GLD Options History — April 2011 In April 2011, GLD traded between $139.20 and $152.37. ATM implied volatility averaged 14.3%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.0% (HV 20d: 11.2%). Max pain ranged from $137.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.69.
Notable Days 2011-04-29 : Highest Volume — 513,699 contracts2011-04-29 : Largest IV spike — 23.3% change2011-04-29 : Highest IV Rank — 37.5%2011-04-29 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $144.72 $139.20 $152.37 $139.20 $152.37 Max Pain $138.80 $137.00 $140.00 $137.00 $140.00 ATM IV 14.3% 12.0% 17.9% 13.6% 17.9% Expected Move 4.1% 3.9% 4.9% 3.9% 4.9% HV 20d 11.2% 9.8% 12.8% 11.5% 12.0% HV 60d 12.7% 11.0% 13.5% 13.1% 11.8% IV Rank 12.1% 0.0% 37.5% 0.5% 37.5% IV Percentile 11.2% 0.0% 59.1% 0.4% 59.1% Term Structure 0.7% 0.1% 1.7% 0.7% 1.4% VWIV 14.8% 13.9% 17.3% 13.9% 17.3% Skew 25d -0.2% -1.0% 0.6% 0.5% -0.8% Skew 10d -0.0% -2.8% 2.3% 2.2% -2.0% Call IV 25d 14.9% 13.6% 17.9% 13.6% 17.9% Put IV 25d 14.8% 13.9% 17.1% 14.1% 17.1% Bid-Ask Spread % 2.53 1.94 3.72 1.94 3.72 Gamma HHI 0.07 0.05 0.17 0.05 0.06 Net GEX 721.4M 355.4M 1.05B 355.4M 730.0M Net DEX -12.27B -18.76B -6.56B -6.56B -18.76B Net VEX -69.4M -74.9M -64.9M -66.9M -74.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.34 1.34 0.98 0.48 Total Volume 258,659.85 95,202 513,699 232,535 513,699 Total OI 3,670,451.1 3,253,839 4,048,429 3,425,641 3,904,782
Daily Data (20 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 2011-04-01 $139.20 $137.00 13.6% 3.9% 11.5% 0.5% 13.9% 0.5% 0.7% 355.4M -6.56B -66.9M 0.98 1.94 117,221 115,314 1,887,357 1,538,284 2011-04-04 $139.84 $138.00 14.8% 4.0% 11.6% 9.4% 14.3% 0.6% 0.8% 481.3M -7.60B -65.0M 0.64 2.58 57,940 37,262 1,907,403 1,546,334 2011-04-05 $142.05 $138.00 16.1% 4.2% 12.8% 17.8% 15.0% 0.0% 0.3% 622.3M -10.19B -64.9M 0.45 2.27 312,349 141,994 1,926,707 1,561,013 2011-04-06 $142.38 $138.00 13.3% 4.2% 12.8% 0.0% 14.7% -0.0% 0.5% 775.6M -11.19B -68.1M 0.44 2.19 155,600 68,241 2,085,780 1,615,490 2011-04-07 $142.51 $138.00 12.9% 4.1% 11.8% 0.0% 14.4% 0.3% 0.7% 784.8M -11.36B -68.0M 0.62 2.42 101,532 63,240 2,120,738 1,637,027 2011-04-08 $143.66 $138.00 12.0% 4.1% 12.0% 0.0% 14.5% 0.1% 0.7% 845.0M -13.15B -67.5M 0.46 2.31 161,282 74,141 2,157,904 1,654,896 2011-04-11 $142.64 $138.00 13.8% 4.1% 12.4% 10.9% 14.6% 0.2% 0.6% 779.5M -11.65B -68.9M 0.55 2.29 124,169 67,877 2,155,665 1,660,581 2011-04-12 $141.61 $138.00 13.3% 4.1% 10.4% 8.0% 14.6% 0.4% 0.6% 699.7M -10.27B -68.1M 0.99 2.45 114,086 113,238 2,177,521 1,680,746 2011-04-13 $141.90 $138.00 12.5% 3.9% 10.4% 3.0% 14.1% 0.4% 0.8% 712.4M -10.49B -69.4M 1.34 2.61 92,598 124,047 2,198,925 1,697,365 2011-04-14 $143.81 $138.00 13.5% 3.9% 11.1% 9.1% 14.0% 0.1% 0.6% 874.1M -13.14B -69.0M 1.04 2.90 123,127 128,636 2,214,432 1,761,020 2011-04-15 $145.05 $139.00 13.9% 4.0% 11.0% 11.6% 14.2% -0.1% 0.8% 1.05B -14.75B -68.6M 0.47 2.81 173,022 80,646 2,227,832 1,820,597 2011-04-18 $145.93 $139.00 14.5% 4.2% 11.0% 15.5% 14.8% -0.8% 0.7% 617.8M -11.82B -68.0M 0.92 2.96 117,416 108,073 1,860,975 1,392,864 2011-04-19 $145.93 $139.00 14.1% 4.0% 11.0% 12.8% 14.7% -0.5% 0.7% 642.7M -11.92B -68.2M 0.97 2.36 96,018 93,410 1,903,726 1,440,844 2011-04-20 $146.50 $140.00 14.4% 4.1% 10.7% 14.8% 14.6% -0.6% 0.6% 660.0M -12.50B -68.9M 0.34 2.25 247,685 84,607 1,938,690 1,497,750 2011-04-21 $146.74 $140.00 13.8% 4.0% 10.0% 11.1% 14.1% -0.6% 0.8% 732.7M -13.41B -72.2M 0.46 2.35 116,132 53,805 2,041,398 1,535,745 2011-04-25 $146.87 $140.00 16.0% 4.6% 10.0% 25.3% 16.3% -0.9% 0.1% 684.2M -12.95B -74.3M 0.63 3.63 130,575 82,011 2,023,458 1,529,626 2011-04-26 $146.38 $140.00 15.0% 4.3% 9.8% 18.8% 15.4% -0.4% 0.7% 705.2M -12.23B -72.8M 0.81 2.11 109,690 88,457 2,057,101 1,564,444 2011-04-27 $149.20 $140.00 15.2% 4.4% 11.2% 20.2% 15.5% -1.0% 1.0% 761.5M -15.28B -71.5M 0.62 2.45 226,592 140,689 2,086,662 1,597,310 2011-04-28 $149.82 $140.00 14.6% 4.2% 11.2% 16.0% 14.9% -0.5% 1.7% 916.4M -16.20B -72.5M 0.57 2.10 265,939 150,837 2,160,541 1,639,489 2011-04-29 $152.37 $140.00 17.9% 4.9% 12.0% 37.5% 17.3% -0.8% 1.4% 730.0M -18.76B -74.9M 0.48 3.72 346,148 167,551 2,205,386 1,699,396
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