GLD Options History — March 2012

In March 2012, GLD traded between $159.57 and $166.61. ATM implied volatility averaged 16.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 7.1% (HV 20d: 23.7%). Max pain ranged from $163.00 to $167.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2012-03-14: Highest Volume — 511,298 contracts
2012-03-12: Largest IV spike — 16.8% change
2012-03-13: Highest IV Rank — 27.7%
2012-03-06: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$162.80	$159.57	$166.61	$166.61	$162.12
Max Pain	$164.77	$163.00	$167.00	$165.00	$163.00
ATM IV	16.7%	14.8%	19.4%	17.4%	15.4%
Expected Move	4.7%	4.2%	5.3%	5.0%	4.2%
HV 20d	23.7%	16.0%	26.0%	25.1%	16.1%
HV 60d	20.5%	18.8%	22.3%	22.3%	18.8%
IV Rank	18.1%	11.8%	27.7%	20.7%	13.6%
IV Percentile	30.2%	12.7%	52.4%	40.1%	16.7%
Term Structure	0.3%	-0.6%	1.1%	0.3%	1.0%
VWIV	17.1%	15.2%	19.3%	18.2%	15.2%
Skew 25d	0.8%	-0.3%	1.7%	0.8%	0.4%
Skew 10d	2.2%	-0.2%	4.9%	1.8%	0.4%
Call IV 25d	16.6%	14.8%	18.4%	17.6%	14.8%
Put IV 25d	17.4%	15.1%	19.7%	18.4%	15.1%
Bid-Ask Spread %	3.63	2.26	6.12	3.82	2.26
Gamma HHI	0.05	0.04	0.10	0.04	0.05
Net GEX	201.7M	-240.8M	459.1M	459.1M	345.7M
Net DEX	-2.81B	-6.99B	2.78B	-6.85B	-3.01B
Net VEX	-79.3M	-91.3M	-71.8M	-91.3M	-78.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.35	1.96	0.80	0.86
Total Volume	211,849.909	96,666	511,298	241,189	98,432
Total OI	4,198,661.182	3,494,218	4,866,145	4,455,678	3,960,746

Daily Data (22 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
2012-03-01	$166.61	$165.00	17.4%	5.0%	25.1%	20.7%	18.2%	0.8%	0.3%	459.1M	-6.85B	-91.3M	0.80	3.82	133,672	107,517	3,055,741	1,399,937
2012-03-02	$166.34	$165.00	16.8%	4.8%	24.8%	18.7%	17.4%	1.0%	0.2%	432.3M	-6.50B	-89.9M	0.96	4.94	87,011	83,677	3,076,573	1,432,814
2012-03-05	$165.65	$165.00	17.1%	4.9%	23.9%	19.8%	17.4%	1.2%	0.1%	359.2M	-5.91B	-88.2M	0.52	4.63	110,011	56,903	3,055,897	1,423,417
2012-03-06	$162.70	$165.00	18.4%	5.3%	24.6%	24.0%	19.3%	1.7%	-0.6%	114.4M	-2.01B	-82.0M	1.08	4.38	128,866	138,577	3,046,659	1,439,548
2012-03-07	$163.63	$165.00	17.5%	5.0%	24.0%	21.1%	18.3%	1.2%	-0.5%	180.3M	-3.15B	-82.1M	1.20	4.80	93,741	112,862	3,069,166	1,476,271
2012-03-08	$165.28	$165.00	17.0%	5.0%	24.3%	19.1%	17.9%	0.6%	-0.3%	291.5M	-5.14B	-83.9M	0.70	4.04	115,627	81,227	3,063,703	1,532,320
2012-03-09	$166.38	$165.00	16.1%	4.9%	24.4%	16.2%	17.9%	0.3%	-0.0%	430.3M	-6.99B	-86.9M	0.48	3.91	147,615	70,798	3,087,600	1,540,591
2012-03-12	$165.07	$167.00	18.8%	5.0%	24.5%	25.6%	17.7%	0.3%	0.4%	258.1M	-4.82B	-81.5M	0.72	2.89	77,149	55,450	3,072,889	1,540,698
2012-03-13	$162.30	$167.00	19.4%	5.2%	25.2%	27.7%	18.6%	0.9%	-0.0%	11.1M	-1.10B	-77.9M	1.28	4.17	168,240	214,864	3,095,060	1,544,184
2012-03-14	$159.57	$167.00	18.9%	5.2%	25.7%	25.9%	18.7%	1.0%	0.2%	-240.8M	2.78B	-74.4M	1.14	3.54	238,604	272,694	3,145,975	1,627,487
2012-03-15	$161.08	$165.00	16.4%	4.7%	25.9%	17.1%	16.8%	1.0%	0.4%	-134.9M	314.3M	-75.5M	1.01	3.48	126,395	128,103	3,198,317	1,655,812
2012-03-16	$161.30	$165.00	16.6%	4.7%	26.0%	17.7%	17.1%	1.0%	0.5%	46.2M	-343.8M	-75.4M	0.70	6.12	181,627	126,397	3,196,707	1,669,438
2012-03-19	$161.59	$165.00	15.7%	4.5%	26.0%	14.9%	16.6%	1.0%	0.6%	185.4M	-1.69B	-73.6M	0.35	2.76	140,319	49,000	2,379,166	1,115,052
2012-03-20	$160.13	$165.00	16.0%	4.6%	24.6%	15.9%	16.4%	1.0%	0.7%	130.3M	-808.1M	-72.9M	1.96	2.28	52,753	103,539	2,382,565	1,132,124
2012-03-21	$160.21	$164.00	15.6%	4.5%	24.0%	14.3%	15.9%	1.1%	0.7%	103.3M	-723.0M	-71.8M	0.87	3.57	51,779	44,887	2,390,095	1,184,582
2012-03-22	$159.57	$164.00	15.7%	4.5%	24.0%	14.8%	16.2%	1.2%	0.7%	63.0M	-286.9M	-72.6M	1.05	3.19	70,807	74,298	2,411,402	1,203,488
2012-03-23	$161.53	$164.00	15.4%	4.4%	24.6%	13.8%	15.7%	0.5%	0.7%	216.7M	-2.06B	-74.2M	0.60	2.70	103,360	62,435	2,431,416	1,228,604
2012-03-26	$164.40	$163.00	16.3%	4.7%	25.7%	16.8%	17.2%	-0.3%	0.4%	403.1M	-5.00B	-78.4M	0.41	3.55	139,066	57,099	2,459,640	1,222,033
2012-03-27	$163.24	$164.00	15.6%	4.5%	25.3%	14.5%	16.9%	-0.1%	0.6%	360.9M	-4.17B	-79.2M	0.47	3.04	110,728	51,523	2,529,939	1,223,624
2012-03-28	$161.51	$164.00	15.6%	4.5%	16.9%	14.2%	16.0%	0.4%	0.6%	230.5M	-2.31B	-76.9M	0.87	3.28	110,851	96,987	2,544,583	1,243,477
2012-03-29	$161.28	$163.00	14.8%	4.3%	16.0%	11.8%	15.2%	0.2%	1.1%	191.2M	-1.97B	-76.9M	0.49	2.39	124,181	61,027	2,596,767	1,284,439
2012-03-30	$162.12	$163.00	15.4%	4.2%	16.1%	13.6%	15.2%	0.4%	1.0%	345.7M	-3.01B	-78.1M	0.86	2.26	52,788	45,644	2,669,458	1,291,288