GLD Options History — August 2011

In August 2011, GLD traded between $157.72 and $184.59. ATM implied volatility averaged 27.9%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.8% (HV 20d: 22.1%). Max pain ranged from $150.00 to $165.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.85.

Notable Days

2011-08-24: Highest Volume — 875,152 contracts
2011-08-08: Largest IV spike — 59.1% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-25: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$171.58	$157.72	$184.59	$157.72	$177.72
Max Pain	$156.74	$150.00	$165.00	$152.00	$165.00
ATM IV	27.9%	20.8%	40.2%	20.8%	28.1%
Expected Move	7.4%	4.9%	9.1%	4.9%	8.1%
HV 20d	22.1%	11.1%	34.1%	11.1%	34.1%
HV 60d	16.3%	11.4%	22.3%	11.4%	22.3%
IV Rank	64.7%	40.7%	100.0%	57.2%	58.0%
IV Percentile	97.4%	93.3%	100.0%	93.3%	96.0%
Term Structure	-0.3%	-1.5%	0.7%	0.3%	-0.4%
VWIV	26.4%	17.7%	33.2%	17.7%	29.4%
Skew 25d	-1.1%	-3.0%	2.0%	-0.3%	-0.8%
Skew 10d	-2.2%	-10.1%	4.1%	-0.2%	-1.1%
Call IV 25d	27.2%	17.8%	33.8%	17.8%	29.4%
Put IV 25d	26.0%	17.6%	32.4%	17.6%	28.6%
Bid-Ask Spread %	8.24	3.08	22.36	3.08	4.31
Gamma HHI	0.06	0.04	0.17	0.06	0.06
Net GEX	745.3M	292.3M	979.7M	742.2M	581.2M
Net DEX	-26.92B	-39.70B	-15.31B	-15.31B	-26.64B
Net VEX	-97.1M	-119.5M	-75.2M	-75.8M	-113.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.61	1.51	0.87	0.92
Total Volume	549,992.261	217,627	875,152	217,627	306,524
Total OI	5,376,142.696	4,455,590	6,127,430	4,455,590	5,791,025

