GLD Options History — April 2010

In April 2010, GLD traded between $110.26 and $115.36. ATM implied volatility averaged 16.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.0% (HV 20d: 15.2%). Max pain ranged from $109.00 to $111.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.

Notable Days

2010-04-16: Highest Volume — 288,277 contracts
2010-04-27: Largest IV spike — 19.7% change
2010-04-27: Highest IV Rank — 25.7%
2010-04-27: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.66	$110.26	$115.36	$110.26	$115.36
Max Pain	$110.52	$109.00	$111.00	$109.00	$111.00
ATM IV	16.2%	14.6%	18.2%	14.6%	17.8%
Expected Move	4.8%	4.2%	5.2%	4.2%	5.1%
HV 20d	15.2%	13.0%	16.9%	16.5%	13.3%
HV 60d	17.8%	17.1%	18.7%	18.7%	17.2%
IV Rank	11.2%	0.0%	25.7%	0.0%	22.6%
IV Percentile	10.7%	0.0%	34.9%	0.0%	29.8%
Term Structure	1.0%	0.3%	1.4%	1.4%	0.3%
VWIV	17.2%	15.1%	19.0%	15.1%	19.0%
Skew 25d	-0.0%	-0.7%	0.6%	-0.0%	-0.2%
Skew 10d	0.2%	-1.0%	2.7%	0.1%	-0.1%
Call IV 25d	17.1%	15.1%	18.9%	15.1%	18.4%
Put IV 25d	17.1%	15.1%	18.9%	15.1%	18.2%
Bid-Ask Spread %	2.81	2.30	3.39	2.68	2.68
Gamma HHI	0.06	0.05	0.14	0.05	0.06
Net GEX	305.5M	162.1M	545.1M	162.1M	393.2M
Net DEX	-4.98B	-6.88B	-3.31B	-3.31B	-6.88B
Net VEX	-54.9M	-57.5M	-50.9M	-54.4M	-57.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.26	1.59	1.06	0.97
Total Volume	142,514.476	81,931	288,277	136,730	168,414
Total OI	3,296,897.238	3,021,449	3,551,753	3,188,121	3,441,212

Daily Data (21 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
2010-04-01	$110.26	$109.00	14.6%	4.2%	16.5%	0.0%	15.1%	-0.0%	1.4%	162.1M	-3.31B	-54.4M	1.06	2.68	66,313	70,417	1,902,074	1,286,047
2010-04-05	$110.89	$109.00	15.7%	4.7%	16.6%	6.9%	17.0%	-0.0%	1.1%	190.9M	-3.73B	-54.1M	0.35	2.95	76,861	26,788	1,891,179	1,307,661
2010-04-06	$111.03	$109.00	15.7%	4.7%	16.3%	7.3%	16.6%	-0.1%	1.2%	222.2M	-3.84B	-54.2M	0.46	2.84	68,842	31,843	1,920,232	1,313,684
2010-04-07	$112.49	$110.00	16.9%	5.0%	16.9%	15.8%	18.0%	-0.7%	0.9%	299.6M	-5.07B	-55.5M	0.39	3.07	186,333	72,139	1,942,312	1,326,225
2010-04-08	$112.65	$110.00	15.9%	4.9%	16.2%	8.8%	17.7%	-0.4%	1.4%	324.2M	-5.20B	-53.4M	0.45	2.69	76,076	34,439	1,942,312	1,326,225
2010-04-09	$113.64	$110.00	15.4%	5.1%	16.4%	5.8%	17.9%	-0.3%	0.9%	463.8M	-6.34B	-57.5M	0.54	3.39	118,395	64,284	2,064,285	1,358,069
2010-04-12	$113.01	$110.00	16.3%	5.0%	16.3%	11.7%	18.1%	-0.1%	1.2%	404.8M	-5.67B	-55.6M	0.57	3.04	73,170	41,916	2,076,366	1,384,926
2010-04-13	$112.69	$111.00	15.5%	4.8%	16.4%	5.9%	17.1%	-0.1%	0.8%	395.8M	-5.36B	-56.3M	0.67	2.96	59,281	39,999	2,098,160	1,391,592
2010-04-14	$113.03	$111.00	15.3%	4.7%	15.2%	4.7%	16.7%	-0.1%	1.3%	436.0M	-5.70B	-53.8M	0.26	2.62	98,697	26,039	2,109,838	1,399,348
2010-04-15	$113.65	$111.00	16.5%	4.7%	14.9%	13.1%	17.0%	-0.2%	1.3%	545.1M	-6.25B	-56.5M	0.52	2.87	71,061	36,774	2,145,279	1,406,474
2010-04-16	$111.24	$111.00	17.4%	5.0%	16.9%	19.5%	17.8%	0.0%	0.9%	249.9M	-4.18B	-55.3M	0.87	2.65	154,155	134,122	2,126,293	1,411,593
2010-04-19	$111.15	$111.00	17.0%	4.9%	15.3%	16.9%	17.7%	0.6%	0.9%	175.6M	-3.51B	-54.1M	1.59	2.78	40,965	64,951	1,861,554	1,159,895
2010-04-20	$111.46	$111.00	16.1%	4.6%	15.2%	10.4%	16.7%	0.5%	1.1%	177.9M	-3.73B	-53.4M	0.91	2.30	42,863	39,068	1,875,745	1,193,129
2010-04-21	$112.31	$111.00	15.9%	4.6%	15.3%	9.3%	16.4%	0.4%	0.9%	209.3M	-4.28B	-53.3M	0.45	2.65	66,645	29,761	1,884,255	1,212,438
2010-04-22	$111.84	$111.00	15.6%	4.5%	13.4%	6.8%	16.2%	0.6%	1.1%	204.5M	-3.89B	-53.3M	0.62	2.91	55,192	34,006	1,900,982	1,212,963
2010-04-23	$113.19	$111.00	15.8%	4.5%	13.8%	8.4%	16.4%	0.3%	1.0%	267.1M	-4.92B	-54.0M	0.44	2.46	106,530	46,779	1,923,193	1,226,059
2010-04-26	$112.75	$111.00	15.2%	4.4%	13.0%	4.1%	15.7%	0.3%	1.1%	252.8M	-4.63B	-50.9M	0.66	2.74	83,967	55,001	1,923,349	1,226,809
2010-04-27	$114.63	$111.00	18.2%	5.2%	14.0%	25.7%	18.8%	-0.0%	0.3%	330.6M	-6.06B	-56.8M	0.50	3.23	161,549	80,127	2,002,977	1,277,332
2010-04-28	$114.31	$111.00	17.2%	4.9%	13.7%	18.6%	17.9%	-0.3%	0.6%	350.4M	-6.05B	-56.8M	0.57	2.83	117,477	66,769	2,072,564	1,297,926
2010-04-29	$114.28	$111.00	16.4%	4.7%	13.5%	12.2%	16.9%	-0.1%	1.2%	359.5M	-5.98B	-56.2M	0.84	2.64	57,049	47,747	2,092,649	1,319,637
2010-04-30	$115.36	$111.00	17.8%	5.1%	13.3%	22.6%	19.0%	-0.2%	0.3%	393.2M	-6.88B	-57.1M	0.97	2.68	85,274	83,140	2,105,357	1,335,855