GLD Options History — November 2010

In November 2010, GLD traded between $130.38 and $137.78. ATM implied volatility averaged 21.1%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.1% (HV 20d: 21.2%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2010-11-12: Highest Volume — 515,880 contracts
2010-11-08: Largest IV spike — 25.6% change
2010-11-09: Highest IV Rank — 94.9%
2010-11-09: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$133.93	$130.38	$137.78	$131.92	$135.42
Max Pain	$127.67	$125.00	$130.00	$130.00	$128.00
ATM IV	21.1%	17.9%	27.8%	26.4%	20.1%
Expected Move	5.7%	5.1%	6.4%	5.8%	5.9%
HV 20d	21.2%	18.0%	24.2%	19.2%	21.1%
HV 60d	15.6%	12.9%	17.1%	12.9%	17.1%
IV Rank	48.5%	27.1%	94.9%	85.5%	41.7%
IV Percentile	67.0%	40.9%	99.2%	97.6%	64.7%
Term Structure	0.2%	-0.6%	1.2%	-0.2%	0.8%
VWIV	20.4%	18.3%	22.7%	20.3%	21.2%
Skew 25d	0.3%	-0.4%	1.1%	1.0%	-0.1%
Skew 10d	1.2%	-0.3%	2.5%	2.2%	0.2%
Call IV 25d	20.2%	18.1%	22.6%	20.2%	20.7%
Put IV 25d	20.5%	18.7%	23.1%	21.2%	20.6%
Bid-Ask Spread %	4.21	1.64	18.20	2.26	2.99
Gamma HHI	0.08	0.06	0.10	0.06	0.10
Net GEX	455.6M	99.8M	723.5M	403.9M	617.5M
Net DEX	-13.50B	-19.01B	-8.01B	-11.88B	-15.03B
Net VEX	-72.6M	-76.8M	-67.6M	-76.8M	-68.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.50	1.20	1.13	0.50
Total Volume	258,091.714	87,595	515,880	157,868	218,294
Total OI	5,352,629.476	4,903,109	5,792,772	5,084,449	5,118,125

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
2010-11-01	$131.92	$130.00	26.4%	5.8%	19.2%	85.5%	20.3%	1.0%	-0.2%	403.9M	-11.88B	-76.8M	1.13	2.26	74,241	83,627	2,944,086	2,140,363
2010-11-02	$132.49	$130.00	26.8%	5.8%	18.0%	87.7%	20.6%	1.1%	-0.6%	426.9M	-12.56B	-74.6M	0.64	2.33	110,728	70,839	2,972,731	2,187,624
2010-11-03	$131.57	$130.00	23.5%	5.3%	18.0%	65.3%	19.1%	0.7%	0.5%	376.2M	-11.54B	-73.9M	1.13	2.82	158,852	180,283	3,012,836	2,201,832
2010-11-04	$136.03	$130.00	20.0%	5.6%	21.1%	41.4%	20.0%	-0.2%	0.0%	683.8M	-17.21B	-75.6M	0.80	3.10	224,265	178,847	3,035,586	2,252,492
2010-11-05	$136.38	$125.00	18.4%	5.5%	20.9%	30.2%	19.8%	-0.1%	0.4%	684.5M	-17.58B	-74.1M	0.91	2.61	156,446	142,488	3,039,246	2,311,234
2010-11-08	$137.78	$125.00	23.1%	5.8%	21.1%	62.6%	20.6%	-0.4%	0.4%	723.5M	-19.01B	-72.0M	1.03	2.63	136,244	139,755	3,046,291	2,305,179
2010-11-09	$135.59	$125.00	27.8%	6.4%	22.0%	94.9%	22.7%	0.4%	-0.0%	512.0M	-15.88B	-75.6M	0.82	18.20	272,995	225,136	3,062,974	2,346,571
2010-11-10	$137.24	$126.00	20.9%	6.2%	21.7%	47.3%	22.2%	-0.1%	0.4%	653.9M	-17.81B	-76.8M	0.90	7.56	168,560	152,021	3,121,684	2,386,900
2010-11-11	$137.66	$127.00	20.9%	6.0%	21.7%	47.3%	21.5%	0.0%	0.3%	694.5M	-18.59B	-74.9M	0.98	3.21	125,802	123,684	3,151,160	2,428,767
2010-11-12	$133.69	$127.00	21.4%	6.1%	24.0%	51.1%	21.9%	-0.0%	-0.1%	310.2M	-12.70B	-75.3M	1.03	15.33	253,522	262,358	3,181,911	2,468,029
2010-11-15	$132.42	$128.00	21.1%	6.0%	24.2%	48.5%	21.6%	0.8%	-0.1%	287.5M	-11.20B	-75.7M	0.91	4.26	96,453	87,534	3,226,611	2,472,316
2010-11-16	$130.97	$127.00	21.5%	6.2%	21.7%	51.5%	22.0%	1.0%	0.0%	133.8M	-9.00B	-72.2M	1.05	2.55	173,065	181,611	3,232,034	2,470,454
2010-11-17	$130.38	$127.00	20.0%	5.7%	21.5%	41.4%	20.4%	0.9%	0.3%	99.8M	-8.01B	-72.9M	0.67	2.53	130,682	87,077	3,253,679	2,478,878
2010-11-18	$132.09	$128.00	19.3%	5.5%	21.4%	36.3%	19.6%	0.5%	0.2%	310.9M	-10.95B	-73.2M	1.20	2.28	104,325	125,516	3,297,154	2,495,618
2010-11-19	$132.20	$128.00	17.9%	5.1%	21.4%	27.1%	18.3%	0.5%	0.5%	301.8M	-11.04B	-71.2M	0.80	2.45	125,806	100,700	3,286,807	2,505,644
2010-11-22	$133.48	$128.00	18.4%	5.3%	21.4%	30.0%	18.9%	-0.1%	-0.1%	436.4M	-12.31B	-68.6M	1.07	1.64	68,237	73,131	2,917,299	1,985,810
2010-11-23	$134.41	$128.00	19.3%	5.5%	21.5%	36.7%	19.8%	-0.2%	-0.3%	520.2M	-13.35B	-69.7M	0.70	2.62	121,504	85,273	2,942,739	2,010,182
2010-11-24	$134.18	$128.00	18.5%	5.3%	21.1%	31.0%	19.2%	-0.3%	-0.0%	498.7M	-13.37B	-67.8M	1.00	2.28	72,967	72,949	2,988,643	2,040,335
2010-11-26	$133.11	$128.00	18.2%	5.2%	20.9%	28.8%	18.6%	0.1%	1.2%	436.3M	-12.04B	-67.6M	0.84	2.17	47,522	40,073	2,998,213	2,056,613
2010-11-29	$133.51	$128.00	18.7%	5.4%	20.6%	32.4%	19.9%	0.7%	1.2%	455.8M	-12.55B	-67.7M	0.70	2.58	97,768	68,746	2,992,524	2,038,045
2010-11-30	$135.42	$128.00	20.1%	5.9%	21.1%	41.7%	21.2%	-0.1%	0.8%	617.5M	-15.03B	-68.1M	0.50	2.99	145,580	72,714	3,054,399	2,063,726