GLD Options History — June 2010

In June 2010, GLD traded between $117.96 and $122.83. ATM implied volatility averaged 20.5%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.4% (HV 20d: 17.1%). Max pain ranged from $116.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2010-06-17: Highest Volume — 342,858 contracts
2010-06-28: Largest IV spike — 21.9% change
2010-06-29: Highest IV Rank — 86.8%
2010-06-07: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.70	$117.96	$122.83	$119.91	$121.68
Max Pain	$118.00	$116.00	$120.00	$117.00	$120.00
ATM IV	20.5%	18.7%	26.7%	20.5%	25.7%
Expected Move	5.7%	5.3%	6.2%	5.9%	5.6%
HV 20d	17.1%	14.7%	19.8%	19.1%	17.2%
HV 60d	16.4%	15.9%	16.8%	16.3%	16.4%
IV Rank	41.9%	28.9%	86.8%	41.9%	79.3%
IV Percentile	58.3%	40.1%	98.0%	59.5%	96.8%
Term Structure	1.2%	0.1%	2.2%	0.1%	2.2%
VWIV	20.4%	18.9%	22.3%	20.8%	20.1%
Skew 25d	0.6%	0.2%	1.4%	0.4%	0.6%
Skew 10d	1.4%	0.5%	2.7%	0.8%	1.2%
Call IV 25d	20.1%	18.7%	22.5%	21.0%	19.8%
Put IV 25d	20.7%	19.5%	22.7%	21.3%	20.4%
Bid-Ask Spread %	5.41	2.60	12.61	12.61	2.60
Gamma HHI	0.11	0.05	0.39	0.11	0.05
Net GEX	562.9M	337.0M	1.25B	549.1M	421.5M
Net DEX	-9.55B	-14.19B	-7.32B	-9.75B	-8.36B
Net VEX	-69.7M	-75.0M	-65.5M	-68.2M	-74.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.21	2.22	0.47	0.76
Total Volume	206,323.045	115,222	342,858	115,222	191,553
Total OI	4,555,350.318	3,843,532	5,194,849	4,473,694	4,325,494

Daily Data (22 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
2010-06-01	$119.91	$117.00	20.5%	5.9%	19.1%	41.9%	20.8%	0.4%	0.1%	549.1M	-9.75B	-68.2M	0.47	12.61	78,378	36,844	2,624,355	1,849,339
2010-06-02	$119.78	$117.00	18.7%	5.4%	18.9%	28.9%	18.9%	0.5%	0.3%	552.3M	-9.45B	-66.6M	0.95	9.84	71,970	68,165	2,642,024	1,858,255
2010-06-03	$117.96	$117.00	18.7%	5.4%	19.8%	29.1%	19.7%	0.9%	0.6%	425.9M	-7.34B	-65.5M	1.32	8.08	72,048	95,368	2,667,431	1,881,600
2010-06-04	$119.19	$117.00	20.0%	5.7%	17.3%	38.3%	20.4%	0.9%	0.7%	513.1M	-8.79B	-68.5M	1.29	8.25	72,403	93,625	2,687,640	1,930,303
2010-06-07	$121.49	$117.00	21.8%	6.2%	18.5%	51.2%	22.3%	0.2%	0.3%	630.3M	-11.58B	-69.4M	0.60	10.22	164,710	99,251	2,707,295	1,977,834
2010-06-08	$121.00	$117.00	21.0%	6.2%	18.4%	45.8%	22.2%	0.4%	0.6%	622.2M	-11.26B	-69.5M	0.55	9.74	155,780	84,995	2,738,947	1,990,437
2010-06-09	$120.56	$116.00	20.8%	6.2%	16.1%	44.1%	22.2%	0.3%	0.9%	631.1M	-10.60B	-70.8M	0.37	5.43	122,071	45,113	2,799,447	2,018,476
2010-06-10	$118.97	$117.00	20.5%	5.9%	16.5%	42.1%	20.9%	0.4%	1.0%	503.9M	-8.44B	-69.4M	0.55	5.36	134,400	74,531	2,800,975	2,024,588
2010-06-11	$120.01	$117.00	19.3%	5.5%	16.7%	33.1%	19.9%	0.5%	1.4%	651.0M	-9.97B	-68.2M	0.88	4.58	101,744	89,380	2,831,371	2,043,571
2010-06-14	$119.60	$117.00	19.4%	5.6%	16.8%	34.0%	19.9%	0.8%	1.1%	579.3M	-9.26B	-67.2M	0.21	4.11	260,290	54,546	2,859,002	2,081,431
2010-06-15	$120.99	$117.00	19.0%	5.5%	17.0%	31.6%	19.3%	0.5%	1.4%	829.7M	-11.52B	-68.0M	0.61	4.64	117,350	71,305	2,941,386	2,098,292
2010-06-16	$120.33	$117.00	18.7%	5.4%	17.1%	29.3%	19.5%	0.7%	1.2%	789.0M	-10.53B	-67.4M	2.22	3.82	50,052	110,937	2,953,571	2,115,064
2010-06-17	$121.90	$117.00	20.2%	5.8%	15.0%	39.8%	20.8%	0.5%	1.3%	793.3M	-12.86B	-68.4M	0.52	3.77	225,568	117,290	2,955,505	2,154,071
2010-06-18	$122.83	$117.00	19.7%	5.6%	14.7%	36.0%	20.2%	0.4%	1.5%	1.25B	-14.19B	-69.6M	0.81	4.13	176,875	143,526	3,015,934	2,178,915
2010-06-21	$120.39	$119.00	19.7%	5.7%	16.6%	36.6%	20.3%	0.8%	1.5%	349.8M	-7.32B	-69.3M	1.02	3.19	106,204	108,259	2,334,642	1,508,890
2010-06-22	$121.45	$120.00	19.5%	5.6%	16.2%	34.9%	20.3%	0.3%	1.2%	378.5M	-8.16B	-69.3M	0.75	3.32	102,822	76,827	2,378,760	1,564,003
2010-06-23	$120.95	$120.00	19.1%	5.5%	16.3%	31.9%	20.4%	0.4%	1.6%	375.4M	-7.78B	-70.0M	1.11	3.47	92,183	102,407	2,390,347	1,570,749
2010-06-24	$121.30	$120.00	18.8%	5.4%	16.1%	29.9%	19.8%	0.7%	2.0%	385.8M	-7.95B	-71.3M	0.74	3.00	128,474	94,501	2,408,580	1,615,861
2010-06-25	$122.76	$120.00	19.3%	5.3%	16.5%	33.4%	19.6%	0.9%	2.1%	476.7M	-9.38B	-74.1M	0.96	3.15	73,664	70,668	2,491,246	1,681,241
2010-06-28	$121.09	$120.00	23.5%	5.6%	17.4%	63.8%	20.5%	0.9%	1.2%	342.0M	-7.74B	-72.1M	1.42	2.81	90,585	129,061	2,497,100	1,715,024
2010-06-29	$121.27	$120.00	26.7%	6.0%	17.2%	86.8%	21.6%	1.4%	1.4%	337.0M	-7.96B	-75.0M	1.19	2.93	83,602	99,782	2,531,226	1,777,485
2010-06-30	$121.68	$120.00	25.7%	5.6%	17.2%	79.3%	20.1%	0.6%	2.2%	421.5M	-8.36B	-74.7M	0.76	2.60	109,061	82,492	2,547,762	1,777,732