GLD Options History — February 2011

In February 2011, GLD traded between $130.45 and $137.66. ATM implied volatility averaged 15.2%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.2% (HV 20d: 15.0%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2011-02-23: Highest Volume — 366,442 contracts
  • 2011-02-03: Largest IV drop — 15.8% change
  • 2011-02-02: Highest IV Rank — 43.7%
  • 2011-02-04: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.95$130.45$137.66$130.80$137.66
Max Pain$131.21$130.00$135.00$130.00$135.00
ATM IV15.2%13.6%19.8%19.7%13.7%
Expected Move4.2%3.9%4.4%4.4%3.9%
HV 20d15.0%9.0%17.2%17.2%9.0%
HV 60d15.2%14.4%16.5%16.5%14.4%
IV Rank11.9%0.7%43.7%43.4%1.1%
IV Percentile14.8%0.4%75.4%74.6%0.8%
Term Structure0.5%0.1%1.0%1.0%0.6%
VWIV14.8%13.8%15.9%15.7%13.8%
Skew 25d0.4%-0.2%1.1%0.8%-0.0%
Skew 10d1.0%-0.5%2.4%1.5%0.6%
Call IV 25d14.6%13.6%15.7%15.2%14.2%
Put IV 25d15.1%14.1%16.2%16.1%14.2%
Bid-Ask Spread %2.311.663.971.773.33
Gamma HHI0.060.040.100.050.07
Net GEX273.5M23.0M570.7M60.4M429.8M
Net DEX-5.47B-8.75B-1.51B-1.97B-8.75B
Net VEX-64.2M-68.3M-61.0M-65.4M-66.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.431.111.110.97
Total Volume227,918.789140,285366,442204,704147,741
Total OI3,728,183.8423,455,8324,116,2063,493,3473,733,703

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$130.80$130.0019.7%4.4%17.2%43.4%15.7%0.8%1.0%60.4M-1.97B-65.4M1.111.7797,224107,4801,886,1971,607,150
2011-02-02$130.45$130.0019.8%4.3%15.3%43.7%14.9%1.1%1.0%23.0M-1.51B-65.1M0.561.6699,63756,0971,915,4321,647,848
2011-02-03$132.20$130.0016.6%4.4%16.2%21.9%15.7%0.7%1.0%186.2M-3.81B-66.3M0.612.76161,03697,5531,942,7411,661,978
2011-02-04$131.66$130.0015.4%4.4%16.2%13.6%15.9%0.6%0.5%175.1M-2.96B-65.1M0.782.68121,17994,4501,966,0931,681,006
2011-02-07$131.68$131.0016.1%4.2%16.2%18.0%15.1%0.2%0.5%125.7M-2.99B-62.9M0.632.2985,80454,4811,946,7371,671,671
2011-02-08$133.14$131.0016.1%4.1%16.7%18.4%14.5%-0.1%0.3%261.2M-4.94B-62.1M0.771.73150,937115,8771,961,0371,672,528
2011-02-09$133.07$131.0013.7%4.1%16.5%1.3%15.0%0.5%0.2%202.1M-4.66B-61.8M1.042.08133,663138,6751,985,8521,710,163
2011-02-10$132.85$131.0014.1%4.0%16.4%4.1%14.7%0.6%0.3%237.9M-4.42B-62.3M0.472.36108,68450,5812,015,5011,761,025
2011-02-11$132.32$131.0014.4%4.1%16.1%6.2%14.7%0.6%0.4%177.5M-3.72B-61.3M0.742.07139,428103,3122,032,7841,771,375
2011-02-14$132.95$131.0014.2%4.1%15.8%4.8%14.4%1.1%0.1%233.1M-4.45B-61.0M0.951.9387,53382,7962,061,4181,788,330
2011-02-15$133.97$131.0013.8%4.0%15.9%2.3%14.4%0.8%0.2%313.9M-6.04B-61.8M0.431.92133,45058,0062,106,8621,838,203
2011-02-16$134.10$131.0013.7%3.9%15.9%1.6%14.0%0.9%0.3%328.4M-6.23B-62.2M0.911.89106,26696,6072,134,2801,853,277
2011-02-17$135.04$131.0013.8%4.0%14.3%2.0%14.0%0.2%0.3%464.0M-7.57B-62.2M0.522.08168,93788,2882,156,2861,880,201
2011-02-18$135.41$131.0014.6%4.2%14.3%7.6%14.8%0.5%0.7%570.7M-8.13B-64.0M0.562.28202,851114,1742,214,3041,901,902
2011-02-22$136.29$131.0015.3%4.3%14.1%12.3%15.4%-0.2%0.4%321.6M-7.42B-64.8M0.602.19134,97981,6431,925,6061,530,226
2011-02-23$137.51$132.0015.8%4.4%14.2%16.0%15.8%-0.0%0.6%377.8M-8.51B-68.2M0.532.10239,354127,0881,958,9921,560,265
2011-02-24$136.48$130.0014.5%4.2%14.5%6.9%14.8%0.2%0.7%312.8M-7.42B-68.3M1.033.97174,167178,7822,006,8721,615,080
2011-02-25$137.38$135.0013.6%3.9%10.6%0.7%13.8%-0.1%0.9%394.9M-8.40B-68.3M0.622.69118,13273,5652,043,5091,689,059
2011-02-28$137.66$135.0013.7%3.9%9.0%1.1%13.8%-0.0%0.6%429.8M-8.75B-66.5M0.973.3374,85372,8882,056,4151,677,288