GLD Options History — February 2012

In February 2012, GLD traded between $164.29 and $173.49. ATM implied volatility averaged 18.1%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.4% (HV 20d: 15.7%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-02-29: Highest Volume — 460,610 contracts
  • 2012-02-29: Largest IV spike — 13.9% change
  • 2012-02-29: Highest IV Rank — 32.0%
  • 2012-02-29: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$169.28$164.29$173.49$169.56$164.29
Max Pain$162.00$160.00$165.00$161.00$165.00
ATM IV18.1%16.4%20.6%20.1%20.6%
Expected Move5.1%4.7%5.9%5.2%5.9%
HV 20d15.7%12.7%24.5%12.7%24.5%
HV 60d20.4%19.1%22.1%21.0%22.1%
IV Rank23.1%17.2%32.0%29.9%32.0%
IV Percentile45.6%33.7%57.1%56.7%57.1%
Term Structure0.5%-0.4%1.5%1.3%-0.4%
VWIV18.5%16.8%21.2%18.5%21.2%
Skew 25d-0.5%-1.8%2.1%-0.7%2.1%
Skew 10d-0.7%-3.5%4.6%-1.1%4.6%
Call IV 25d18.8%17.0%20.4%19.0%20.4%
Put IV 25d18.3%16.8%22.4%18.3%22.4%
Bid-Ask Spread %3.121.988.162.258.16
Gamma HHI0.050.040.060.050.04
Net GEX715.2M327.4M954.8M795.3M327.4M
Net DEX-11.82B-15.33B-4.45B-13.08B-4.45B
Net VEX-98.7M-102.4M-90.7M-99.0M-90.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.312.360.560.77
Total Volume215,569.85125,529460,610180,509460,610
Total OI4,233,311.353,819,0304,541,3433,819,0304,350,066

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$169.56$161.0020.1%5.2%12.7%29.9%18.5%-0.7%1.3%795.3M-13.08B-99.0M0.562.25115,54464,9652,751,5811,067,449
2012-02-02$171.05$161.0018.1%5.3%12.8%23.0%18.8%-0.6%1.5%867.7M-14.55B-101.7M0.751.99161,953121,7092,792,7211,092,782
2012-02-03$167.64$160.0018.4%5.5%15.5%24.2%19.8%-0.5%0.5%687.4M-11.05B-99.3M1.063.97168,566177,9492,877,4211,170,633
2012-02-06$167.18$160.0020.4%5.5%15.4%31.2%19.7%-0.6%0.4%649.7M-10.46B-99.1M1.143.0079,04990,0372,905,6511,222,654
2012-02-07$169.70$160.0020.4%5.3%15.7%31.2%19.4%-0.9%0.4%823.4M-13.17B-102.4M0.692.12119,01481,5322,927,0901,248,506
2012-02-08$168.50$160.0017.6%5.3%15.7%21.5%19.4%-1.0%0.4%757.5M-11.95B-102.3M0.753.3298,96074,7052,964,5761,275,522
2012-02-09$168.02$160.0017.9%5.1%15.8%22.5%18.7%-0.2%0.5%676.5M-11.13B-100.4M0.873.11120,077104,0392,982,7431,304,096
2012-02-10$167.14$160.0018.1%5.2%16.0%23.0%18.3%-0.2%0.6%463.9M-9.98B-100.7M2.362.3473,811174,4153,031,8381,353,876
2012-02-13$167.51$162.0017.2%4.9%15.7%20.0%18.0%-0.1%0.6%610.4M-10.25B-99.3M0.652.9286,74456,4523,007,5621,376,751
2012-02-14$167.12$162.0017.2%4.9%15.6%19.8%17.9%-0.1%0.7%567.2M-9.63B-99.6M1.452.1655,89580,8633,035,1131,396,605
2012-02-15$168.11$162.0017.4%5.0%15.6%20.9%17.9%0.1%0.4%622.3M-10.61B-98.6M0.861.9967,45458,0753,034,9111,424,506
2012-02-16$168.00$162.0017.1%4.9%15.6%19.6%17.7%-0.3%0.6%592.6M-10.59B-96.9M0.661.9886,00856,5213,045,3881,449,597
2012-02-17$167.35$162.0016.4%4.7%15.6%17.2%16.8%-0.1%0.3%690.7M-9.88B-94.5M0.752.67110,66982,6613,075,8431,465,500
2012-02-21$171.02$162.0017.6%5.0%17.1%21.3%18.2%-1.2%0.3%766.9M-12.81B-98.5M0.542.23122,14766,2772,801,3401,215,642
2012-02-22$172.94$163.0017.7%5.0%17.0%21.9%17.9%-1.8%0.4%877.6M-15.00B-98.6M0.572.71164,17793,2882,840,6961,243,979
2012-02-23$173.02$163.0017.7%5.1%14.6%21.6%18.5%-1.4%0.1%946.7M-15.17B-99.4M0.643.62155,43399,6172,893,2721,275,526
2012-02-24$172.23$165.0017.0%4.9%14.7%19.4%17.3%-0.7%0.5%787.6M-14.11B-98.9M0.604.81103,09962,2432,937,0271,323,413
2012-02-27$171.70$165.0017.1%4.9%14.4%19.6%18.5%-0.7%0.4%838.3M-13.14B-95.1M0.314.25127,59039,0962,932,1821,307,346
2012-02-28$173.49$165.0018.1%5.2%14.6%23.2%18.4%-0.7%0.3%954.8M-15.33B-98.3M0.362.83183,69266,4612,947,4401,317,383
2012-02-29$164.29$165.0020.6%5.9%24.5%32.0%21.2%2.1%-0.4%327.4M-4.45B-90.7M0.778.16260,126200,4843,002,6461,347,420