GLD Options History — August 2010

In August 2010, GLD traded between $115.54 and $122.08. ATM implied volatility averaged 16.1%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 5.4% (HV 20d: 10.7%). Max pain ranged from $115.00 to $118.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2010-08-19: Highest Volume — 251,037 contracts
2010-08-05: Largest IV drop — 14.5% change
2010-08-04: Highest IV Rank — 19.6%
2010-08-11: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.07	$115.54	$122.08	$115.54	$122.08
Max Pain	$116.82	$115.00	$118.00	$118.00	$118.00
ATM IV	16.1%	14.6%	17.4%	17.1%	16.6%
Expected Move	4.5%	4.1%	4.8%	4.5%	4.8%
HV 20d	10.7%	7.1%	14.4%	14.4%	7.7%
HV 60d	16.5%	15.2%	17.8%	17.8%	15.2%
IV Rank	10.5%	0.0%	19.6%	17.6%	14.5%
IV Percentile	11.0%	0.0%	22.2%	19.8%	17.5%
Term Structure	1.1%	0.7%	2.4%	1.6%	0.9%
VWIV	16.4%	14.5%	17.3%	16.1%	17.2%
Skew 25d	0.5%	-0.1%	1.2%	1.2%	0.5%
Skew 10d	2.0%	0.3%	3.5%	2.3%	2.6%
Call IV 25d	16.0%	14.3%	17.0%	15.6%	16.8%
Put IV 25d	16.6%	15.2%	17.6%	16.8%	17.3%
Bid-Ask Spread %	2.96	1.91	5.32	2.00	5.19
Gamma HHI	0.09	0.04	0.36	0.04	0.06
Net GEX	424.9M	71.3M	898.9M	71.3M	443.4M
Net DEX	-6.95B	-9.43B	-3.21B	-3.21B	-9.43B
Net VEX	-63.2M	-65.6M	-60.8M	-60.8M	-65.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.47	1.48	1.00	0.83
Total Volume	161,716.545	67,310	251,037	101,543	231,180
Total OI	4,338,019.955	4,104,350	4,652,780	4,104,350	4,448,218

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
2010-08-02	$115.54	$118.00	17.1%	4.5%	14.4%	17.6%	16.1%	1.2%	1.6%	71.3M	-3.21B	-60.8M	1.00	2.00	50,689	50,854	2,445,090	1,659,260
2010-08-03	$115.99	$118.00	16.9%	4.3%	13.3%	16.4%	15.6%	1.2%	2.0%	111.8M	-3.78B	-63.2M	0.83	2.19	36,718	30,592	2,470,485	1,681,848
2010-08-04	$116.72	$117.00	17.4%	4.1%	12.9%	19.6%	15.0%	0.8%	2.4%	165.0M	-4.50B	-63.0M	0.70	2.36	86,306	60,209	2,478,024	1,689,523
2010-08-05	$116.98	$117.00	14.9%	4.1%	12.8%	1.5%	14.5%	0.9%	2.1%	216.7M	-4.80B	-62.9M	0.73	2.47	44,008	31,912	2,492,068	1,709,804
2010-08-06	$117.84	$115.00	14.6%	4.6%	12.6%	0.0%	16.2%	0.8%	0.7%	306.1M	-5.80B	-61.7M	0.48	2.85	161,365	77,055	2,499,424	1,708,983
2010-08-09	$117.40	$116.00	16.4%	4.5%	12.3%	12.5%	16.2%	0.7%	0.9%	265.0M	-5.29B	-61.4M	0.53	2.68	54,068	28,912	2,537,170	1,711,005
2010-08-10	$117.73	$116.00	16.9%	4.6%	11.9%	16.5%	17.1%	0.8%	0.7%	287.3M	-5.49B	-61.4M	0.70	2.90	101,549	71,150	2,549,606	1,717,795
2010-08-11	$117.34	$116.00	15.7%	4.8%	12.0%	8.0%	17.3%	0.9%	1.0%	277.5M	-5.24B	-62.8M	0.71	3.03	111,699	79,192	2,581,894	1,738,778
2010-08-12	$118.77	$116.00	16.3%	4.7%	12.8%	12.0%	16.6%	0.8%	0.8%	510.8M	-7.28B	-62.9M	0.55	2.86	110,992	61,092	2,643,655	1,765,140
2010-08-13	$118.74	$116.00	16.1%	4.6%	11.7%	10.5%	16.6%	0.8%	1.0%	488.8M	-7.15B	-64.3M	0.47	2.64	124,350	59,070	2,647,550	1,786,244
2010-08-16	$119.73	$116.00	16.1%	4.6%	11.5%	10.9%	16.9%	0.3%	0.9%	573.4M	-8.27B	-62.8M	0.76	2.07	89,498	67,829	2,661,988	1,779,117
2010-08-17	$119.75	$116.00	15.0%	4.3%	11.3%	3.0%	15.8%	0.2%	1.1%	615.1M	-8.27B	-62.7M	0.94	3.01	66,689	62,410	2,676,406	1,812,252
2010-08-18	$120.22	$116.00	15.5%	4.4%	10.9%	6.2%	16.6%	0.4%	1.0%	652.6M	-8.83B	-62.6M	1.04	2.47	76,005	78,880	2,682,901	1,832,582
2010-08-19	$120.39	$117.00	15.6%	4.5%	10.6%	7.2%	16.1%	-0.1%	1.0%	654.5M	-9.21B	-61.3M	1.48	2.45	101,119	149,918	2,701,836	1,858,886
2010-08-20	$119.97	$117.00	15.8%	4.5%	10.3%	8.7%	17.0%	-0.0%	1.1%	898.9M	-8.26B	-64.4M	1.02	2.34	108,273	109,916	2,708,818	1,943,962
2010-08-23	$119.78	$117.00	15.3%	4.4%	10.1%	4.9%	16.3%	0.7%	0.9%	294.2M	-6.96B	-63.0M	1.03	1.91	74,569	76,741	2,468,224	1,651,286
2010-08-24	$120.36	$117.00	16.2%	4.5%	7.1%	11.8%	16.3%	0.4%	0.9%	348.0M	-7.51B	-65.0M	0.80	2.69	90,538	72,866	2,515,460	1,702,710
2010-08-25	$121.36	$117.00	17.0%	4.7%	7.3%	17.2%	17.3%	-0.1%	1.0%	435.6M	-8.79B	-64.1M	0.89	2.35	105,502	93,400	2,549,780	1,731,300
2010-08-26	$120.96	$118.00	16.3%	4.7%	7.7%	12.3%	17.0%	0.3%	0.9%	462.4M	-8.32B	-63.9M	1.26	4.54	80,915	101,773	2,580,550	1,776,481
2010-08-27	$121.01	$118.00	16.2%	4.6%	7.2%	11.3%	16.5%	0.4%	1.0%	888.5M	-8.48B	-65.6M	0.88	5.32	102,515	90,452	2,607,676	1,829,927
2010-08-30	$120.91	$118.00	15.9%	4.6%	7.2%	9.1%	16.5%	0.3%	1.0%	379.9M	-8.10B	-64.7M	0.80	4.88	52,721	42,273	2,589,797	1,812,936
2010-08-31	$122.08	$118.00	16.6%	4.8%	7.7%	14.5%	17.2%	0.5%	0.9%	443.4M	-9.43B	-65.4M	0.83	5.19	126,536	104,644	2,617,310	1,830,908