GLD Options History — January 2011

In January 2011, GLD traded between $127.93 and $138.00. ATM implied volatility averaged 17.5%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.1% (HV 20d: 14.5%). Max pain ranged from $120.00 to $136.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2011-01-28: Highest Volume — 388,917 contracts
  • 2011-01-13: Largest IV spike — 25.4% change
  • 2011-01-05: Highest IV Rank — 58.0%
  • 2011-01-07: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.74$127.93$138.00$138.00$129.87
Max Pain$131.45$120.00$136.00$120.00$131.00
ATM IV17.5%13.5%22.0%18.6%20.8%
Expected Move4.7%4.5%5.0%4.7%4.6%
HV 20d14.5%13.3%17.7%13.3%16.9%
HV 60d17.5%16.7%18.4%17.7%17.8%
IV Rank27.3%0.0%58.0%33.3%51.4%
IV Percentile41.1%0.0%86.1%54.8%82.5%
Term Structure1.1%0.7%1.7%1.5%0.7%
VWIV16.9%15.8%17.8%16.5%16.4%
Skew 25d1.1%0.1%2.5%0.1%0.7%
Skew 10d2.5%0.4%6.0%0.4%0.9%
Call IV 25d16.3%15.6%17.4%16.5%16.2%
Put IV 25d17.4%16.3%18.4%16.7%16.9%
Bid-Ask Spread %2.321.523.032.442.40
Gamma HHI0.060.040.130.080.05
Net GEX69.7M-277.3M416.5M416.5M-18.9M
Net DEX-6.07B-12.70B1.30B-12.70B-985.5M
Net VEX-60.7M-66.5M-56.5M-57.3M-64.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.671.650.851.06
Total Volume252,058.85100,670388,917156,372196,473
Total OI4,083,861.72,952,0014,879,2134,025,8433,433,435

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$138.00$120.0018.6%4.7%13.3%33.3%16.5%0.1%1.5%416.5M-12.70B-57.3M0.852.4484,53171,8412,326,7911,699,052
2011-01-04$134.75$120.0020.5%4.6%15.4%47.0%16.6%0.2%1.7%279.3M-9.49B-56.5M1.151.52154,252177,2182,359,2321,724,954
2011-01-05$134.37$120.0022.0%4.7%14.0%58.0%16.8%0.7%1.3%227.1M-8.91B-57.4M0.822.30139,876114,2362,378,5431,789,914
2011-01-06$133.83$121.0018.9%4.8%13.4%35.9%17.5%0.9%1.2%201.1M-8.57B-59.3M1.432.0882,224117,4552,425,4221,835,617
2011-01-07$133.58$136.0017.0%5.0%13.3%21.7%17.8%0.7%0.8%159.1M-8.18B-58.1M1.102.41133,291146,1202,441,6401,881,529
2011-01-10$134.12$136.0018.3%4.9%13.4%30.9%17.3%0.6%1.0%176.5M-8.88B-59.6M0.992.5950,68249,9882,456,1471,915,101
2011-01-11$134.91$136.0016.9%4.7%13.4%21.3%17.0%0.7%1.2%229.6M-9.70B-59.1M1.043.0364,71367,2262,464,9951,927,575
2011-01-12$135.46$136.0013.5%4.5%13.5%0.0%15.8%0.6%1.0%288.5M-10.35B-57.9M0.932.7792,86885,9852,482,0431,944,715
2011-01-13$134.05$136.0016.9%4.9%13.5%24.0%17.5%0.9%0.7%176.4M-8.60B-59.7M1.152.69155,470179,3092,514,9731,977,405
2011-01-14$132.69$136.0017.2%4.9%13.7%25.8%17.5%1.3%1.0%19.8M-6.76B-60.8M0.952.67182,552174,3402,587,9172,078,292
2011-01-18$133.43$135.0016.2%4.6%13.9%19.0%16.7%1.5%1.1%75.3M-8.06B-61.2M1.652.3274,153122,1372,637,0152,092,826
2011-01-19$133.72$135.0016.3%4.7%13.6%19.4%17.1%1.2%1.3%88.2M-8.32B-63.3M0.912.33104,61495,4802,653,1242,129,904
2011-01-20$131.20$135.0016.5%4.7%15.1%21.0%16.9%1.6%1.1%-135.7M-4.86B-61.8M1.292.22136,450175,9622,673,5192,162,472
2011-01-21$131.03$134.0016.9%4.9%15.1%24.1%17.4%2.0%1.2%-277.3M-4.87B-61.8M1.532.35123,011188,5952,688,8192,190,394
2011-01-24$130.36$134.0016.6%4.8%15.2%21.6%16.7%2.5%1.2%-113.2M-488.9M-60.7M0.982.14106,856104,5931,609,3291,342,672
2011-01-25$130.10$133.0016.2%4.6%15.1%18.7%16.7%1.9%1.3%-123.5M-367.5M-61.2M1.251.70123,450154,3291,658,3361,399,975
2011-01-26$131.16$132.0016.3%4.7%14.0%19.5%16.9%1.4%1.1%-50.9M-1.50B-64.5M1.191.78111,767133,0341,703,7301,451,799
2011-01-27$127.93$132.0016.6%4.7%16.0%21.4%16.7%0.9%1.0%-192.9M1.30B-63.2M1.021.87186,860190,3191,753,8021,504,098
2011-01-28$130.28$131.0018.2%4.7%17.7%33.1%16.8%0.9%0.7%-31.9M-1.15B-66.5M0.672.72232,894156,0231,807,3591,572,769
2011-01-31$129.87$131.0020.8%4.6%16.9%51.4%16.4%0.7%0.7%-18.9M-985.5M-64.6M1.062.4095,285101,1881,851,5681,581,867