GLD Options History — June 2012

In June 2012, GLD traded between $151.05 and $157.93. ATM implied volatility averaged 18.8%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.7% (HV 20d: 19.5%). Max pain ranged from $154.00 to $158.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2012-06-01: Highest Volume — 594,673 contracts
2012-06-14: Largest IV spike — 34.8% change
2012-06-01: Highest IV Rank — 39.5%
2012-06-01: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$155.43	$151.05	$157.93	$157.50	$155.19
Max Pain	$155.29	$154.00	$158.00	$158.00	$154.00
ATM IV	18.8%	15.7%	22.8%	22.8%	15.7%
Expected Move	5.6%	4.7%	6.5%	6.5%	4.7%
HV 20d	19.5%	16.8%	21.5%	21.5%	16.8%
HV 60d	16.1%	15.3%	16.6%	16.6%	16.5%
IV Rank	25.5%	14.8%	39.5%	39.5%	14.8%
IV Percentile	41.3%	10.7%	65.9%	65.9%	10.7%
Term Structure	0.5%	-0.4%	1.1%	-0.3%	1.0%
VWIV	20.2%	17.0%	23.7%	23.6%	17.0%
Skew 25d	0.6%	-1.0%	1.9%	-1.0%	1.0%
Skew 10d	1.6%	-2.0%	5.0%	-2.0%	2.6%
Call IV 25d	20.0%	16.6%	24.3%	24.3%	16.6%
Put IV 25d	20.6%	17.6%	23.4%	23.3%	17.6%
Bid-Ask Spread %	3.62	2.63	4.80	4.00	3.25
Gamma HHI	0.05	0.04	0.08	0.05	0.07
Net GEX	470.2M	134.6M	730.0M	553.0M	617.1M
Net DEX	-4.19B	-7.07B	90.7M	-7.02B	-4.29B
Net VEX	-85.7M	-95.6M	-73.0M	-95.6M	-77.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.45	1.21	0.72	0.66
Total Volume	217,624.19	83,710	594,673	594,673	219,455
Total OI	4,504,328.857	3,680,965	5,281,971	4,825,329	3,942,722

Daily Data (21 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
2012-06-01	$157.50	$158.00	22.8%	6.5%	21.5%	39.5%	23.6%	-1.0%	-0.3%	553.0M	-7.02B	-95.6M	0.72	4.00	346,725	247,948	3,271,352	1,553,977
2012-06-04	$157.32	$158.00	22.7%	6.5%	21.4%	39.0%	23.7%	-0.2%	0.2%	555.4M	-6.20B	-94.4M	0.63	3.72	120,849	75,979	3,337,238	1,568,769
2012-06-05	$157.14	$158.00	21.3%	6.1%	21.4%	34.2%	22.0%	-0.5%	0.4%	564.8M	-5.98B	-93.7M	0.66	4.04	125,593	82,600	3,377,754	1,586,926
2012-06-06	$157.21	$158.00	20.8%	6.0%	20.2%	32.4%	21.6%	-0.2%	-0.1%	593.0M	-6.00B	-93.7M	0.98	4.80	125,184	122,643	3,426,379	1,609,572
2012-06-07	$154.50	$158.00	18.5%	6.0%	20.9%	24.6%	21.7%	0.8%	-0.4%	304.6M	-1.96B	-88.8M	0.86	4.08	184,691	159,503	3,465,135	1,642,828
2012-06-08	$154.73	$157.00	17.4%	5.7%	20.9%	20.7%	20.9%	0.4%	-0.0%	373.9M	-2.26B	-88.3M	0.83	3.44	117,418	97,601	3,478,285	1,666,485
2012-06-11	$155.36	$154.00	19.0%	5.9%	20.7%	26.1%	21.3%	0.2%	0.5%	483.9M	-3.20B	-87.4M	0.45	4.43	80,034	35,620	3,479,153	1,646,377
2012-06-12	$156.46	$154.00	18.2%	6.0%	20.0%	23.4%	21.6%	0.3%	0.7%	584.1M	-4.88B	-89.2M	0.85	3.45	111,149	95,030	3,501,404	1,647,432
2012-06-13	$157.12	$154.00	16.1%	6.3%	19.5%	16.1%	22.3%	0.1%	0.5%	646.7M	-6.14B	-92.3M	0.65	3.25	88,506	57,357	3,547,733	1,677,688
2012-06-14	$157.75	$154.00	21.7%	6.2%	19.4%	35.5%	22.5%	0.1%	0.8%	650.5M	-7.07B	-91.4M	0.77	3.09	93,094	71,320	3,550,997	1,681,554
2012-06-15	$157.84	$154.00	20.4%	5.9%	18.0%	31.3%	20.9%	0.6%	0.6%	730.0M	-6.83B	-89.8M	0.53	3.35	188,059	100,289	3,567,164	1,714,807
2012-06-18	$157.93	$154.00	18.3%	5.3%	17.7%	23.9%	19.0%	0.8%	1.1%	616.3M	-7.05B	-87.3M	0.74	4.37	81,175	60,113	2,540,630	1,140,335
2012-06-19	$157.16	$154.00	18.4%	5.3%	17.8%	24.0%	18.7%	0.9%	0.5%	569.3M	-6.22B	-85.1M	1.21	2.63	79,404	96,110	2,567,114	1,158,748
2012-06-20	$155.97	$155.00	17.5%	5.0%	16.9%	21.0%	17.9%	1.3%	0.6%	413.1M	-4.57B	-83.1M	0.65	3.62	197,369	127,767	2,592,081	1,204,659
2012-06-21	$152.01	$155.00	18.6%	5.3%	19.4%	24.9%	19.0%	1.9%	0.4%	134.6M	-503.3M	-77.4M	0.71	3.82	170,295	121,572	2,647,688	1,249,432
2012-06-22	$152.64	$155.00	17.6%	5.0%	19.4%	21.3%	18.2%	1.7%	0.8%	267.7M	-1.35B	-79.2M	0.85	4.01	90,762	77,553	2,680,018	1,260,030
2012-06-25	$153.76	$155.00	17.7%	5.1%	19.4%	21.8%	18.1%	0.8%	0.7%	395.3M	-2.99B	-79.5M	0.45	3.05	89,460	40,205	2,641,904	1,222,898
2012-06-26	$152.62	$154.00	17.4%	5.0%	19.1%	20.9%	17.7%	1.2%	0.7%	327.3M	-1.76B	-76.9M	0.68	3.67	92,026	62,521	2,667,711	1,229,092
2012-06-27	$152.83	$154.00	17.0%	4.9%	19.0%	19.1%	17.3%	1.2%	1.0%	325.2M	-1.84B	-76.7M	0.55	2.87	54,091	29,619	2,666,630	1,246,769
2012-06-28	$151.05	$154.00	17.4%	5.0%	19.5%	20.7%	18.3%	1.5%	0.9%	168.0M	90.7M	-73.0M	1.19	3.09	70,056	83,363	2,679,366	1,254,070
2012-06-29	$155.19	$154.00	15.7%	4.7%	16.8%	14.8%	17.0%	1.0%	1.0%	617.1M	-4.29B	-77.4M	0.66	3.25	132,087	87,368	2,679,081	1,263,641