GLD Options History — July 2010 In July 2010, GLD traded between $113.51 and $118.49. ATM implied volatility averaged 18.0%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 2.5% (HV 20d: 20.5%). Max pain ranged from $118.00 to $121.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.03.
Notable Days 2010-07-01 : Highest Volume — 373,937 contracts2010-07-06 : Largest IV spike — 30.6% change2010-07-06 : Highest IV Rank — 64.7%2010-07-01 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $116.57 $113.51 $118.49 $117.04 $115.49 Max Pain $119.19 $118.00 $121.00 $120.00 $118.00 ATM IV 18.0% 15.6% 23.6% 21.8% 16.2% Expected Move 5.2% 4.6% 6.3% 6.3% 4.6% HV 20d 20.5% 15.2% 21.7% 21.6% 15.2% HV 60d 18.6% 18.2% 18.9% 18.2% 18.8% IV Rank 24.0% 7.0% 64.7% 51.6% 11.0% IV Percentile 31.3% 4.8% 91.3% 75.4% 10.7% Term Structure 1.1% 0.5% 2.1% 0.7% 1.4% VWIV 18.6% 16.4% 22.2% 22.2% 16.4% Skew 25d 1.5% 0.6% 2.2% 1.8% 1.0% Skew 10d 3.3% 1.8% 6.5% 3.9% 2.1% Call IV 25d 17.9% 15.9% 21.6% 21.6% 15.9% Put IV 25d 19.4% 16.9% 23.4% 23.4% 16.9% Bid-Ask Spread % 4.05 2.49 6.45 3.38 2.80 Gamma HHI 0.05 0.04 0.09 0.04 0.04 Net GEX 50.2M -71.0M 144.6M 71.4M 58.3M Net DEX -3.67B -5.07B -1.50B -3.87B -3.21B Net VEX -64.8M -72.4M -61.3M -71.6M -61.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.54 1.88 1.28 0.71 Total Volume 169,003.524 78,280 373,937 373,937 142,606 Total OI 4,210,506.476 3,690,261 4,641,343 4,281,417 4,100,101
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 2010-07-01 $117.04 $120.00 21.8% 6.3% 21.6% 51.6% 22.2% 1.8% 0.7% 71.4M -3.87B -71.6M 1.28 3.38 163,722 210,215 2,538,007 1,743,410 2010-07-02 $118.49 $120.00 18.1% 5.4% 21.7% 24.9% 19.5% 1.8% 2.1% 144.6M -5.07B -72.4M 0.81 2.57 103,276 83,743 2,575,443 1,792,345 2010-07-06 $116.51 $121.00 23.6% 6.0% 21.2% 64.7% 21.3% 1.3% 1.1% -21.7M -3.05B -68.8M 1.12 6.45 96,134 107,321 2,571,754 1,814,887 2010-07-07 $117.73 $121.00 17.9% 5.6% 21.6% 23.4% 19.8% 0.7% 1.4% 47.8M -4.14B -68.6M 0.62 4.73 81,504 50,239 2,588,360 1,834,659 2010-07-08 $117.21 $120.00 16.8% 5.2% 21.7% 15.4% 18.7% 1.0% 1.2% -15.2M -3.66B -65.2M 1.58 5.27 66,509 104,869 2,614,116 1,838,679 2010-07-09 $118.36 $120.00 17.3% 5.1% 21.5% 19.1% 18.5% 0.7% 1.3% 124.2M -5.01B -66.6M 0.85 5.11 75,723 64,095 2,621,709 1,857,821 2010-07-12 $117.34 $120.00 18.6% 5.2% 21.5% 28.0% 18.7% 1.0% 0.8% -10.4M -3.82B -63.0M 0.86 4.66 71,722 61,743 2,638,232 1,853,831 2010-07-13 $118.36 $120.00 18.0% 5.1% 21.7% 24.0% 18.7% 0.6% 1.0% 120.8M -5.04B -64.3M 0.54 4.56 124,512 67,503 2,651,356 1,885,501 2010-07-14 $118.30 $120.00 15.6% 5.0% 21.2% 7.0% 17.9% 0.8% 1.3% 95.8M -5.02B -66.8M 0.80 4.18 77,447 62,247 2,699,878 1,914,361 2010-07-15 $118.23 $120.00 16.4% 4.7% 21.2% 12.2% 16.6% 0.9% 1.4% 36.3M -4.75B -65.5M 0.75 3.91 69,316 52,021 2,721,718 1,919,625 2010-07-16 $116.67 $120.00 18.4% 5.3% 20.9% 27.2% 19.3% 1.3% 0.9% -71.0M -3.30B -63.6M 1.36 4.11 98,809 134,581 2,719,017 1,915,689 2010-07-19 $115.73 $119.00 18.1% 5.2% 20.7% 24.9% 18.4% 2.2% 0.5% 78.8M -3.44B -62.5M 1.28 3.76 100,779 128,571 2,251,257 1,439,004 2010-07-20 $116.65 $118.00 17.6% 5.0% 20.0% 21.2% 18.0% 2.2% 0.6% 105.7M -4.04B -64.0M 0.96 3.41 83,599 80,616 2,290,981 1,505,622 2010-07-21 $115.85 $118.00 17.9% 5.1% 19.7% 23.3% 18.4% 2.2% 0.5% 87.0M -3.46B -62.4M 0.81 3.31 66,472 54,005 2,306,276 1,502,967 2010-07-22 $116.86 $118.00 16.8% 4.8% 20.1% 15.3% 17.4% 2.0% 1.1% 129.6M -4.28B -64.0M 1.02 2.49 69,096 70,181 2,320,936 1,521,777 2010-07-23 $116.09 $118.00 17.7% 5.1% 20.1% 21.8% 18.6% 2.1% 0.8% 83.8M -3.61B -62.6M 1.88 5.69 45,377 85,420 2,350,739 1,543,238 2010-07-26 $115.52 $118.00 17.4% 5.0% 19.4% 20.1% 18.1% 1.9% 0.8% 67.6M -3.10B -61.3M 0.98 3.08 48,636 47,842 2,344,617 1,555,566 2010-07-27 $113.51 $118.00 18.6% 5.3% 19.7% 28.3% 19.2% 1.8% 0.5% -32.8M -1.50B -61.4M 1.02 3.52 137,545 140,919 2,360,540 1,580,462 2010-07-28 $113.78 $118.00 18.1% 5.2% 19.7% 24.6% 18.5% 1.9% 1.2% -28.0M -1.60B -62.2M 1.19 4.78 64,704 77,175 2,403,423 1,641,384 2010-07-29 $114.29 $118.00 16.7% 4.8% 19.8% 14.9% 17.2% 1.7% 1.5% -17.8M -2.03B -61.7M 1.10 3.23 37,218 41,062 2,421,738 1,669,610 2010-07-30 $115.49 $118.00 16.2% 4.6% 15.2% 11.0% 16.4% 1.0% 1.4% 58.3M -3.21B -61.5M 0.71 2.80 83,150 59,456 2,427,333 1,672,768
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