GLD Options History — September 2010

In September 2010, GLD traded between $121.56 and $127.95. ATM implied volatility averaged 15.5%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 6.4% (HV 20d: 9.1%). Max pain ranged from $118.00 to $123.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.06.

Notable Days

2010-09-14: Highest Volume — 403,426 contracts
2010-09-27: Largest IV spike — 15.3% change
2010-09-27: Highest IV Rank — 21.1%
2010-09-14: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.47	$121.56	$127.95	$121.69	$127.91
Max Pain	$120.67	$118.00	$123.00	$118.00	$123.00
ATM IV	15.5%	14.0%	17.1%	15.4%	14.9%
Expected Move	4.4%	4.2%	4.7%	4.4%	4.3%
HV 20d	9.1%	7.7%	10.0%	7.8%	9.3%
HV 60d	13.8%	10.2%	15.2%	15.2%	10.2%
IV Rank	9.6%	0.0%	21.1%	5.4%	6.7%
IV Percentile	9.0%	0.0%	29.0%	3.6%	3.6%
Term Structure	1.6%	0.9%	2.3%	0.9%	2.1%
VWIV	15.8%	15.1%	17.1%	15.7%	15.5%
Skew 25d	0.2%	-0.3%	0.9%	0.7%	0.9%
Skew 10d	1.0%	-0.5%	2.8%	2.8%	2.6%
Call IV 25d	15.6%	14.9%	17.2%	15.4%	14.9%
Put IV 25d	15.8%	15.0%	16.9%	16.1%	15.8%
Bid-Ask Spread %	3.00	1.77	5.77	5.77	2.13
Gamma HHI	0.07	0.06	0.13	0.06	0.07
Net GEX	530.9M	417.9M	803.6M	449.1M	517.9M
Net DEX	-10.80B	-13.15B	-9.02B	-9.03B	-11.91B
Net VEX	-63.3M	-65.7M	-60.9M	-65.6M	-64.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.50	2.69	0.62	1.36
Total Volume	187,929.095	84,898	403,426	167,203	276,378
Total OI	4,441,956.714	3,739,291	5,110,042	4,569,868	4,157,341

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
2010-09-01	$121.69	$118.00	15.4%	4.4%	7.8%	5.4%	15.7%	0.7%	0.9%	449.1M	-9.03B	-65.6M	0.62	5.77	103,427	63,776	2,689,124	1,880,744
2010-09-02	$122.29	$119.00	15.1%	4.3%	7.9%	3.5%	15.3%	0.4%	1.1%	519.3M	-9.88B	-65.7M	0.92	4.90	44,185	40,713	2,729,390	1,900,494
2010-09-03	$121.86	$119.00	14.7%	4.2%	7.9%	0.7%	15.5%	0.4%	1.2%	472.8M	-9.48B	-64.2M	0.98	4.40	45,920	44,787	2,724,737	1,912,658
2010-09-07	$122.70	$119.00	14.8%	4.2%	7.8%	1.5%	15.1%	0.2%	1.0%	547.3M	-10.45B	-62.3M	0.84	3.88	69,718	58,668	2,717,028	1,916,522
2010-09-08	$122.71	$119.00	14.0%	4.3%	7.8%	0.0%	15.3%	0.4%	1.1%	557.9M	-10.51B	-62.5M	0.81	3.66	86,042	69,652	2,737,617	1,944,637
2010-09-09	$121.56	$120.00	15.5%	4.4%	8.7%	10.5%	15.7%	-0.0%	1.7%	459.1M	-9.06B	-61.6M	0.65	2.88	114,998	74,302	2,769,683	1,968,998
2010-09-10	$121.73	$120.00	15.3%	4.4%	7.7%	9.3%	15.8%	0.3%	1.9%	517.0M	-9.37B	-61.4M	2.69	2.83	54,558	146,735	2,807,494	1,983,363
2010-09-13	$121.62	$120.00	15.0%	4.3%	7.8%	6.9%	15.6%	0.3%	1.7%	458.8M	-9.02B	-61.5M	1.10	2.86	42,572	47,034	2,795,172	2,057,103
2010-09-14	$124.02	$120.00	16.5%	4.7%	9.9%	17.3%	17.1%	-0.3%	1.4%	699.4M	-12.15B	-61.3M	0.84	2.46	218,843	184,583	2,802,948	2,075,638
2010-09-15	$123.94	$121.00	15.7%	4.5%	9.9%	11.5%	15.9%	0.0%	1.7%	707.0M	-12.09B	-61.7M	0.50	2.38	119,562	59,828	2,868,471	2,153,438
2010-09-16	$124.63	$121.00	16.1%	4.6%	10.0%	14.7%	16.6%	-0.0%	1.5%	803.6M	-13.15B	-63.3M	0.74	3.80	126,215	93,086	2,906,770	2,151,299
2010-09-17	$124.54	$121.00	16.0%	4.6%	10.0%	13.9%	16.6%	-0.1%	1.7%	753.8M	-12.89B	-62.8M	0.99	3.42	113,816	112,915	2,920,878	2,189,164
2010-09-20	$124.87	$121.00	15.6%	4.5%	9.8%	11.4%	16.1%	0.1%	1.7%	417.9M	-9.60B	-60.9M	0.64	2.04	104,825	66,742	2,252,181	1,487,110
2010-09-21	$126.01	$121.00	15.6%	4.5%	10.0%	11.4%	16.0%	0.1%	1.6%	474.5M	-10.70B	-64.1M	0.86	2.46	133,556	114,907	2,296,376	1,519,711
2010-09-22	$126.20	$122.00	14.8%	4.3%	10.0%	6.0%	15.4%	-0.2%	2.0%	491.4M	-10.83B	-63.0M	0.96	2.24	82,321	79,339	2,313,139	1,552,401
2010-09-23	$126.30	$122.00	14.6%	4.2%	9.7%	4.4%	15.1%	0.2%	2.2%	470.8M	-10.72B	-63.1M	2.63	2.27	61,261	161,414	2,325,273	1,582,385
2010-09-24	$126.69	$122.00	14.8%	4.3%	9.5%	5.6%	15.4%	0.5%	2.3%	462.1M	-10.96B	-65.2M	1.25	2.09	106,293	133,019	2,345,496	1,648,448
2010-09-27	$126.72	$122.00	17.1%	4.3%	9.6%	21.1%	15.5%	0.4%	1.9%	431.4M	-11.02B	-65.2M	1.08	1.77	54,704	59,113	2,359,376	1,679,887
2010-09-28	$127.85	$122.00	16.8%	4.4%	9.8%	19.1%	16.0%	-0.1%	1.3%	461.9M	-11.84B	-63.9M	0.83	2.47	124,770	102,996	2,345,505	1,700,455
2010-09-29	$127.95	$122.00	17.0%	4.4%	9.4%	20.9%	15.9%	0.4%	1.6%	477.0M	-12.09B	-64.8M	0.98	2.18	75,279	73,659	2,382,555	1,730,082
2010-09-30	$127.91	$123.00	14.9%	4.3%	9.3%	6.7%	15.5%	0.9%	2.1%	517.9M	-11.91B	-64.5M	1.36	2.13	116,949	159,429	2,397,348	1,759,993