GLD Options History — October 2010

In October 2010, GLD traded between $128.46 and $134.75. ATM implied volatility averaged 18.2%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.3% (HV 20d: 13.9%). Max pain ranged from $123.00 to $130.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.04.

Notable Days

2010-10-15: Highest Volume — 641,162 contracts
2010-10-14: Largest IV spike — 20.8% change
2010-10-29: Highest IV Rank — 54.3%
2010-10-14: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$131.38	$128.46	$134.75	$128.91	$132.62
Max Pain	$128.52	$123.00	$130.00	$123.00	$130.00
ATM IV	18.2%	14.3%	21.9%	14.3%	21.9%
Expected Move	5.3%	4.2%	5.9%	4.2%	5.4%
HV 20d	13.9%	9.4%	19.1%	9.4%	19.1%
HV 60d	11.4%	10.2%	12.9%	10.3%	12.9%
IV Rank	29.2%	2.5%	54.3%	2.5%	54.3%
IV Percentile	43.8%	0.4%	79.8%	0.4%	79.8%
Term Structure	1.0%	0.3%	2.2%	2.2%	0.3%
VWIV	18.9%	15.5%	21.0%	15.5%	19.5%
Skew 25d	0.6%	0.1%	1.2%	0.6%	1.2%
Skew 10d	1.7%	0.7%	2.9%	1.9%	2.4%
Call IV 25d	18.5%	14.8%	21.0%	14.8%	18.9%
Put IV 25d	19.1%	15.5%	21.3%	15.5%	20.1%
Bid-Ask Spread %	2.92	1.98	5.87	1.98	2.82
Gamma HHI	0.07	0.05	0.09	0.08	0.07
Net GEX	368.6M	146.3M	562.2M	562.2M	516.8M
Net DEX	-12.75B	-17.63B	-8.41B	-12.54B	-12.85B
Net VEX	-71.8M	-77.8M	-64.7M	-65.1M	-75.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.34	1.98	1.48	1.10
Total Volume	303,607.571	126,113	641,162	213,557	266,113
Total OI	4,710,454.333	4,101,789	5,095,035	4,101,789	5,095,035

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
2010-10-01	$128.91	$123.00	14.3%	4.2%	9.4%	2.5%	15.5%	0.6%	2.2%	562.2M	-12.54B	-65.1M	1.48	1.98	86,005	127,552	2,380,897	1,720,892
2010-10-04	$128.46	$125.00	17.2%	4.9%	9.4%	22.2%	18.1%	0.1%	1.1%	432.3M	-11.87B	-64.7M	1.22	3.13	59,069	71,917	2,390,022	1,760,861
2010-10-05	$130.99	$125.00	19.7%	5.1%	11.1%	39.2%	19.1%	0.1%	1.0%	503.7M	-14.49B	-64.8M	1.98	2.89	151,108	299,649	2,410,753	1,792,848
2010-10-06	$131.81	$125.00	16.6%	5.1%	11.1%	17.6%	18.4%	0.1%	0.8%	467.1M	-14.92B	-65.5M	0.73	3.13	323,002	234,462	2,438,234	1,966,172
2010-10-07	$130.37	$127.00	18.7%	5.4%	11.3%	32.3%	19.6%	0.6%	0.8%	314.1M	-13.04B	-70.2M	1.24	5.87	248,868	309,736	2,510,384	2,043,121
2010-10-08	$131.66	$130.00	17.4%	5.3%	11.5%	23.7%	18.7%	0.5%	0.8%	409.6M	-14.47B	-68.8M	1.43	4.04	163,451	233,820	2,555,942	2,164,053
2010-10-11	$132.29	$129.00	18.4%	5.3%	11.4%	30.4%	19.7%	0.8%	0.9%	407.0M	-15.01B	-69.4M	1.05	3.09	91,122	95,889	2,541,799	2,177,939
2010-10-12	$131.96	$128.00	16.1%	5.2%	10.0%	14.7%	18.9%	0.9%	0.9%	388.3M	-14.86B	-69.7M	1.06	3.03	86,679	91,642	2,575,065	2,213,756
2010-10-13	$134.07	$128.00	17.1%	5.5%	10.9%	21.2%	19.6%	0.1%	1.0%	499.6M	-17.11B	-69.5M	0.63	3.63	220,949	138,775	2,585,310	2,215,812
2010-10-14	$134.75	$129.00	20.6%	5.9%	10.9%	45.6%	21.0%	0.3%	0.7%	511.0M	-17.63B	-71.3M	0.87	2.49	188,094	163,089	2,620,201	2,254,008
2010-10-15	$133.68	$130.00	19.4%	5.5%	11.6%	36.8%	19.8%	0.4%	1.2%	269.0M	-16.09B	-73.0M	0.34	2.84	477,856	163,306	2,652,264	2,309,488
2010-10-18	$134.28	$130.00	18.9%	5.4%	11.6%	33.4%	19.4%	0.2%	1.3%	436.6M	-13.64B	-76.6M	1.47	2.60	51,013	75,100	2,649,841	1,869,347
2010-10-19	$130.11	$130.00	19.1%	5.5%	16.8%	35.3%	19.8%	0.9%	1.1%	254.7M	-9.70B	-73.6M	0.72	3.12	267,202	192,598	2,657,827	1,894,478
2010-10-20	$131.32	$130.00	18.3%	5.2%	17.0%	29.6%	18.8%	0.7%	1.2%	269.2M	-10.61B	-75.9M	0.81	2.67	142,579	116,026	2,715,485	1,987,739
2010-10-21	$129.47	$130.00	18.9%	5.4%	18.0%	33.8%	19.1%	1.0%	0.8%	146.3M	-8.41B	-77.8M	1.22	2.81	156,115	191,058	2,791,082	2,063,576
2010-10-22	$129.73	$130.00	18.1%	5.2%	18.0%	28.6%	18.7%	0.4%	1.0%	178.0M	-9.06B	-77.6M	1.46	2.14	76,114	111,161	2,846,946	2,081,771
2010-10-25	$130.85	$130.00	17.9%	5.1%	18.2%	26.8%	18.4%	0.7%	0.8%	296.8M	-10.55B	-75.2M	0.64	2.18	86,372	55,627	2,836,228	2,078,295
2010-10-26	$130.88	$130.00	17.7%	5.1%	18.0%	25.4%	18.2%	0.4%	0.8%	311.4M	-10.74B	-75.0M	0.57	2.08	125,614	71,218	2,894,060	2,092,564
2010-10-27	$129.52	$130.00	18.0%	5.2%	18.4%	27.4%	18.5%	0.7%	0.7%	211.5M	-9.10B	-73.6M	0.85	2.40	93,277	79,520	2,909,314	2,114,644
2010-10-28	$131.24	$130.00	18.6%	5.3%	19.0%	31.6%	19.1%	0.7%	0.6%	355.0M	-11.02B	-75.6M	0.89	2.44	102,215	90,797	2,918,101	2,143,387
2010-10-29	$132.62	$130.00	21.9%	5.4%	19.1%	54.3%	19.5%	1.2%	0.3%	516.8M	-12.85B	-75.5M	1.10	2.82	126,779	139,334	2,955,280	2,139,755