GLD Options History — June 2011

In June 2011, GLD traded between $145.73 and $150.99. ATM implied volatility averaged 15.4%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 5.5% (HV 20d: 9.9%). Max pain ranged from $140.00 to $149.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.86.

Notable Days

2011-06-23: Highest Volume — 465,195 contracts
2011-06-30: Largest IV drop — 33.8% change
2011-06-27: Highest IV Rank — 48.7%
2011-06-16: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$148.92	$145.73	$150.99	$149.91	$146.00
Max Pain	$145.82	$140.00	$149.00	$140.00	$148.00
ATM IV	15.4%	12.6%	19.7%	15.4%	12.6%
Expected Move	4.2%	3.7%	4.5%	4.4%	3.7%
HV 20d	9.9%	7.6%	16.0%	16.0%	11.4%
HV 60d	13.4%	12.9%	13.8%	13.8%	13.5%
IV Rank	21.1%	3.7%	48.7%	21.4%	3.7%
IV Percentile	27.6%	0.8%	87.3%	25.8%	0.8%
Term Structure	0.7%	0.2%	1.1%	0.4%	0.9%
VWIV	15.1%	13.2%	16.0%	15.8%	13.2%
Skew 25d	0.4%	-0.4%	0.8%	-0.4%	0.6%
Skew 10d	1.3%	-0.1%	2.7%	0.6%	1.3%
Call IV 25d	14.9%	13.0%	15.9%	15.9%	13.0%
Put IV 25d	15.3%	13.7%	16.5%	15.6%	13.7%
Bid-Ask Spread %	3.14	2.07	5.93	3.94	2.07
Gamma HHI	0.11	0.06	0.66	0.08	0.16
Net GEX	551.7M	-284.9M	2.68B	632.6M	-284.9M
Net DEX	-9.61B	-13.15B	-3.80B	-12.36B	-3.87B
Net VEX	-71.8M	-74.2M	-68.9M	-74.2M	-70.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.51	1.32	0.79	0.94
Total Volume	232,063.727	121,827	465,195	204,558	238,455
Total OI	4,043,602.5	3,414,892	4,563,343	3,993,800	4,073,914

Daily Data (22 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
2011-06-01	$149.91	$140.00	15.4%	4.4%	16.0%	21.4%	15.8%	-0.4%	0.4%	632.6M	-12.36B	-74.2M	0.79	3.94	114,236	90,322	2,174,440	1,819,360
2011-06-02	$149.50	$140.00	15.1%	4.3%	15.1%	19.1%	15.6%	0.3%	0.6%	588.0M	-11.87B	-74.0M	1.32	3.25	110,368	146,072	2,190,803	1,851,256
2011-06-03	$150.22	$140.00	14.8%	4.2%	10.2%	17.2%	15.0%	0.5%	0.6%	635.5M	-12.71B	-72.9M	0.73	3.09	124,038	90,588	2,188,835	1,890,718
2011-06-06	$150.48	$140.00	15.5%	4.4%	9.4%	21.7%	15.7%	0.1%	0.4%	639.2M	-12.92B	-72.2M	0.89	5.93	94,134	83,407	2,200,968	1,896,153
2011-06-07	$150.42	$140.00	14.3%	4.1%	8.2%	14.6%	14.8%	0.2%	0.8%	644.5M	-12.81B	-71.0M	0.60	5.39	96,529	57,991	2,218,770	1,920,266
2011-06-08	$149.81	$140.00	13.8%	4.2%	8.3%	11.0%	15.2%	0.6%	0.5%	616.4M	-12.03B	-70.0M	0.85	5.60	94,241	80,158	2,255,237	1,935,845
2011-06-09	$150.56	$147.00	14.5%	4.2%	7.6%	15.6%	14.7%	0.0%	0.9%	743.8M	-13.15B	-70.1M	0.51	3.59	127,678	65,619	2,286,812	1,961,572
2011-06-10	$149.24	$148.00	14.8%	4.3%	8.4%	17.8%	15.4%	0.7%	0.9%	552.2M	-11.26B	-70.9M	1.27	2.30	107,535	136,909	2,326,117	1,977,878
2011-06-13	$147.77	$148.00	15.1%	4.3%	8.9%	19.6%	15.4%	0.6%	0.5%	361.9M	-9.03B	-70.6M	0.95	2.52	117,621	111,599	2,320,140	2,020,330
2011-06-14	$148.67	$148.00	14.0%	4.0%	9.0%	12.4%	14.3%	0.2%	1.1%	510.7M	-10.56B	-68.9M	0.96	2.54	101,055	96,819	2,350,847	2,046,392
2011-06-15	$149.12	$148.00	15.4%	4.4%	8.8%	21.1%	15.7%	0.6%	0.7%	565.7M	-11.09B	-72.7M	0.76	3.16	150,690	113,919	2,374,294	2,078,281
2011-06-16	$148.97	$148.00	15.6%	4.5%	8.7%	22.3%	15.8%	0.6%	0.6%	571.6M	-11.02B	-73.6M	0.82	2.96	98,220	80,326	2,409,720	2,100,183
2011-06-17	$149.94	$148.00	14.9%	4.3%	8.9%	18.4%	15.3%	0.5%	1.1%	2.68B	-12.70B	-72.9M	0.54	2.78	194,753	105,055	2,433,345	2,129,998
2011-06-20	$150.03	$148.00	14.5%	4.2%	7.9%	15.7%	15.1%	0.3%	0.9%	440.2M	-8.94B	-72.2M	0.89	2.40	64,578	57,249	1,888,803	1,526,089
2011-06-21	$150.76	$148.00	14.2%	4.1%	8.0%	14.0%	14.8%	0.3%	0.9%	500.3M	-9.81B	-70.4M	0.91	2.55	83,220	75,498	1,901,941	1,545,096
2011-06-22	$150.99	$148.00	14.2%	4.1%	7.8%	13.4%	14.5%	-0.0%	0.8%	534.8M	-10.21B	-70.3M	0.65	2.53	186,818	121,244	1,925,169	1,561,343
2011-06-23	$148.34	$149.00	14.9%	4.3%	10.2%	18.3%	15.2%	0.7%	0.8%	285.3M	-6.79B	-73.3M	0.86	2.71	250,754	214,441	2,008,886	1,621,503
2011-06-24	$146.26	$148.00	16.5%	4.5%	11.4%	28.1%	16.0%	0.8%	0.3%	203.8M	-4.19B	-73.7M	1.24	2.47	163,854	203,752	2,101,770	1,679,318
2011-06-27	$145.73	$148.00	19.7%	4.3%	10.7%	48.7%	15.6%	0.6%	0.5%	172.4M	-3.80B	-71.9M	0.98	2.84	121,886	119,266	2,155,083	1,718,600
2011-06-28	$146.24	$148.00	19.3%	4.2%	10.8%	46.0%	15.2%	0.3%	0.2%	209.3M	-4.50B	-71.6M	0.80	2.15	102,337	81,657	2,166,888	1,748,299
2011-06-29	$147.18	$148.00	19.1%	3.9%	11.1%	44.7%	14.0%	0.2%	0.5%	333.8M	-5.74B	-71.8M	0.75	2.23	131,794	98,717	2,199,325	1,778,668
2011-06-30	$146.00	$148.00	12.6%	3.7%	11.4%	3.7%	13.2%	0.6%	0.9%	-284.9M	-3.87B	-70.8M	0.94	2.07	123,204	115,251	2,249,467	1,824,447