GLD Options History — January 2012

In January 2012, GLD traded between $155.92 and $169.31. ATM implied volatility averaged 19.0%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.9% (HV 20d: 20.0%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.65.

Notable Days

2012-01-20: Highest Volume — 437,189 contracts
2012-01-09: Largest IV spike — 16.1% change
2012-01-03: Highest IV Rank — 39.3%
2012-01-11: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$161.63	$155.92	$169.31	$155.92	$169.31
Max Pain	$157.85	$150.00	$160.00	$150.00	$160.00
ATM IV	19.0%	16.7%	22.8%	22.8%	19.9%
Expected Move	5.3%	4.8%	5.6%	5.6%	5.2%
HV 20d	20.0%	14.8%	25.7%	25.7%	14.8%
HV 60d	21.7%	20.8%	22.5%	22.5%	21.3%
IV Rank	26.3%	18.1%	39.3%	39.3%	29.4%
IV Percentile	52.4%	41.7%	65.5%	65.5%	56.0%
Term Structure	1.1%	0.5%	1.9%	1.3%	0.9%
VWIV	19.1%	17.1%	20.5%	20.3%	18.5%
Skew 25d	-0.1%	-1.5%	0.9%	0.8%	-1.0%
Skew 10d	0.2%	-2.9%	3.3%	1.7%	-2.1%
Call IV 25d	19.1%	17.0%	20.8%	19.5%	19.1%
Put IV 25d	19.0%	17.2%	20.4%	20.3%	18.1%
Bid-Ask Spread %	3.79	1.90	6.17	2.24	2.40
Gamma HHI	0.08	0.05	0.29	0.06	0.05
Net GEX	602.3M	278.8M	1.13B	278.8M	782.3M
Net DEX	-9.15B	-12.95B	-4.57B	-4.57B	-12.83B
Net VEX	-82.0M	-97.4M	-69.0M	-69.0M	-97.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.29	0.99	0.64	0.47
Total Volume	224,545.55	109,138	437,189	217,898	177,131
Total OI	4,505,430.35	3,339,932	5,253,921	4,568,873	3,774,819

Daily Data (20 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
2012-01-03	$155.92	$150.00	22.8%	5.6%	25.7%	39.3%	20.3%	0.8%	1.3%	278.8M	-4.57B	-69.0M	0.64	2.24	132,482	85,416	2,900,147	1,668,726
2012-01-04	$156.71	$150.00	21.4%	5.3%	25.6%	34.8%	19.2%	0.8%	1.8%	319.7M	-5.25B	-69.3M	0.64	2.62	109,676	69,815	2,941,699	1,700,543
2012-01-05	$157.78	$150.00	19.7%	5.3%	25.6%	28.7%	19.3%	0.5%	1.9%	368.3M	-6.30B	-71.4M	0.36	2.63	312,147	113,568	2,977,929	1,721,253
2012-01-06	$157.20	$158.00	18.1%	5.6%	25.3%	23.3%	19.9%	0.7%	1.2%	320.1M	-6.39B	-77.7M	0.77	5.40	80,323	61,623	3,193,828	1,772,427
2012-01-09	$156.50	$158.00	21.1%	5.5%	24.6%	33.5%	19.6%	0.9%	0.9%	282.5M	-5.39B	-73.9M	0.56	3.68	164,217	91,441	3,181,863	1,746,473
2012-01-10	$158.64	$158.00	20.8%	5.5%	25.2%	32.6%	19.8%	0.3%	1.1%	462.2M	-7.93B	-80.4M	0.47	3.81	164,133	76,826	3,292,613	1,778,937
2012-01-11	$159.67	$158.00	17.8%	5.6%	23.6%	22.1%	20.5%	-0.2%	0.9%	558.4M	-9.73B	-82.4M	0.68	6.17	93,904	64,208	3,331,414	1,786,949
2012-01-12	$160.38	$159.00	18.9%	5.4%	22.3%	26.0%	19.4%	-0.3%	1.0%	623.0M	-10.17B	-81.1M	0.82	4.30	95,693	78,827	3,352,763	1,797,071
2012-01-13	$159.26	$159.00	18.5%	5.3%	18.0%	24.6%	19.2%	0.1%	1.0%	516.2M	-8.69B	-80.5M	0.99	6.12	84,781	83,626	3,366,512	1,820,702
2012-01-17	$160.50	$159.00	18.7%	5.4%	18.0%	25.2%	19.3%	-0.1%	0.9%	626.9M	-10.11B	-77.9M	0.78	5.97	91,003	71,192	3,349,964	1,782,960
2012-01-18	$161.60	$159.00	17.9%	5.1%	17.0%	22.4%	18.7%	0.5%	1.3%	696.7M	-11.31B	-77.2M	0.72	4.76	90,336	64,803	3,373,145	1,800,582
2012-01-19	$161.22	$159.00	17.3%	5.0%	17.0%	20.2%	18.1%	0.4%	1.3%	764.5M	-10.98B	-76.8M	0.79	3.15	93,162	73,583	3,401,202	1,814,773
2012-01-20	$162.07	$160.00	16.7%	4.8%	16.5%	18.1%	17.1%	0.2%	1.3%	1.13B	-12.10B	-76.2M	0.29	3.78	338,875	98,314	3,413,130	1,840,791
2012-01-23	$163.16	$160.00	17.3%	4.9%	16.6%	20.2%	18.1%	-0.6%	0.7%	573.6M	-7.71B	-85.6M	0.72	3.24	87,268	62,656	2,441,480	898,452
2012-01-24	$162.01	$160.00	17.1%	4.9%	16.6%	19.7%	18.0%	0.1%	0.8%	542.4M	-6.79B	-85.4M	0.79	2.95	60,923	48,215	2,484,810	928,487
2012-01-25	$166.42	$160.00	19.2%	5.5%	18.8%	27.0%	20.0%	-1.4%	0.5%	676.4M	-10.43B	-91.1M	0.46	4.03	254,135	117,383	2,502,752	945,287
2012-01-26	$167.27	$160.00	18.5%	5.3%	18.3%	24.6%	19.6%	-1.5%	0.6%	757.3M	-11.48B	-93.9M	0.54	4.12	241,851	130,796	2,592,627	985,845
2012-01-27	$168.97	$160.00	18.2%	5.2%	14.8%	23.5%	18.5%	-0.9%	0.7%	1.03B	-12.95B	-95.7M	0.64	2.63	189,254	121,499	2,677,556	1,020,808
2012-01-30	$168.03	$160.00	20.4%	5.2%	14.9%	31.3%	18.6%	-0.5%	1.0%	736.5M	-11.85B	-96.6M	0.86	1.90	62,290	53,536	2,715,563	1,031,725
2012-01-31	$169.31	$160.00	19.9%	5.2%	14.8%	29.4%	18.5%	-1.0%	0.9%	782.3M	-12.83B	-97.4M	0.47	2.40	120,514	56,617	2,719,874	1,054,945