GLD Options History — September 2011

In September 2011, GLD traded between $156.22 and $183.24. ATM implied volatility averaged 31.3%, placing in the 69.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 3.2% (HV 20d: 34.6%). Max pain ranged from $165.00 to $172.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2011-09-23: Highest Volume — 865,949 contracts
2011-09-23: Largest IV spike — 23.0% change
2011-09-28: Highest IV Rank — 89.4%
2011-09-28: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$171.82	$156.22	$183.24	$177.87	$158.06
Max Pain	$169.76	$165.00	$172.00	$165.00	$170.00
ATM IV	31.3%	23.8%	37.1%	25.9%	34.4%
Expected Move	9.0%	7.4%	10.7%	7.4%	9.6%
HV 20d	34.6%	30.9%	36.5%	34.0%	34.3%
HV 60d	25.8%	22.3%	29.4%	22.3%	29.4%
IV Rank	69.1%	42.9%	89.4%	50.3%	79.8%
IV Percentile	95.8%	88.1%	99.6%	93.3%	97.2%
Term Structure	-0.9%	-2.8%	0.7%	0.1%	-0.0%
VWIV	32.3%	26.6%	38.4%	26.6%	35.0%
Skew 25d	-0.1%	-2.0%	3.3%	-0.6%	2.8%
Skew 10d	0.9%	-2.5%	7.1%	-0.8%	6.4%
Call IV 25d	32.4%	26.9%	38.6%	26.9%	32.8%
Put IV 25d	32.3%	26.3%	39.7%	26.3%	35.6%
Bid-Ask Spread %	5.58	3.24	19.71	4.31	3.84
Gamma HHI	0.06	0.03	0.16	0.06	0.03
Net GEX	420.1M	47.3M	813.8M	637.6M	73.6M
Net DEX	-18.02B	-34.10B	-729.8M	-27.22B	-1.83B
Net VEX	-112.7M	-119.7M	-109.2M	-111.6M	-113.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.40	1.82	0.97	0.81
Total Volume	400,787.286	157,235	865,949	220,496	302,653
Total OI	5,650,097.381	4,701,191	6,477,356	5,865,866	5,443,152

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
2011-09-01	$177.87	$165.00	25.9%	7.4%	34.0%	50.3%	26.6%	-0.6%	0.1%	637.6M	-27.22B	-111.6M	0.97	4.31	112,056	108,440	3,229,599	2,636,267
2011-09-02	$183.24	$166.00	27.9%	8.0%	35.1%	57.2%	28.9%	-0.7%	-0.2%	719.6M	-34.10B	-109.6M	0.67	4.88	235,112	158,387	3,253,632	2,665,343
2011-09-06	$182.90	$167.00	32.6%	9.4%	33.7%	73.7%	33.1%	-0.4%	-1.8%	699.6M	-32.90B	-111.9M	0.69	4.69	323,654	224,502	3,278,947	2,662,615
2011-09-07	$177.08	$168.00	33.9%	9.7%	36.1%	78.1%	35.2%	-0.4%	-2.8%	505.0M	-25.19B	-117.9M	0.68	3.65	331,580	224,626	3,344,947	2,744,946
2011-09-08	$181.81	$168.00	33.4%	9.7%	35.2%	76.4%	34.5%	-0.3%	-1.7%	705.5M	-31.89B	-116.2M	1.04	4.29	170,915	178,316	3,390,894	2,765,221
2011-09-09	$180.70	$169.00	36.2%	10.6%	34.2%	86.1%	38.0%	-1.0%	-2.3%	640.4M	-30.09B	-119.7M	0.61	4.05	275,053	168,131	3,408,430	2,801,399
2011-09-12	$176.67	$170.00	35.9%	9.7%	35.3%	84.9%	34.4%	-2.0%	-1.4%	536.0M	-25.19B	-117.2M	0.96	4.31	212,501	203,108	3,444,253	2,783,941
2011-09-13	$178.54	$171.00	28.4%	8.6%	35.3%	59.0%	30.8%	-1.6%	-0.2%	680.2M	-27.75B	-113.7M	0.40	4.17	230,821	91,602	3,469,302	2,835,092
2011-09-14	$177.21	$171.00	23.8%	8.0%	35.2%	42.9%	28.2%	-1.1%	0.2%	597.5M	-25.99B	-110.7M	0.65	5.53	187,980	122,667	3,506,119	2,830,451
2011-09-15	$174.40	$171.00	27.2%	7.8%	35.7%	54.8%	27.8%	-0.8%	0.5%	299.5M	-21.56B	-111.2M	0.90	4.13	194,597	175,807	3,544,785	2,874,214
2011-09-16	$176.03	$171.00	26.7%	7.7%	35.2%	53.0%	27.1%	-1.1%	0.7%	813.8M	-24.47B	-109.6M	0.71	5.70	290,592	205,173	3,580,800	2,896,556
2011-09-19	$173.31	$171.00	28.3%	8.1%	35.3%	58.5%	29.5%	-1.0%	0.0%	380.0M	-15.02B	-110.9M	0.58	3.64	206,456	120,047	2,705,796	1,995,395
2011-09-20	$175.78	$172.00	28.2%	8.1%	34.3%	58.2%	29.0%	-1.0%	0.2%	486.7M	-17.43B	-112.1M	0.60	3.24	98,528	58,707	2,795,784	2,041,256
2011-09-21	$173.59	$172.00	27.4%	7.9%	31.9%	55.6%	28.2%	-0.3%	-0.2%	409.1M	-15.15B	-109.2M	0.84	6.40	126,346	105,929	2,798,612	2,041,038
2011-09-22	$169.05	$172.00	29.7%	8.5%	30.9%	63.3%	30.9%	-0.3%	-0.7%	199.4M	-10.74B	-110.1M	0.49	4.57	353,824	174,951	2,826,893	2,062,906
2011-09-23	$159.80	$171.00	36.5%	10.5%	36.5%	87.1%	37.1%	-0.0%	-2.4%	115.8M	-3.68B	-112.3M	1.07	19.71	418,295	447,654	2,874,366	2,105,435
2011-09-26	$157.58	$170.00	37.0%	10.6%	34.5%	88.9%	37.6%	1.3%	-2.1%	65.0M	-1.75B	-112.9M	1.08	7.64	270,249	291,817	2,930,897	2,210,838
2011-09-27	$160.63	$170.00	33.8%	9.7%	35.2%	77.9%	34.7%	1.4%	-1.3%	138.9M	-4.35B	-113.9M	0.74	6.05	201,157	149,448	3,004,720	2,226,450
2011-09-28	$156.22	$170.00	37.1%	10.7%	33.8%	89.4%	38.4%	3.3%	-2.3%	71.9M	-729.8M	-110.5M	1.82	6.88	128,691	234,541	3,038,495	2,231,901
2011-09-29	$157.70	$170.00	33.6%	9.6%	34.3%	76.9%	34.4%	2.6%	-0.3%	47.3M	-1.42B	-112.2M	0.69	5.51	178,448	123,172	3,055,963	2,314,395
2011-09-30	$158.06	$170.00	34.4%	9.6%	34.3%	79.8%	35.0%	2.8%	-0.0%	73.6M	-1.83B	-113.6M	0.81	3.84	167,450	135,203	3,107,035	2,336,117