GLD Options History — April 2012

In April 2012, GLD traded between $157.21 and $162.94. ATM implied volatility averaged 16.3%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.0% (HV 20d: 15.3%). Max pain ranged from $161.00 to $163.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.74.

Notable Days

2012-04-04: Highest Volume — 356,162 contracts
2012-04-30: Largest IV spike — 22.2% change
2012-04-10: Highest IV Rank — 30.7%
2012-04-11: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$160.24	$157.21	$162.94	$162.94	$161.88
Max Pain	$162.05	$161.00	$163.00	$163.00	$161.00
ATM IV	16.3%	13.0%	20.3%	16.7%	15.9%
Expected Move	4.4%	3.8%	5.1%	4.1%	4.0%
HV 20d	15.3%	12.9%	17.3%	16.3%	12.9%
HV 60d	19.1%	18.4%	19.5%	18.8%	18.4%
IV Rank	16.8%	5.4%	30.7%	18.2%	15.4%
IV Percentile	23.8%	1.2%	55.6%	30.6%	19.8%
Term Structure	0.8%	0.3%	1.2%	1.1%	0.8%
VWIV	16.1%	13.9%	19.5%	14.8%	14.4%
Skew 25d	0.3%	-0.8%	1.5%	0.3%	-0.2%
Skew 10d	0.8%	-1.8%	5.0%	0.6%	-0.4%
Call IV 25d	15.8%	13.8%	18.4%	14.6%	14.5%
Put IV 25d	16.2%	13.9%	18.3%	14.9%	14.3%
Bid-Ask Spread %	2.73	1.86	4.10	2.33	2.41
Gamma HHI	0.05	0.04	0.07	0.05	0.05
Net GEX	231.4M	-15.1M	484.7M	357.5M	377.5M
Net DEX	-1.92B	-5.09B	1.63B	-3.77B	-4.12B
Net VEX	-78.8M	-85.1M	-72.1M	-80.0M	-80.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.21	1.16	0.81	0.26
Total Volume	180,668.15	95,528	356,162	100,545	234,916
Total OI	3,988,093.1	3,641,958	4,324,690	3,765,623	3,897,786

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
2012-04-02	$162.94	$163.00	16.7%	4.1%	16.3%	18.2%	14.8%	0.3%	1.1%	357.5M	-3.77B	-80.0M	0.81	2.33	55,503	45,042	2,589,131	1,176,492
2012-04-03	$159.89	$163.00	19.3%	4.5%	16.4%	27.2%	16.1%	1.1%	0.5%	130.3M	-637.9M	-74.1M	0.78	2.62	114,841	89,276	2,606,655	1,193,935
2012-04-04	$157.21	$163.00	19.3%	4.5%	17.1%	27.4%	16.1%	1.5%	0.8%	-15.1M	1.63B	-72.1M	0.71	2.32	208,072	148,090	2,646,478	1,217,131
2012-04-05	$158.31	$163.00	15.2%	4.2%	16.9%	13.2%	15.2%	0.9%	1.2%	75.0M	435.3M	-74.7M	0.46	2.23	139,784	64,957	2,697,476	1,266,962
2012-04-09	$159.37	$162.00	18.5%	4.8%	16.9%	24.6%	17.0%	0.8%	0.6%	157.2M	-989.7M	-78.0M	0.91	2.98	66,588	60,566	2,719,426	1,270,929
2012-04-10	$161.10	$162.00	20.3%	5.0%	17.3%	30.7%	18.2%	0.2%	0.6%	283.4M	-2.94B	-82.1M	0.45	4.10	145,903	65,096	2,735,925	1,287,839
2012-04-11	$161.07	$162.00	17.0%	5.1%	16.3%	19.2%	19.5%	-0.1%	0.8%	321.4M	-3.13B	-83.4M	0.21	3.70	237,820	50,655	2,777,642	1,307,308
2012-04-12	$162.70	$162.00	17.0%	4.9%	15.5%	19.1%	17.3%	-0.8%	0.5%	484.7M	-5.09B	-85.1M	0.92	2.89	82,614	76,408	2,820,153	1,323,955
2012-04-13	$160.85	$162.00	16.8%	4.8%	15.7%	18.5%	17.1%	-0.2%	0.7%	351.1M	-2.73B	-82.7M	0.92	3.73	99,931	92,203	2,827,794	1,331,719
2012-04-16	$160.46	$162.00	17.0%	4.9%	15.7%	19.2%	17.6%	-0.0%	0.7%	210.3M	-2.01B	-81.1M	0.73	2.67	55,222	40,306	2,838,908	1,333,687
2012-04-17	$160.27	$162.00	16.3%	4.7%	15.7%	16.8%	16.7%	0.2%	0.3%	173.6M	-1.74B	-79.0M	1.16	2.50	67,109	77,551	2,855,866	1,344,600
2012-04-18	$159.31	$162.00	15.5%	4.5%	15.5%	14.2%	15.9%	0.5%	0.8%	40.8M	-340.3M	-76.8M	0.85	2.99	65,740	55,845	2,851,617	1,360,213
2012-04-19	$159.43	$162.00	15.4%	4.4%	15.5%	13.7%	15.6%	0.3%	0.7%	65.7M	-491.0M	-77.2M	1.05	2.55	76,921	80,414	2,871,564	1,378,861
2012-04-20	$159.54	$162.00	14.5%	4.2%	15.5%	10.5%	14.9%	0.3%	1.2%	168.2M	-226.9M	-76.8M	1.12	2.76	99,294	110,973	2,905,664	1,419,026
2012-04-23	$159.07	$162.00	14.7%	4.2%	14.8%	11.4%	15.2%	0.4%	0.8%	164.3M	-1.31B	-76.1M	0.54	2.53	84,482	45,335	2,455,804	1,186,154
2012-04-24	$159.30	$162.00	15.2%	4.3%	13.2%	12.8%	15.7%	0.6%	0.3%	203.5M	-1.63B	-77.2M	0.80	2.42	66,306	53,128	2,499,377	1,207,670
2012-04-25	$159.62	$162.00	14.4%	4.1%	13.1%	10.2%	15.2%	0.6%	0.9%	212.2M	-1.89B	-78.7M	0.61	2.87	153,813	94,201	2,522,579	1,233,359
2012-04-26	$161.03	$161.00	14.0%	4.0%	13.0%	8.9%	14.6%	0.1%	0.9%	407.3M	-3.48B	-80.5M	0.70	2.11	107,058	74,761	2,599,312	1,265,416
2012-04-27	$161.38	$161.00	13.0%	3.8%	13.0%	5.4%	13.9%	0.1%	1.2%	459.3M	-3.99B	-81.3M	0.75	1.86	72,217	54,422	2,643,456	1,293,993
2012-04-30	$161.88	$161.00	15.9%	4.0%	12.9%	15.4%	14.4%	-0.2%	0.8%	377.5M	-4.12B	-80.0M	0.26	2.41	186,406	48,510	2,619,228	1,278,558