GLD Options History — December 2011

In December 2011, GLD traded between $150.34 and $169.82. ATM implied volatility averaged 21.0%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.1% (HV 20d: 23.1%). Max pain ranged from $150.00 to $165.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2011-12-14: Highest Volume — 592,491 contracts
2011-12-28: Largest IV spike — 19.1% change
2011-12-14: Highest IV Rank — 55.1%
2011-12-14: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$159.39	$150.34	$169.82	$169.63	$151.99
Max Pain	$155.00	$150.00	$165.00	$165.00	$150.00
ATM IV	21.0%	17.3%	27.3%	21.2%	19.5%
Expected Move	6.0%	5.0%	7.2%	6.1%	5.7%
HV 20d	23.1%	20.0%	25.5%	22.1%	23.3%
HV 60d	23.9%	21.9%	26.0%	25.4%	21.9%
IV Rank	33.3%	20.4%	55.1%	34.0%	28.0%
IV Percentile	62.1%	49.6%	84.5%	65.1%	55.2%
Term Structure	1.1%	-0.7%	2.0%	1.1%	1.6%
VWIV	21.4%	17.9%	25.6%	22.0%	20.5%
Skew 25d	1.5%	0.4%	3.2%	0.5%	1.0%
Skew 10d	3.6%	0.9%	7.4%	1.2%	2.3%
Call IV 25d	20.6%	17.1%	24.9%	21.6%	20.0%
Put IV 25d	22.1%	18.5%	27.1%	22.1%	21.0%
Bid-Ask Spread %	6.17	2.07	13.92	13.92	2.26
Gamma HHI	0.06	0.04	0.11	0.07	0.11
Net GEX	237.4M	-149.3M	745.1M	648.7M	8.9M
Net DEX	-5.35B	-15.11B	3.83B	-14.90B	-1.06B
Net VEX	-75.5M	-88.6M	-62.4M	-86.9M	-67.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.36	1.12	0.36	0.56
Total Volume	251,627.381	80,461	592,491	238,198	217,289
Total OI	5,084,333	4,377,068	5,869,791	5,154,441	4,779,007

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
2011-12-01	$169.63	$165.00	21.2%	6.1%	22.1%	34.0%	22.0%	0.5%	1.1%	648.7M	-14.90B	-86.9M	0.36	13.92	175,381	62,817	3,139,999	2,014,442
2011-12-02	$169.82	$165.00	20.0%	5.7%	21.4%	29.6%	20.7%	0.4%	1.3%	745.1M	-15.11B	-88.6M	0.77	13.03	101,765	77,995	3,200,505	2,026,996
2011-12-05	$167.32	$165.00	21.9%	6.3%	21.9%	36.2%	22.3%	0.8%	0.4%	541.1M	-12.08B	-84.0M	0.59	11.77	103,675	60,965	3,207,056	2,023,312
2011-12-06	$168.18	$165.00	21.4%	6.1%	20.0%	34.7%	21.8%	0.5%	0.4%	613.4M	-13.16B	-83.9M	0.64	9.43	98,061	63,053	3,245,823	2,040,763
2011-12-07	$169.40	$165.00	21.4%	6.1%	20.1%	34.7%	21.9%	0.6%	0.2%	706.5M	-14.73B	-83.1M	0.55	8.29	174,328	95,142	3,257,980	2,046,683
2011-12-08	$165.98	$165.00	23.5%	6.6%	21.1%	42.0%	23.4%	1.3%	-0.7%	424.4M	-10.81B	-85.5M	0.88	8.28	86,323	76,372	3,372,562	2,097,968
2011-12-09	$166.40	$165.00	21.0%	6.0%	21.1%	33.1%	21.6%	1.3%	-0.3%	435.8M	-11.01B	-82.1M	0.60	7.64	106,378	64,227	3,355,615	2,114,344
2011-12-12	$161.99	$150.00	23.6%	6.2%	21.9%	42.4%	22.1%	0.9%	1.3%	115.0M	-5.80B	-77.9M	0.54	7.34	198,228	107,452	3,348,335	2,102,293
2011-12-13	$158.45	$150.00	23.7%	6.3%	22.8%	42.7%	22.7%	1.4%	1.3%	-31.5M	-2.19B	-75.7M	0.98	5.59	189,151	185,698	3,423,358	2,137,280
2011-12-14	$152.89	$150.00	27.3%	7.2%	25.3%	55.1%	25.6%	2.2%	0.6%	-149.3M	3.43B	-71.4M	1.10	8.12	281,719	310,772	3,460,634	2,175,623
2011-12-15	$152.33	$150.00	24.0%	6.9%	25.2%	43.7%	24.5%	2.8%	0.9%	-136.1M	3.83B	-73.1M	1.10	5.22	148,427	163,928	3,613,995	2,227,648
2011-12-16	$155.23	$150.00	21.6%	6.2%	25.5%	35.2%	22.7%	2.6%	1.7%	70.8M	509.4M	-73.4M	1.08	4.27	234,988	253,030	3,620,682	2,249,109
2011-12-19	$154.87	$150.00	20.7%	5.9%	25.4%	32.2%	21.8%	2.9%	1.6%	123.6M	-2.26B	-71.5M	0.45	3.64	185,646	83,744	2,728,462	1,648,606
2011-12-20	$156.98	$150.00	19.2%	5.5%	24.8%	27.0%	20.2%	2.0%	1.7%	208.7M	-4.28B	-74.2M	0.91	3.71	114,044	103,755	2,834,530	1,664,314
2011-12-21	$157.16	$150.00	18.5%	5.3%	24.4%	24.6%	18.8%	1.3%	1.8%	210.6M	-4.42B	-73.9M	0.52	3.26	114,794	59,992	2,845,961	1,699,239
2011-12-22	$156.04	$150.00	17.8%	5.1%	24.5%	22.0%	18.4%	1.2%	1.8%	168.7M	-3.55B	-72.4M	0.58	3.41	84,450	48,971	2,904,781	1,714,867
2011-12-23	$156.31	$150.00	17.3%	5.0%	24.4%	20.4%	17.9%	1.4%	2.0%	166.5M	-3.76B	-68.9M	1.01	3.16	44,697	45,219	2,891,810	1,728,437
2011-12-27	$154.91	$150.00	17.6%	5.0%	23.1%	21.3%	18.2%	1.3%	1.8%	131.2M	-2.49B	-65.7M	1.12	2.23	38,012	42,449	2,874,622	1,695,579
2011-12-28	$151.03	$150.00	20.9%	6.0%	24.2%	33.0%	21.7%	3.2%	1.0%	284.0K	665.3M	-62.6M	0.90	2.07	138,297	124,181	2,879,426	1,708,001
2011-12-29	$150.34	$150.00	19.6%	5.6%	22.5%	28.5%	20.3%	1.3%	1.6%	-16.0M	927.8M	-62.4M	0.95	2.87	214,378	204,382	2,934,808	1,735,538
2011-12-30	$151.99	$150.00	19.5%	5.7%	23.3%	28.0%	20.5%	1.0%	1.6%	8.9M	-1.06B	-67.2M	0.56	2.26	139,173	78,116	2,982,707	1,796,300