GLD Options History — October 2011

In October 2011, GLD traded between $157.64 and $169.62. ATM implied volatility averaged 28.4%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.3% (HV 20d: 28.1%). Max pain ranged from $164.00 to $170.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2011-10-25: Highest Volume — 363,891 contracts
2011-10-31: Largest IV spike — 23.2% change
2011-10-04: Highest IV Rank — 99.4%
2011-10-04: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$162.58	$157.64	$169.62	$160.96	$167.34
Max Pain	$166.76	$164.00	$170.00	$170.00	$165.00
ATM IV	28.4%	21.4%	40.0%	39.9%	26.4%
Expected Move	7.9%	6.2%	9.8%	9.7%	6.7%
HV 20d	28.1%	20.5%	33.3%	33.0%	20.8%
HV 60d	30.3%	29.6%	31.0%	29.6%	30.9%
IV Rank	58.9%	34.7%	99.4%	98.9%	52.1%
IV Percentile	85.8%	71.4%	99.6%	99.6%	81.0%
Term Structure	0.8%	-0.8%	2.2%	-0.8%	1.3%
VWIV	28.2%	22.2%	35.2%	34.3%	24.0%
Skew 25d	1.4%	0.1%	2.5%	2.5%	0.8%
Skew 10d	3.6%	0.8%	6.2%	6.0%	1.8%
Call IV 25d	27.5%	22.1%	33.9%	33.4%	23.6%
Put IV 25d	28.9%	22.3%	36.1%	35.9%	24.4%
Bid-Ask Spread %	4.31	2.31	9.46	3.82	4.94
Gamma HHI	0.04	0.03	0.06	0.04	0.05
Net GEX	229.5M	3.0M	552.2M	140.2M	462.2M
Net DEX	-6.83B	-15.43B	-798.6M	-5.09B	-12.50B
Net VEX	-103.0M	-115.1M	-90.3M	-114.8M	-94.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.42	1.78	0.89	0.43
Total Volume	209,327.667	121,385	363,891	208,005	178,612
Total OI	5,246,721.619	4,604,743	5,683,789	5,124,123	4,823,049

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
2011-10-03	$160.96	$170.00	39.9%	9.7%	33.0%	98.9%	34.3%	2.5%	-0.8%	140.2M	-5.09B	-114.8M	0.89	3.82	110,091	97,914	2,945,185	2,178,938
2011-10-04	$157.64	$170.00	40.0%	9.8%	33.3%	99.4%	35.2%	2.1%	0.1%	68.3M	-2.34B	-114.0M	1.18	3.68	115,086	135,971	2,984,251	2,217,325
2011-10-05	$159.46	$170.00	36.8%	9.4%	32.6%	88.1%	34.0%	1.9%	1.1%	106.0M	-3.81B	-115.1M	0.70	3.81	127,374	89,069	2,994,428	2,252,274
2011-10-06	$160.49	$170.00	31.9%	9.0%	30.7%	71.2%	32.0%	1.5%	1.2%	157.1M	-4.94B	-114.6M	0.71	4.22	172,212	121,926	3,020,715	2,255,938
2011-10-07	$159.18	$169.00	28.8%	8.8%	30.7%	60.3%	31.5%	1.1%	1.0%	119.0M	-3.36B	-112.3M	0.65	4.46	102,567	66,938	3,101,438	2,309,708
2011-10-10	$163.27	$169.00	31.3%	8.3%	32.1%	69.2%	29.5%	0.6%	1.1%	203.0M	-7.23B	-110.3M	1.04	3.38	104,141	108,548	3,096,690	2,294,012
2011-10-11	$162.10	$168.00	29.6%	8.1%	31.6%	63.0%	29.0%	0.9%	1.0%	168.6M	-5.87B	-109.6M	1.34	3.20	61,409	82,537	3,127,170	2,328,379
2011-10-12	$163.26	$168.00	24.7%	7.7%	31.9%	46.2%	27.4%	1.2%	1.0%	222.1M	-6.89B	-106.8M	0.80	4.19	95,650	76,090	3,142,458	2,329,306
2011-10-13	$162.30	$167.00	26.1%	7.5%	31.6%	50.8%	27.3%	1.5%	1.1%	164.2M	-5.67B	-103.4M	0.79	3.38	84,780	66,689	3,158,525	2,335,635
2011-10-14	$163.40	$167.00	24.5%	7.0%	31.4%	45.5%	25.1%	1.7%	0.8%	236.4M	-6.89B	-99.8M	0.52	2.31	115,908	60,142	3,159,016	2,350,828
2011-10-17	$162.62	$166.00	25.9%	7.4%	31.1%	50.4%	26.4%	1.9%	0.5%	191.8M	-5.82B	-98.9M	0.66	2.89	73,233	48,152	3,176,100	2,339,369
2011-10-18	$161.84	$165.00	26.5%	7.6%	30.5%	52.4%	27.1%	2.1%	0.4%	185.5M	-5.24B	-98.6M	0.91	9.46	120,934	109,929	3,201,245	2,344,384
2011-10-19	$159.87	$165.00	27.3%	7.8%	30.4%	55.0%	27.9%	2.4%	0.4%	81.1M	-2.93B	-97.9M	1.78	8.69	66,123	117,562	3,213,520	2,375,096
2011-10-20	$157.77	$165.00	28.3%	8.1%	29.5%	58.6%	29.3%	2.4%	0.2%	3.0M	-798.6M	-95.9M	1.25	4.96	117,649	146,580	3,221,462	2,410,087
2011-10-21	$159.52	$165.00	25.4%	7.3%	22.3%	48.3%	26.0%	1.8%	1.3%	122.1M	-2.54B	-94.1M	0.91	3.24	124,578	112,742	3,247,028	2,436,761
2011-10-24	$161.02	$165.00	23.5%	6.7%	21.9%	41.8%	24.1%	2.2%	1.2%	238.9M	-6.45B	-90.3M	0.52	4.30	96,176	50,230	2,649,668	1,955,075
2011-10-25	$165.59	$164.00	26.8%	7.7%	23.1%	53.2%	27.6%	0.6%	0.4%	381.8M	-11.16B	-97.0M	0.50	2.85	243,171	120,720	2,705,224	1,975,001
2011-10-26	$167.40	$164.00	27.2%	7.8%	20.5%	54.8%	28.0%	0.3%	0.4%	468.9M	-13.24B	-100.1M	0.45	5.37	168,554	75,152	2,778,239	2,016,110
2011-10-27	$169.55	$165.00	23.7%	6.8%	20.7%	42.6%	24.4%	0.4%	1.4%	546.1M	-15.30B	-98.5M	0.70	3.99	121,440	85,429	2,805,506	2,040,828
2011-10-28	$169.62	$165.00	21.4%	6.2%	20.7%	34.7%	22.2%	0.1%	2.2%	552.2M	-15.43B	-96.9M	0.42	3.42	157,864	66,009	2,817,118	2,068,065
2011-10-31	$167.34	$165.00	26.4%	6.7%	20.8%	52.1%	24.0%	0.8%	1.3%	462.2M	-12.50B	-94.6M	0.43	4.94	125,243	53,369	2,798,378	2,024,671