GLD Options History — May 2011

In May 2011, GLD traded between $143.47 and $150.41. ATM implied volatility averaged 17.5%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.1% (HV 20d: 17.4%). Max pain ranged from $140.00 to $142.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2011-05-05: Highest Volume — 736,495 contracts
2011-05-05: Largest IV spike — 16.8% change
2011-05-05: Highest IV Rank — 77.0%
2011-05-05: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$147.25	$143.47	$150.41	$150.41	$149.64
Max Pain	$140.57	$140.00	$142.00	$142.00	$140.00
ATM IV	17.5%	14.5%	24.2%	22.1%	14.8%
Expected Move	4.7%	4.2%	5.7%	5.2%	4.2%
HV 20d	17.4%	13.1%	18.8%	13.1%	16.0%
HV 60d	13.9%	12.0%	14.5%	12.0%	13.8%
IV Rank	34.8%	15.9%	77.0%	63.9%	17.3%
IV Percentile	48.9%	10.7%	97.2%	92.5%	14.7%
Term Structure	0.3%	-1.0%	0.9%	0.1%	0.3%
VWIV	16.9%	14.9%	20.0%	18.7%	14.9%
Skew 25d	0.1%	-0.8%	1.8%	-0.6%	-0.5%
Skew 10d	1.2%	-1.5%	4.7%	-1.4%	0.1%
Call IV 25d	16.8%	15.2%	19.4%	18.9%	15.3%
Put IV 25d	17.0%	14.8%	21.3%	18.3%	14.8%
Bid-Ask Spread %	3.18	2.03	6.14	5.51	4.49
Gamma HHI	0.07	0.05	0.10	0.06	0.08
Net GEX	611.4M	395.2M	805.2M	732.3M	638.7M
Net DEX	-11.17B	-16.01B	-6.50B	-16.01B	-12.23B
Net VEX	-78.8M	-83.6M	-74.6M	-76.3M	-75.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.51	1.26	0.77	0.91
Total Volume	299,923.571	117,216	736,495	431,578	117,216
Total OI	4,217,819.762	3,727,408	4,570,425	3,922,887	3,982,015

Daily Data (21 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
2011-05-02	$150.41	$142.00	22.1%	5.2%	13.1%	63.9%	18.7%	-0.6%	0.1%	732.3M	-16.01B	-76.3M	0.77	5.51	243,613	187,965	2,214,501	1,708,386
2011-05-03	$149.88	$142.00	20.9%	4.8%	13.4%	56.5%	17.3%	0.4%	0.5%	721.5M	-15.17B	-79.4M	0.86	2.74	165,827	142,439	2,282,204	1,785,819
2011-05-04	$147.73	$142.00	20.7%	5.0%	14.0%	55.0%	17.8%	0.6%	0.3%	609.0M	-12.34B	-80.3M	1.03	2.12	231,711	238,191	2,280,021	1,809,097
2011-05-05	$143.47	$142.00	24.2%	5.7%	17.8%	77.0%	20.0%	1.8%	-1.0%	395.2M	-6.50B	-82.6M	1.26	6.14	325,250	411,245	2,332,413	1,863,411
2011-05-06	$145.30	$140.00	20.9%	5.3%	18.4%	56.3%	18.9%	0.1%	0.3%	563.2M	-9.21B	-83.6M	1.07	4.22	196,576	209,396	2,384,735	1,931,416
2011-05-09	$147.38	$140.00	18.8%	5.0%	18.8%	42.6%	17.8%	0.0%	0.3%	727.7M	-12.53B	-80.9M	0.83	2.53	149,918	124,315	2,360,664	1,916,551
2011-05-10	$147.90	$140.00	18.7%	4.7%	18.6%	42.0%	17.2%	0.1%	0.5%	805.2M	-13.39B	-81.0M	0.83	2.51	110,881	92,357	2,403,360	1,945,134
2011-05-11	$146.54	$140.00	16.7%	4.8%	18.7%	29.4%	17.1%	0.6%	0.2%	711.9M	-11.43B	-81.4M	1.13	2.27	149,963	169,636	2,425,098	1,961,645
2011-05-12	$146.59	$140.00	16.6%	4.8%	18.7%	28.9%	17.1%	0.3%	0.4%	689.3M	-11.28B	-81.4M	1.25	3.86	144,193	179,812	2,444,191	2,011,890
2011-05-13	$145.63	$140.00	17.0%	4.9%	18.4%	31.6%	17.7%	0.7%	0.1%	600.2M	-9.65B	-82.8M	1.07	2.34	158,580	169,452	2,470,578	2,054,921
2011-05-16	$145.37	$140.00	16.8%	4.8%	18.2%	30.2%	17.1%	0.9%	0.2%	665.4M	-9.42B	-80.3M	0.51	3.12	201,398	101,973	2,465,876	2,057,979
2011-05-17	$144.74	$140.00	16.6%	4.8%	18.1%	29.0%	17.1%	0.8%	0.1%	461.2M	-7.85B	-79.3M	0.97	2.32	163,752	158,973	2,419,882	2,083,948
2011-05-18	$145.60	$140.00	16.1%	4.6%	18.2%	25.6%	16.4%	0.4%	0.2%	588.9M	-9.51B	-78.6M	0.75	2.70	144,214	108,286	2,460,844	2,103,498
2011-05-19	$145.65	$140.00	15.4%	4.4%	18.2%	21.6%	15.7%	0.0%	0.3%	601.9M	-9.77B	-77.7M	0.66	2.03	112,493	74,442	2,468,363	2,099,091
2011-05-20	$147.49	$140.00	15.2%	4.4%	18.7%	20.2%	15.5%	-0.4%	0.2%	719.5M	-13.07B	-75.0M	0.65	4.40	208,921	135,409	2,483,217	2,087,208
2011-05-23	$147.83	$140.00	16.1%	4.6%	18.7%	25.7%	16.6%	-0.2%	0.5%	461.2M	-10.04B	-77.0M	1.06	2.04	100,435	106,089	2,041,331	1,686,077
2011-05-24	$148.59	$142.00	15.6%	4.4%	18.7%	22.7%	15.7%	-0.6%	0.3%	510.2M	-10.93B	-75.6M	0.56	2.35	92,458	51,579	2,079,274	1,743,260
2011-05-25	$148.58	$142.00	15.4%	4.3%	17.5%	21.5%	15.3%	-0.8%	0.9%	518.6M	-11.10B	-75.2M	0.62	2.56	96,469	60,107	2,096,708	1,754,043
2011-05-26	$148.22	$140.00	14.5%	4.2%	17.4%	15.9%	15.0%	-0.1%	0.5%	512.2M	-10.79B	-74.6M	0.98	3.58	125,842	122,788	2,119,408	1,764,150
2011-05-27	$149.70	$140.00	15.0%	4.3%	16.6%	19.0%	15.3%	-0.5%	0.5%	606.0M	-12.35B	-76.5M	0.61	2.84	133,362	80,869	2,165,847	1,826,161
2011-05-31	$149.64	$140.00	14.8%	4.2%	16.0%	17.3%	14.9%	-0.5%	0.3%	638.7M	-12.23B	-75.0M	0.91	4.49	61,428	55,788	2,170,745	1,811,270