GLD Options History — March 2011

In March 2011, GLD traded between $136.24 and $140.34. ATM implied volatility averaged 15.5%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.2% (HV 20d: 12.3%). Max pain ranged from $134.00 to $136.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.81.

Notable Days

2011-03-01: Highest Volume — 330,605 contracts
2011-03-28: Largest IV spike — 11.5% change
2011-03-28: Highest IV Rank — 32.8%
2011-03-15: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$138.73	$136.24	$140.34	$140.03	$139.86
Max Pain	$135.09	$134.00	$136.00	$135.00	$136.00
ATM IV	15.5%	14.0%	18.2%	15.8%	15.0%
Expected Move	4.3%	3.9%	4.7%	4.5%	4.3%
HV 20d	12.3%	10.1%	13.8%	10.1%	11.8%
HV 60d	14.1%	13.1%	14.8%	14.8%	13.1%
IV Rank	13.7%	3.6%	32.8%	15.7%	10.8%
IV Percentile	19.9%	3.2%	62.3%	21.0%	13.5%
Term Structure	0.5%	-0.0%	0.8%	0.2%	-0.0%
VWIV	15.5%	13.7%	16.8%	16.8%	15.3%
Skew 25d	-0.0%	-1.7%	0.9%	-1.6%	0.4%
Skew 10d	0.7%	-3.4%	3.4%	-2.6%	2.1%
Call IV 25d	15.5%	13.6%	17.1%	17.1%	15.1%
Put IV 25d	15.5%	13.9%	17.1%	15.4%	15.5%
Bid-Ask Spread %	2.26	1.56	3.15	2.41	2.24
Gamma HHI	0.07	0.05	0.09	0.08	0.06
Net GEX	444.4M	245.4M	609.2M	518.5M	501.4M
Net DEX	-8.67B	-11.60B	-6.16B	-11.46B	-8.11B
Net VEX	-67.6M	-70.1M	-63.9M	-66.9M	-66.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.34	1.45	0.34	1.45
Total Volume	225,818.435	107,757	330,605	330,605	287,043
Total OI	3,833,251.391	3,085,002	4,421,797	3,783,182	3,473,623

