GLD Options History — November 2011

In November 2011, GLD traded between $163.40 and $174.98. ATM implied volatility averaged 25.0%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.7% (HV 20d: 20.3%). Max pain ranged from $162.00 to $165.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2011-11-02: Highest Volume — 385,411 contracts
2011-11-07: Largest IV spike — 20.8% change
2011-11-02: Highest IV Rank — 64.9%
2011-11-07: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$169.44	$163.40	$174.98	$167.38	$170.13
Max Pain	$164.52	$162.00	$165.00	$165.00	$165.00
ATM IV	25.0%	21.7%	30.1%	29.6%	21.7%
Expected Move	7.1%	6.2%	7.7%	7.3%	6.2%
HV 20d	20.3%	18.9%	23.2%	19.0%	22.4%
HV 60d	28.2%	25.8%	30.2%	30.2%	26.2%
IV Rank	47.0%	35.7%	64.9%	63.0%	35.7%
IV Percentile	76.5%	65.9%	90.1%	88.9%	65.9%
Term Structure	0.6%	0.1%	1.6%	0.8%	1.1%
VWIV	25.4%	22.2%	27.8%	26.3%	22.2%
Skew 25d	0.7%	-0.6%	2.3%	1.6%	0.7%
Skew 10d	2.2%	-0.6%	4.8%	4.7%	2.3%
Call IV 25d	25.1%	22.0%	28.0%	25.3%	22.0%
Put IV 25d	25.8%	22.7%	28.0%	26.9%	22.7%
Bid-Ask Spread %	6.21	2.19	15.09	2.71	13.64
Gamma HHI	0.06	0.06	0.07	0.06	0.07
Net GEX	644.4M	353.2M	956.8M	492.0M	699.2M
Net DEX	-15.47B	-22.01B	-8.72B	-12.78B	-15.83B
Net VEX	-96.0M	-103.0M	-85.4M	-101.2M	-86.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.29	1.33	0.55	1.18
Total Volume	213,904.857	98,499	385,411	173,153	189,874
Total OI	5,191,215.762	4,816,701	5,583,381	4,948,844	5,093,802

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
2011-11-01	$167.38	$165.00	29.6%	7.3%	19.0%	63.0%	26.3%	1.6%	0.8%	492.0M	-12.78B	-101.2M	0.55	2.71	111,419	61,734	2,897,403	2,051,441
2011-11-02	$169.06	$165.00	30.1%	7.3%	18.9%	64.9%	26.6%	-0.1%	1.5%	584.9M	-14.87B	-101.4M	0.29	3.39	298,364	87,047	2,911,193	2,058,870
2011-11-03	$171.72	$165.00	26.0%	7.2%	19.4%	50.7%	26.1%	-0.6%	1.6%	736.9M	-18.43B	-103.0M	0.82	2.54	112,999	92,195	3,081,923	2,077,621
2011-11-04	$170.85	$162.00	22.9%	7.3%	19.2%	39.9%	26.2%	-0.1%	0.1%	692.4M	-17.47B	-100.5M	0.69	9.58	128,372	88,903	3,104,307	2,089,730
2011-11-07	$174.98	$162.00	27.7%	7.7%	19.0%	56.5%	27.6%	-0.6%	0.1%	820.0M	-22.01B	-102.0M	0.82	6.49	132,705	108,222	3,137,513	2,078,535
2011-11-08	$173.53	$163.00	25.4%	7.4%	19.0%	48.4%	26.6%	-0.3%	0.3%	794.8M	-20.20B	-101.7M	0.53	6.14	131,075	68,829	3,162,457	2,101,711
2011-11-09	$172.07	$164.00	25.0%	7.6%	19.4%	47.3%	27.8%	-0.2%	0.3%	747.5M	-18.58B	-102.3M	0.60	3.83	152,870	92,178	3,188,007	2,123,372
2011-11-10	$171.14	$164.00	26.1%	7.5%	19.4%	50.8%	27.0%	0.2%	0.2%	716.7M	-17.43B	-101.2M	1.03	5.10	94,743	97,597	3,219,615	2,140,820
2011-11-11	$173.96	$165.00	24.7%	7.1%	20.0%	46.1%	26.2%	-0.1%	0.4%	956.8M	-20.87B	-101.2M	0.44	3.57	167,977	73,146	3,232,850	2,157,020
2011-11-14	$173.20	$165.00	24.2%	6.9%	20.0%	44.3%	24.9%	0.2%	0.5%	876.7M	-20.11B	-98.8M	1.17	2.19	65,288	76,240	3,265,467	2,143,580
2011-11-15	$173.36	$165.00	24.0%	6.9%	19.8%	43.5%	24.8%	0.3%	0.5%	874.7M	-20.38B	-96.1M	0.65	3.34	93,857	61,431	3,279,195	2,175,590
2011-11-16	$171.51	$165.00	23.9%	6.8%	19.6%	43.2%	25.0%	0.6%	0.8%	824.0M	-18.19B	-95.9M	0.57	2.93	161,248	92,266	3,306,960	2,184,260
2011-11-17	$167.10	$165.00	25.4%	7.3%	21.5%	48.6%	26.1%	1.6%	0.3%	545.1M	-12.14B	-94.6M	0.79	5.62	196,384	155,612	3,308,645	2,202,288
2011-11-18	$167.62	$165.00	23.6%	6.8%	21.3%	42.3%	24.3%	1.1%	0.9%	554.7M	-12.74B	-93.5M	0.60	2.77	192,618	115,046	3,340,654	2,242,727
2011-11-21	$163.50	$165.00	26.1%	7.5%	23.2%	50.9%	26.7%	2.0%	0.3%	371.7M	-9.24B	-93.0M	0.81	4.56	123,541	99,871	3,003,129	1,813,572
2011-11-22	$165.31	$165.00	24.0%	6.9%	21.3%	43.7%	24.4%	2.1%	0.2%	431.2M	-10.59B	-91.3M	0.72	5.76	96,434	69,287	3,044,898	1,850,148
2011-11-23	$164.83	$165.00	24.1%	6.9%	20.9%	43.9%	24.7%	2.3%	0.3%	415.6M	-10.26B	-89.1M	0.94	6.62	80,604	76,141	3,066,553	1,868,486
2011-11-25	$163.40	$165.00	24.6%	7.0%	20.4%	45.6%	25.1%	1.8%	0.7%	353.2M	-8.72B	-89.4M	1.33	15.09	42,232	56,267	3,098,314	1,894,469
2011-11-28	$166.63	$165.00	23.0%	6.6%	21.8%	40.1%	23.2%	1.8%	0.8%	496.4M	-11.72B	-88.8M	0.30	12.20	120,086	35,606	3,083,705	1,890,237
2011-11-29	$166.88	$165.00	22.2%	6.4%	21.3%	37.4%	22.5%	1.3%	1.1%	547.1M	-12.34B	-85.4M	0.68	12.26	113,854	77,840	3,139,839	1,904,625
2011-11-30	$170.13	$165.00	21.7%	6.2%	22.4%	35.7%	22.2%	0.7%	1.1%	699.2M	-15.83B	-86.7M	1.18	13.64	87,148	102,726	3,139,489	1,954,313