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
2011-08-01	$157.72	$152.00	20.8%	4.9%	11.1%	57.2%	17.7%	-0.3%	0.3%	742.2M	-15.31B	-75.8M	0.87	3.08	116,506	101,121	2,504,787	1,950,803
2011-08-02	$161.52	$152.00	23.0%	5.3%	12.1%	70.6%	18.9%	-0.1%	-0.3%	955.9M	-20.04B	-75.2M	0.61	3.25	253,126	155,154	2,530,464	1,977,269
2011-08-03	$161.49	$153.00	26.8%	5.3%	12.1%	93.6%	19.0%	0.6%	-0.4%	979.7M	-19.99B	-76.9M	0.80	3.24	297,943	238,382	2,574,230	2,013,193
2011-08-04	$160.64	$153.00	24.3%	5.8%	12.5%	78.4%	20.8%	2.0%	-0.2%	797.8M	-18.65B	-84.2M	0.77	4.12	422,729	325,156	2,686,572	2,126,455
2011-08-05	$161.75	$150.00	22.3%	5.6%	12.5%	66.4%	20.2%	-0.1%	0.2%	905.8M	-20.36B	-86.2M	1.11	7.88	156,717	173,697	2,769,404	2,213,396
2011-08-08	$167.12	$150.00	35.5%	7.3%	16.1%	100.0%	25.9%	-1.8%	-0.4%	917.5M	-26.41B	-87.5M	0.83	5.26	393,306	324,550	2,761,575	2,171,807
2011-08-09	$168.61	$150.00	40.2%	8.1%	16.2%	100.0%	28.8%	-1.7%	-0.1%	880.4M	-27.84B	-94.6M	0.61	22.36	520,136	319,665	2,884,295	2,273,198
2011-08-10	$174.58	$150.00	32.2%	8.4%	19.3%	72.1%	30.1%	-2.1%	-0.7%	845.5M	-34.16B	-93.2M	0.72	9.72	442,966	317,183	2,961,641	2,362,865
2011-08-11	$170.75	$155.00	27.1%	7.8%	21.8%	54.5%	27.8%	-1.8%	0.1%	893.2M	-29.90B	-96.3M	0.75	8.03	440,266	328,106	3,025,871	2,486,982
2011-08-12	$169.97	$155.00	23.9%	6.9%	22.0%	43.4%	24.4%	-1.8%	0.5%	817.4M	-29.11B	-94.2M	0.73	7.63	278,498	201,994	3,093,373	2,612,904
2011-08-15	$171.80	$155.00	23.2%	6.7%	22.1%	40.8%	23.6%	-2.0%	0.6%	966.6M	-31.42B	-91.9M	0.69	4.00	222,436	152,932	3,126,204	2,606,487
2011-08-16	$173.92	$155.00	24.8%	7.1%	21.3%	46.5%	25.3%	-3.0%	0.5%	956.2M	-34.38B	-92.5M	0.78	10.35	196,362	152,876	3,167,477	2,673,738
2011-08-17	$174.42	$155.00	23.2%	6.6%	21.3%	40.7%	23.6%	-1.6%	0.7%	961.6M	-34.83B	-90.3M	1.06	9.95	189,430	200,620	3,162,282	2,692,545
2011-08-18	$177.72	$157.00	24.4%	7.0%	21.2%	45.1%	24.9%	-1.8%	0.4%	864.3M	-38.42B	-91.2M	0.90	11.66	253,468	228,044	3,203,713	2,771,422
2011-08-19	$179.95	$160.00	26.6%	7.6%	21.3%	52.5%	27.0%	-1.5%	-0.3%	818.4M	-39.70B	-94.8M	0.79	10.19	440,081	345,495	3,253,446	2,873,984
2011-08-22	$184.59	$162.00	30.6%	8.8%	22.3%	66.5%	31.5%	-1.7%	-1.5%	595.4M	-32.71B	-98.2M	0.98	9.82	282,230	277,084	2,787,460	2,243,311
2011-08-23	$177.67	$164.00	30.7%	8.8%	27.6%	67.0%	31.7%	-0.1%	-0.3%	432.0M	-24.81B	-110.3M	1.12	9.49	287,604	322,892	2,848,013	2,377,243
2011-08-24	$171.65	$164.00	30.7%	8.9%	31.0%	67.0%	31.7%	-0.4%	-0.6%	292.3M	-18.19B	-116.6M	1.51	10.78	348,555	526,597	2,931,733	2,448,684
2011-08-25	$172.36	$161.00	32.1%	9.1%	31.0%	71.7%	33.2%	-1.4%	-1.3%	315.1M	-19.08B	-119.5M	0.76	11.80	383,525	292,102	3,008,888	2,534,922
2011-08-26	$177.47	$161.00	30.4%	8.7%	32.2%	66.1%	31.2%	-1.7%	-1.2%	565.3M	-26.59B	-116.0M	0.74	9.18	382,938	285,035	3,147,807	2,568,875
2011-08-29	$173.89	$162.00	30.5%	8.7%	33.4%	66.2%	31.0%	-1.7%	-1.5%	449.9M	-22.07B	-118.6M	0.67	5.45	225,460	151,675	3,127,408	2,541,272
2011-08-30	$179.10	$164.00	29.9%	8.6%	33.9%	64.2%	30.6%	-1.7%	-0.9%	607.8M	-28.49B	-114.9M	0.78	7.89	218,261	170,395	3,191,841	2,590,418
2011-08-31	$177.72	$165.00	28.1%	8.1%	34.1%	58.0%	29.4%	-0.8%	-0.4%	581.2M	-26.64B	-113.6M	0.92	4.31	159,909	146,615	3,185,125	2,605,900