.5%	16.5%	3.5%	16.7%	1.0%	1.1%	78.2M	-2.31B	-49.9M	0.89	3.00	38,233	34,159	1,850,034	1,213,788
2010-03-30	$107.97	$109.00	15.0%	4.3%	15.7%	0.0%	16.1%	1.0%	1.0%	38.0M	-1.73B	-49.2M	1.67	2.75	64,699	108,202	1,853,248	1,221,604
2010-03-31	$108.95	$109.00	15.1%	4.3%	16.0%	0.9%	15.9%	0.6%	1.1%	81.9M	-2.28B	-53.1M	0.62	2.71	75,347	46,645	1,864,456	1,273,241