Daily Data (23 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
2011-03-01	$140.03	$135.00	15.8%	4.5%	10.1%	15.7%	16.8%	-1.6%	0.2%	518.5M	-11.46B	-66.9M	0.34	2.41	246,066	84,539	2,078,559	1,704,623
2011-03-02	$139.92	$135.00	15.7%	4.5%	10.1%	15.1%	16.3%	-1.7%	0.3%	567.0M	-11.60B	-68.5M	0.61	2.65	173,762	105,135	2,161,117	1,737,576
2011-03-03	$138.09	$135.00	15.2%	4.4%	11.5%	11.9%	15.4%	-1.0%	0.4%	433.2M	-9.24B	-69.5M	0.68	2.37	147,446	100,962	2,212,630	1,784,814
2011-03-04	$139.35	$135.00	15.0%	4.3%	11.1%	10.6%	15.1%	-1.4%	0.7%	548.3M	-10.99B	-69.9M	0.52	3.15	137,685	71,233	2,260,527	1,792,188
2011-03-07	$139.72	$135.00	15.3%	4.4%	10.8%	12.5%	15.7%	-1.2%	0.7%	606.4M	-11.42B	-69.8M	0.82	2.31	143,064	118,030	2,278,994	1,793,253
2011-03-08	$139.36	$135.00	14.6%	4.2%	11.0%	7.6%	14.7%	-0.6%	0.8%	599.8M	-10.69B	-69.7M	0.71	2.45	95,372	68,001	2,305,668	1,839,329
2011-03-09	$139.41	$135.00	14.0%	4.0%	10.5%	3.6%	14.1%	-0.6%	0.6%	609.2M	-10.96B	-68.6M	0.80	2.05	72,010	57,883	2,344,121	1,858,903
2011-03-10	$137.77	$134.00	15.0%	4.3%	11.7%	10.8%	15.5%	-0.4%	0.6%	428.3M	-8.49B	-69.1M	0.77	1.91	167,393	128,689	2,338,270	1,879,155
2011-03-11	$138.22	$134.00	15.1%	4.3%	11.6%	11.0%	16.0%	0.3%	0.6%	497.8M	-9.19B	-70.1M	0.91	2.26	126,709	114,712	2,374,656	1,904,430
2011-03-14	$138.86	$134.00	15.1%	4.3%	11.4%	11.2%	15.9%	0.2%	0.6%	561.1M	-10.30B	-68.0M	0.91	2.36	79,125	71,745	2,368,326	1,927,443
2011-03-15	$136.27	$135.00	16.2%	4.7%	13.6%	19.1%	16.7%	0.8%	0.3%	274.9M	-6.26B	-69.2M	0.91	2.34	158,623	144,171	2,388,082	1,943,433
2011-03-16	$136.24	$135.00	16.2%	4.6%	13.4%	19.0%	16.7%	0.7%	0.2%	296.1M	-6.30B	-69.1M	0.78	2.71	136,165	106,810	2,412,052	1,961,520
2011-03-17	$136.97	$135.00	15.9%	4.6%	13.5%	16.7%	16.2%	0.5%	0.7%	393.3M	-7.84B	-68.5M	0.72	1.86	118,080	85,239	2,450,983	1,970,814
2011-03-18	$138.37	$135.00	15.7%	4.5%	13.7%	15.1%	16.4%	0.7%	0.8%	489.0M	-10.31B	-67.7M	0.69	2.26	125,812	86,223	2,463,103	1,953,163
2011-03-21	$139.14	$135.00	14.7%	4.2%	13.8%	8.4%	15.4%	0.6%	0.8%	362.5M	-7.12B	-66.1M	0.96	2.15	109,125	105,151	1,765,040	1,319,962
2011-03-22	$139.05	$135.00	14.6%	4.2%	13.7%	7.4%	14.9%	0.3%	0.6%	363.0M	-6.94B	-65.9M	0.91	1.56	105,039	95,101	1,796,460	1,353,116
2011-03-23	$140.34	$135.00	14.7%	4.2%	13.7%	8.4%	15.0%	0.1%	0.6%	457.6M	-8.34B	-64.6M	0.68	1.87	136,017	92,527	1,817,803	1,371,178
2011-03-24	$139.22	$135.00	15.0%	4.3%	13.8%	10.6%	15.4%	0.4%	0.4%	357.7M	-7.22B	-65.8M	0.74	2.17	124,327	92,143	1,855,012	1,413,080
2011-03-25	$139.26	$136.00	16.3%	4.2%	13.6%	19.7%	15.1%	0.6%	0.2%	245.4M	-7.10B	-66.0M	0.65	2.11	191,688	124,096	1,889,495	1,438,953
2011-03-28	$138.54	$136.00	18.2%	4.3%	13.8%	32.8%	15.6%	0.8%	0.3%	355.9M	-6.47B	-66.3M	0.76	2.13	87,376	66,421	1,927,547	1,440,823
2011-03-29	$138.21	$136.00	16.6%	4.0%	12.3%	21.8%	14.4%	0.9%	0.6%	348.1M	-6.16B	-65.2M	0.95	2.09	55,386	52,371	1,930,227	1,463,186
2011-03-30	$138.67	$136.00	15.7%	3.9%	12.3%	15.5%	13.7%	0.4%	0.7%	406.4M	-6.80B	-63.9M	1.32	2.50	85,852	113,477	1,947,835	1,473,710
2011-03-31	$139.86	$136.00	15.0%	4.3%	11.8%	10.8%	15.3%	0.4%	-0.0%	501.4M	-8.11B	-66.2M	1.45	2.24	117,230	169,813	1,954,151	1,519,472