GLD Options History — May 2012

In May 2012, GLD traded between $149.46 and $161.32. ATM implied volatility averaged 17.5%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.7% (HV 20d: 12.8%). Max pain ranged from $158.00 to $163.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.68.

Notable Days

2012-05-17: Highest Volume — 477,762 contracts
2012-05-08: Largest IV spike — 20.4% change
2012-05-30: Highest IV Rank — 32.9%
2012-05-30: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$154.23	$149.46	$161.32	$161.32	$151.62
Max Pain	$160.64	$158.00	$163.00	$161.00	$158.00
ATM IV	17.5%	13.6%	20.9%	14.8%	20.3%
Expected Move	4.9%	3.8%	6.0%	3.8%	5.8%
HV 20d	12.8%	9.3%	16.2%	12.8%	16.1%
HV 60d	17.4%	14.6%	18.7%	17.9%	14.6%
IV Rank	21.1%	7.4%	32.9%	11.5%	30.8%
IV Percentile	36.7%	2.0%	60.3%	7.9%	57.1%
Term Structure	0.5%	-0.3%	1.2%	1.2%	0.0%
VWIV	17.8%	13.5%	21.8%	13.5%	21.3%
Skew 25d	1.0%	-0.2%	2.2%	0.4%	1.2%
Skew 10d	2.5%	-0.8%	6.7%	0.4%	1.7%
Call IV 25d	17.2%	13.4%	20.9%	13.5%	20.7%
Put IV 25d	18.2%	13.7%	22.4%	13.9%	21.9%
Bid-Ask Spread %	3.29	1.98	5.21	1.98	5.21
Gamma HHI	0.04	0.04	0.05	0.05	0.04
Net GEX	92.5M	-209.5M	403.3M	403.3M	192.0M
Net DEX	1.46B	-3.80B	7.04B	-3.80B	516.1M
Net VEX	-78.8M	-89.8M	-67.9M	-81.1M	-84.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.36	1.26	0.40	0.57
Total Volume	230,348.273	103,940	477,762	154,764	181,366
Total OI	4,472,402.455	4,022,754	5,021,212	4,022,754	4,774,605

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
2012-05-01	$161.32	$161.00	14.8%	3.8%	12.8%	11.5%	13.5%	0.4%	1.2%	403.3M	-3.80B	-81.1M	0.40	1.98	110,649	44,115	2,713,340	1,309,414
2012-05-02	$160.59	$161.00	15.9%	3.8%	11.0%	15.4%	13.5%	0.3%	1.1%	346.2M	-2.91B	-81.9M	0.62	2.04	64,047	39,893	2,766,445	1,328,675
2012-05-03	$158.97	$161.00	16.4%	4.2%	9.8%	17.3%	14.9%	0.8%	0.4%	188.4M	-975.1M	-78.7M	0.80	2.40	107,623	85,838	2,778,066	1,343,288
2012-05-04	$159.47	$163.00	13.6%	4.0%	9.5%	7.4%	14.2%	-0.2%	0.7%	228.4M	-1.56B	-80.0M	0.61	3.00	88,659	54,401	2,846,237	1,377,603
2012-05-07	$159.08	$163.00	15.0%	4.1%	9.3%	12.2%	14.4%	-0.1%	0.7%	205.2M	-1.14B	-77.0M	0.66	3.69	71,903	47,433	2,795,187	1,367,546
2012-05-08	$156.00	$162.00	18.0%	4.4%	10.7%	22.8%	16.9%	0.8%	0.7%	-40.8M	2.18B	-73.0M	1.26	3.35	165,920	209,375	2,831,965	1,377,817
2012-05-09	$154.47	$162.00	17.2%	4.8%	11.1%	20.1%	17.2%	0.7%	0.3%	-123.6M	3.51B	-72.8M	0.63	3.50	163,198	102,833	2,882,443	1,479,894
2012-05-10	$154.77	$162.00	15.9%	4.5%	10.2%	15.3%	16.8%	0.5%	0.4%	-84.1M	3.02B	-75.0M	0.76	2.71	104,155	78,955	2,937,291	1,502,776
2012-05-11	$153.56	$162.00	15.7%	4.5%	9.9%	14.6%	16.2%	1.1%	0.6%	-163.3M	4.64B	-72.2M	0.88	2.76	66,009	57,913	2,984,064	1,545,582
2012-05-14	$151.33	$162.00	17.3%	5.0%	10.8%	20.5%	17.7%	1.1%	0.3%	-209.5M	5.98B	-69.4M	0.67	3.09	186,604	124,597	2,965,589	1,517,732
2012-05-15	$149.74	$161.00	17.5%	5.0%	11.1%	21.2%	17.9%	2.2%	0.4%	-204.4M	7.04B	-67.9M	0.67	2.89	126,151	84,216	3,055,908	1,568,613
2012-05-16	$149.46	$161.00	18.3%	5.2%	11.1%	23.8%	19.2%	1.6%	0.5%	-184.7M	6.86B	-70.1M	0.56	3.16	244,728	136,472	3,089,182	1,565,368
2012-05-17	$152.80	$160.00	19.1%	5.5%	14.2%	26.4%	20.2%	1.4%	0.6%	32.6M	3.39B	-78.5M	0.36	2.48	351,253	126,509	3,191,345	1,612,600
2012-05-18	$154.55	$160.00	19.6%	5.6%	15.0%	28.2%	20.4%	0.8%	0.7%	266.6M	464.2M	-89.8M	0.46	3.67	206,570	95,234	3,367,365	1,653,847
2012-05-21	$154.65	$160.00	17.3%	5.0%	15.0%	20.4%	18.3%	0.2%	0.9%	309.8M	-1.69B	-86.8M	0.55	3.39	101,298	55,523	2,983,313	1,376,730
2012-05-22	$152.08	$160.00	17.1%	4.9%	15.9%	19.6%	17.4%	0.8%	0.6%	138.7M	1.15B	-80.1M	0.48	3.07	189,959	91,271	3,021,582	1,400,220
2012-05-23	$151.62	$160.00	18.7%	5.2%	15.8%	25.1%	20.0%	1.6%	1.2%	110.6M	1.52B	-82.6M	0.80	3.36	193,287	153,829	3,065,896	1,424,010
2012-05-24	$151.41	$159.00	19.2%	5.6%	15.3%	26.9%	20.6%	1.8%	0.1%	154.3M	1.32B	-83.0M	0.96	4.07	98,283	93,932	3,126,563	1,483,207
2012-05-25	$152.68	$159.00	18.6%	5.3%	15.7%	25.0%	20.1%	1.5%	0.3%	204.5M	-49.1M	-85.4M	0.96	3.91	74,995	71,864	3,152,385	1,513,982
2012-05-29	$151.02	$159.00	19.0%	5.4%	15.8%	26.2%	19.9%	1.9%	0.1%	105.0M	1.91B	-78.9M	0.80	3.92	70,579	56,781	3,143,046	1,494,170
2012-05-30	$151.91	$158.00	20.9%	6.0%	16.2%	32.9%	21.8%	1.6%	-0.3%	160.0M	674.9M	-83.7M	0.44	4.77	201,506	87,936	3,162,274	1,515,689
2012-05-31	$151.62	$158.00	20.3%	5.8%	16.1%	30.8%	21.3%	1.2%	0.0%	192.0M	516.1M	-84.8M	0.57	5.21	115,318	66,048	3,238,620	1,535,985