GLD Options History — July 2011

In July 2011, GLD traded between $144.93 and $158.29. ATM implied volatility averaged 15.9%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.5% (HV 20d: 13.3%). Max pain ranged from $148.00 to $152.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2011-07-13: Highest Volume — 469,426 contracts
2011-07-05: Largest IV spike — 40.8% change
2011-07-29: Highest IV Rank — 51.4%
2011-07-29: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$153.76	$144.93	$158.29	$144.93	$158.29
Max Pain	$149.60	$148.00	$152.00	$148.00	$152.00
ATM IV	15.9%	11.5%	19.9%	11.5%	19.9%
Expected Move	4.6%	3.6%	5.1%	3.6%	5.1%
HV 20d	13.3%	11.3%	15.2%	11.3%	11.5%
HV 60d	13.9%	13.0%	14.4%	13.6%	13.0%
IV Rank	26.9%	0.0%	51.4%	0.0%	51.4%
IV Percentile	45.3%	0.0%	89.7%	0.0%	89.7%
Term Structure	0.6%	-0.2%	1.1%	1.0%	-0.1%
VWIV	16.3%	13.0%	18.3%	13.0%	18.1%
Skew 25d	-0.3%	-0.9%	0.6%	0.6%	-0.1%
Skew 10d	-0.3%	-1.7%	2.1%	2.1%	0.1%
Call IV 25d	16.5%	12.6%	18.3%	12.6%	18.3%
Put IV 25d	16.2%	13.2%	18.2%	13.2%	18.2%
Bid-Ask Spread %	3.32	1.38	4.93	1.38	4.04
Gamma HHI	0.08	0.05	0.26	0.06	0.06
Net GEX	644.3M	-90.6M	1.06B	-90.6M	842.7M
Net DEX	-12.44B	-16.61B	-2.02B	-2.02B	-16.27B
Net VEX	-72.3M	-77.9M	-67.8M	-69.9M	-77.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.43	1.45	1.45	0.97
Total Volume	289,583.55	148,546	469,426	245,242	279,180
Total OI	3,982,463.75	3,492,175	4,448,836	3,868,411	4,448,836

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
2011-07-01	$144.93	$148.00	11.5%	3.6%	11.3%	0.0%	13.0%	0.6%	1.0%	-90.6M	-2.02B	-69.9M	1.45	1.38	99,963	145,279	2,121,742	1,746,669
2011-07-05	$147.63	$148.00	16.1%	3.9%	13.4%	28.6%	13.9%	-0.3%	0.9%	317.5M	-6.16B	-69.5M	0.83	3.72	81,146	67,400	2,121,606	1,755,901
2011-07-06	$148.91	$148.00	14.2%	4.1%	13.8%	16.6%	14.5%	-0.2%	1.0%	547.7M	-8.23B	-70.8M	0.56	3.59	195,918	109,061	2,144,219	1,761,058
2011-07-07	$149.15	$148.00	13.2%	4.0%	13.8%	10.6%	14.2%	0.0%	0.9%	563.6M	-8.54B	-69.5M	1.20	2.62	85,029	102,096	2,167,643	1,793,794
2011-07-08	$150.25	$148.00	12.8%	3.9%	13.9%	8.1%	14.0%	-0.0%	0.8%	800.3M	-10.14B	-69.0M	0.60	2.49	146,287	87,331	2,161,147	1,803,201
2011-07-11	$151.59	$148.00	16.3%	4.4%	13.9%	29.3%	15.4%	-0.3%	0.5%	726.6M	-11.78B	-67.8M	0.52	3.58	171,795	89,617	2,149,190	1,802,963
2011-07-12	$152.77	$148.00	15.7%	4.7%	13.5%	25.8%	16.6%	-0.9%	0.3%	862.9M	-13.63B	-68.6M	0.56	4.93	285,581	159,430	2,181,275	1,805,556
2011-07-13	$154.14	$149.00	13.9%	4.8%	13.6%	15.1%	17.2%	-0.5%	0.4%	920.6M	-15.56B	-70.4M	0.60	4.70	292,758	176,668	2,253,397	1,835,381
2011-07-14	$154.54	$149.00	16.8%	4.8%	13.6%	32.7%	17.0%	-0.6%	0.3%	832.9M	-15.87B	-71.2M	0.76	4.33	193,659	146,846	2,267,785	1,886,131
2011-07-15	$155.20	$149.00	16.1%	4.6%	13.6%	28.5%	16.6%	-0.6%	1.1%	1.06B	-16.61B	-72.2M	1.30	3.85	173,447	225,874	2,301,946	1,934,502
2011-07-18	$156.57	$150.00	17.6%	5.1%	13.7%	37.7%	18.1%	-0.6%	0.7%	568.6M	-13.75B	-71.9M	0.97	4.88	159,976	154,884	1,931,301	1,560,874
2011-07-19	$154.66	$150.00	16.9%	4.8%	14.7%	33.0%	17.3%	-0.1%	0.4%	501.4M	-11.77B	-74.7M	1.01	3.30	158,874	159,701	2,004,695	1,674,581
2011-07-20	$156.02	$150.00	16.6%	4.8%	14.8%	31.7%	17.1%	0.0%	0.7%	556.0M	-13.10B	-74.5M	0.54	2.62	157,368	85,159	2,048,194	1,732,862
2011-07-21	$154.83	$150.00	15.8%	4.5%	15.2%	26.5%	16.2%	-0.5%	1.0%	538.3M	-12.17B	-75.1M	0.93	2.58	127,114	118,417	2,136,490	1,750,587
2011-07-22	$156.12	$151.00	15.4%	4.4%	13.6%	23.9%	15.7%	-0.4%	0.9%	718.1M	-13.80B	-73.9M	0.71	2.79	100,460	71,455	2,148,752	1,787,724
2011-07-25	$157.34	$151.00	17.0%	4.9%	12.2%	33.8%	17.3%	-0.1%	0.3%	642.5M	-14.78B	-73.0M	0.83	2.66	123,711	102,080	2,140,209	1,778,552
2011-07-26	$157.77	$151.00	17.0%	4.9%	11.9%	33.9%	18.0%	-0.7%	0.1%	639.4M	-15.20B	-73.4M	0.43	2.45	224,539	96,207	2,171,292	1,816,228
2011-07-27	$157.19	$152.00	17.5%	5.0%	12.2%	37.0%	18.3%	-0.2%	-0.2%	657.8M	-14.66B	-75.8M	0.47	3.12	263,754	124,223	2,308,680	1,857,101
2011-07-28	$157.32	$152.00	17.1%	4.9%	12.2%	34.6%	17.5%	0.1%	0.2%	683.5M	-14.79B	-76.9M	1.01	2.72	124,231	125,153	2,458,691	1,898,520
2011-07-29	$158.29	$152.00	19.9%	5.1%	11.5%	51.4%	18.1%	-0.1%	-0.1%	842.7M	-16.27B	-77.9M	0.97	4.04	141,401	137,779	2,504,475	1,944,361