GLD Options History — December 2010

In December 2010, GLD traded between $133.81 and $139.11. ATM implied volatility averaged 17.7%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.1% (HV 20d: 16.6%). Max pain ranged from $120.00 to $128.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2010-12-16: Highest Volume — 413,588 contracts
2010-12-15: Largest IV drop — 16.5% change
2010-12-14: Highest IV Rank — 45.4%
2010-12-01: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$135.94	$133.81	$139.11	$135.38	$138.72
Max Pain	$121.09	$120.00	$128.00	$128.00	$120.00
ATM IV	17.7%	14.9%	20.4%	20.4%	17.1%
Expected Move	5.0%	4.3%	5.9%	5.9%	5.0%
HV 20d	16.6%	14.1%	21.0%	21.0%	15.1%
HV 60d	17.8%	17.0%	18.1%	17.0%	17.9%
IV Rank	26.4%	6.4%	45.4%	44.0%	22.5%
IV Percentile	38.6%	4.0%	69.0%	67.1%	35.3%
Term Structure	1.4%	0.4%	2.5%	0.8%	1.5%
VWIV	18.0%	15.3%	21.4%	21.4%	17.8%
Skew 25d	0.2%	-0.2%	0.6%	0.1%	-0.0%
Skew 10d	0.6%	-0.8%	1.6%	0.3%	0.5%
Call IV 25d	17.6%	15.1%	20.8%	20.8%	17.7%
Put IV 25d	17.9%	15.5%	20.9%	20.9%	17.6%
Bid-Ask Spread %	2.53	1.77	5.81	2.24	2.44
Gamma HHI	0.09	0.07	0.12	0.10	0.07
Net GEX	545.1M	282.7M	997.8M	611.4M	467.6M
Net DEX	-13.57B	-19.96B	-9.77B	-14.99B	-13.23B
Net VEX	-61.4M	-68.3M	-56.4M	-68.3M	-56.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.50	1.35	0.61	0.69
Total Volume	207,450.591	50,126	413,588	202,081	148,594
Total OI	4,930,293.136	3,974,939	5,747,832	5,166,801	4,084,974

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
2010-12-01	$135.38	$128.00	20.4%	5.9%	21.0%	44.0%	21.4%	0.1%	0.8%	611.4M	-14.99B	-68.3M	0.61	2.24	125,786	76,295	3,078,117	2,088,684
2010-12-02	$135.20	$128.00	19.1%	5.5%	20.9%	35.3%	20.1%	-0.2%	1.1%	630.9M	-14.79B	-67.6M	0.50	2.08	223,981	111,821	3,116,742	2,110,480
2010-12-03	$138.07	$128.00	18.9%	5.6%	18.7%	33.6%	20.0%	-0.2%	0.5%	997.8M	-18.69B	-67.4M	0.75	2.56	167,583	125,801	3,215,003	2,161,427
2010-12-06	$139.11	$120.00	18.9%	5.6%	18.8%	33.4%	19.8%	-0.2%	0.6%	951.9M	-19.96B	-62.9M	0.92	5.81	141,336	129,825	3,204,740	2,161,227
2010-12-07	$136.50	$120.00	18.9%	5.6%	19.8%	34.0%	19.8%	0.2%	0.5%	734.7M	-16.14B	-65.1M	1.04	3.74	152,158	157,848	3,226,594	2,212,759
2010-12-08	$134.79	$120.00	19.2%	5.7%	19.4%	37.7%	20.1%	0.5%	0.6%	559.4M	-13.83B	-65.4M	1.04	2.38	184,527	192,578	3,254,356	2,250,018
2010-12-09	$135.37	$120.00	19.6%	5.4%	19.0%	40.9%	19.3%	0.5%	0.4%	605.9M	-14.47B	-63.7M	1.00	3.49	125,568	125,578	3,272,904	2,278,376
2010-12-10	$135.41	$120.00	18.2%	5.2%	18.9%	30.4%	19.1%	0.5%	0.8%	585.1M	-14.43B	-63.1M	0.79	2.49	120,065	95,369	3,254,956	2,321,530
2010-12-13	$136.05	$120.00	20.1%	5.1%	15.7%	44.4%	18.7%	0.4%	1.5%	743.1M	-15.40B	-61.3M	0.98	2.32	80,122	78,750	3,313,124	2,305,157
2010-12-14	$136.18	$120.00	20.3%	5.0%	15.2%	45.4%	17.8%	-0.0%	1.8%	728.8M	-15.70B	-59.7M	0.54	2.62	166,068	89,027	3,315,659	2,326,828
2010-12-15	$134.70	$120.00	16.9%	4.8%	15.2%	21.2%	17.0%	0.2%	1.6%	468.4M	-13.69B	-60.4M	0.64	2.10	108,183	69,675	3,365,444	2,345,812
2010-12-16	$133.81	$120.00	16.9%	4.8%	15.4%	21.1%	17.3%	0.4%	1.6%	282.7M	-11.95B	-58.5M	1.06	2.35	201,029	212,559	3,327,996	2,353,856
2010-12-17	$134.20	$120.00	16.1%	4.6%	14.7%	15.5%	16.5%	0.5%	1.9%	331.8M	-12.58B	-58.7M	0.59	2.43	139,315	81,700	3,350,505	2,397,327
2010-12-20	$135.11	$120.00	15.5%	4.5%	14.9%	11.2%	15.9%	0.5%	2.2%	384.3M	-10.30B	-59.2M	1.35	1.86	58,298	78,457	2,347,611	1,627,328
2010-12-21	$135.32	$120.00	15.8%	4.5%	14.5%	13.1%	16.2%	0.5%	2.1%	367.7M	-10.49B	-59.0M	0.64	1.98	73,874	46,991	2,369,245	1,678,184
2010-12-22	$135.05	$120.00	15.3%	4.4%	14.4%	9.7%	15.7%	0.3%	2.2%	343.7M	-10.21B	-59.7M	1.07	1.89	36,520	39,252	2,376,430	1,703,174
2010-12-23	$134.66	$120.00	14.9%	4.3%	14.4%	6.4%	15.3%	0.4%	2.5%	327.8M	-9.77B	-59.1M	0.51	2.09	88,620	45,275	2,384,352	1,708,391
2010-12-27	$135.02	$120.00	15.5%	4.4%	14.1%	11.1%	16.1%	0.6%	1.9%	366.6M	-10.23B	-57.2M	0.79	2.42	28,033	22,093	2,394,884	1,704,486
2010-12-28	$137.22	$120.00	16.8%	4.8%	15.1%	20.2%	17.0%	0.1%	1.7%	522.2M	-12.52B	-58.4M	0.93	2.24	91,536	85,061	2,393,544	1,711,924
2010-12-29	$137.71	$120.00	17.6%	5.1%	14.4%	26.4%	18.0%	0.0%	1.4%	528.7M	-12.98B	-59.4M	0.52	2.24	100,573	52,156	2,422,049	1,753,931
2010-12-30	$137.03	$120.00	17.2%	5.0%	14.5%	23.6%	17.8%	-0.2%	1.8%	451.6M	-12.22B	-59.1M	0.80	1.77	47,915	38,118	2,425,966	1,770,355
2010-12-31	$138.72	$120.00	17.1%	5.0%	15.1%	22.5%	17.8%	-0.0%	1.5%	467.6M	-13.23B	-56.4M	0.69	2.44	87,694	60,900	2,332,346	1,752,628