GLD Options History — May 2010

In May 2010, GLD traded between $114.87 and $121.40. ATM implied volatility averaged 22.0%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.6% (HV 20d: 17.4%). Max pain ranged from $111.00 to $117.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2010-05-12: Highest Volume — 526,396 contracts
  • 2010-05-06: Largest IV spike — 26.1% change
  • 2010-05-20: Highest IV Rank — 92.4%
  • 2010-05-20: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.99$114.87$121.40$115.73$118.88
Max Pain$113.45$111.00$117.00$111.00$117.00
ATM IV22.0%17.9%27.5%17.9%19.6%
Expected Move6.4%5.1%7.9%5.1%5.6%
HV 20d17.4%13.0%19.8%13.2%19.0%
HV 60d15.8%14.9%16.5%14.9%16.2%
IV Rank53.2%23.3%92.4%23.3%35.6%
IV Percentile72.8%32.5%98.8%32.5%49.6%
Term Structure0.2%-0.8%1.1%0.7%0.2%
VWIV23.0%18.3%28.0%18.3%19.8%
Skew 25d-0.0%-1.4%1.5%-0.4%0.3%
Skew 10d-0.0%-3.8%4.1%-0.5%0.7%
Call IV 25d23.0%18.7%28.0%18.7%20.0%
Put IV 25d23.0%18.3%29.0%18.3%20.4%
Bid-Ask Spread %5.572.3211.752.3211.75
Gamma HHI0.070.050.110.060.11
Net GEX413.9M267.3M578.3M399.7M478.5M
Net DEX-8.76B-12.74B-5.47B-7.19B-8.68B
Net VEX-67.3M-72.4M-57.4M-57.4M-68.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.411.230.751.20
Total Volume277,957.65117,061526,396154,630150,132
Total OI4,159,523.73,526,6684,858,6083,526,6684,430,819

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$115.73$111.0017.9%5.1%13.2%23.3%18.3%-0.4%0.7%399.7M-7.19B-57.4M0.752.3288,60166,0292,137,3131,389,355
2010-05-04$114.87$112.0019.1%5.5%13.7%32.0%19.6%0.4%0.2%335.5M-6.41B-58.3M0.732.55103,82575,6842,146,3291,417,244
2010-05-05$115.09$112.0018.6%5.3%13.0%28.2%19.1%0.7%1.1%343.0M-6.47B-60.3M0.732.8385,99862,6262,152,5401,437,059
2010-05-06$118.49$112.0023.4%6.7%16.4%63.0%24.0%-0.2%0.1%398.1M-9.60B-63.5M0.418.20312,272127,7662,179,1281,451,691
2010-05-07$118.27$111.0022.0%6.8%16.2%53.1%24.5%-1.0%0.1%426.9M-9.75B-66.5M0.544.95227,178122,0942,286,6651,500,662
2010-05-10$117.57$111.0021.1%6.2%16.3%46.2%22.3%-0.5%0.4%453.2M-9.04B-65.3M0.654.93105,72468,8622,327,6521,560,961
2010-05-11$120.66$111.0023.3%6.7%18.2%62.5%23.7%-1.2%-0.1%505.3M-11.80B-66.2M0.595.30223,069132,1002,347,1031,585,842
2010-05-12$121.40$112.0022.1%6.5%18.3%53.4%23.4%-1.4%0.4%533.9M-12.74B-66.2M0.464.90361,567164,8292,414,8201,637,167
2010-05-13$120.56$114.0021.5%6.2%18.6%49.5%22.4%-1.4%0.1%578.3M-12.09B-68.8M0.514.68159,18380,9152,566,6611,701,952
2010-05-14$120.37$114.0022.9%6.6%16.4%59.0%23.7%-1.2%0.2%554.4M-11.66B-70.6M0.765.52280,154212,6892,577,0191,734,411
2010-05-17$119.36$114.0022.7%6.5%16.9%57.7%23.5%-0.8%0.1%490.8M-10.42B-71.2M0.466.29189,95087,4352,645,1541,804,076
2010-05-18$119.49$114.0023.1%6.6%16.9%60.4%24.4%0.0%0.0%513.2M-10.45B-72.0M0.674.76145,22197,8682,686,5631,818,017
2010-05-19$116.63$114.0023.8%6.8%19.4%65.7%25.4%0.4%0.3%343.1M-6.96B-71.4M0.935.63238,645220,8442,709,6241,847,818
2010-05-20$115.84$114.0027.5%7.9%19.6%92.4%28.0%0.9%-0.8%267.3M-6.22B-72.4M1.236.11199,304245,2202,785,2051,934,138
2010-05-21$115.22$114.0024.7%7.1%19.3%72.1%25.7%1.5%-0.3%271.2M-5.47B-72.2M0.773.35144,204111,3392,816,8722,041,736
2010-05-24$116.84$114.0022.7%6.5%19.8%57.9%23.7%0.7%0.2%279.4M-6.52B-68.6M0.873.7562,72654,3352,461,5991,710,983
2010-05-25$117.36$114.0022.7%6.4%19.0%58.0%23.2%1.3%0.7%298.5M-7.04B-69.0M0.823.47129,379106,7392,471,9851,729,937
2010-05-26$118.47$117.0022.1%6.4%19.2%53.4%22.8%0.4%0.3%388.3M-8.20B-70.1M0.649.45116,91474,3282,542,0161,788,513
2010-05-27$118.69$117.0020.2%5.9%19.2%40.0%21.7%0.4%0.3%418.5M-8.52B-68.5M0.9210.7164,21259,1932,590,1281,823,717
2010-05-28$118.88$117.0019.6%5.6%19.0%35.6%19.8%0.3%0.2%478.5M-8.68B-68.4M1.2011.7568,09082,0422,610,0921,820,727