GLD Options History — July 2012

In July 2012, GLD traded between $152.15 and $157.54. ATM implied volatility averaged 17.7%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.9% (HV 20d: 16.8%). Max pain ranged from $154.00 to $155.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2012-07-25: Highest Volume — 267,435 contracts
2012-07-11: Largest IV drop — 23.8% change
2012-07-31: Highest IV Rank — 40.7%
2012-07-10: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$154.58	$152.15	$157.54	$155.09	$156.49
Max Pain	$154.33	$154.00	$155.00	$154.00	$154.00
ATM IV	17.7%	14.7%	24.1%	16.7%	24.1%
Expected Move	4.7%	4.2%	5.2%	4.8%	5.0%
HV 20d	16.8%	12.3%	18.4%	16.8%	12.5%
HV 60d	16.8%	16.4%	17.1%	16.4%	17.0%
IV Rank	17.6%	6.2%	40.7%	18.1%	40.7%
IV Percentile	27.9%	2.0%	72.6%	18.7%	72.6%
Term Structure	0.6%	0.1%	1.3%	0.6%	0.1%
VWIV	17.1%	14.9%	18.2%	17.5%	18.0%
Skew 25d	0.7%	-0.3%	1.7%	1.1%	-0.3%
Skew 10d	1.8%	-0.5%	3.4%	3.0%	-0.5%
Call IV 25d	16.7%	14.9%	18.1%	16.8%	18.1%
Put IV 25d	17.4%	15.5%	19.3%	17.9%	17.8%
Bid-Ask Spread %	2.53	1.84	3.25	2.71	2.22
Gamma HHI	0.05	0.04	0.06	0.05	0.05
Net GEX	432.1M	260.2M	672.6M	485.8M	565.7M
Net DEX	-3.47B	-6.79B	-1.06B	-4.20B	-5.63B
Net VEX	-70.2M	-77.3M	-62.7M	-76.3M	-73.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.25	1.12	0.59	0.60
Total Volume	160,559.238	84,064	267,435	105,313	196,602
Total OI	3,657,979.857	3,220,098	3,990,813	3,648,793	3,529,187

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
2012-07-02	$155.09	$154.00	16.7%	4.8%	16.8%	18.1%	17.5%	1.1%	0.6%	485.8M	-4.20B	-76.3M	0.59	2.71	66,278	39,035	2,506,937	1,141,856
2012-07-03	$157.46	$154.00	18.8%	4.8%	17.7%	21.8%	17.4%	0.6%	0.5%	672.6M	-6.68B	-76.8M	0.67	2.77	63,633	42,612	2,530,407	1,141,699
2012-07-05	$155.68	$154.00	18.1%	4.8%	18.2%	19.3%	17.3%	0.9%	0.3%	575.2M	-4.78B	-74.6M	0.33	2.79	199,827	66,436	2,540,327	1,150,131
2012-07-06	$153.71	$155.00	17.3%	5.0%	17.7%	16.3%	17.9%	0.9%	0.6%	383.2M	-2.61B	-72.5M	1.12	2.74	74,862	84,050	2,568,221	1,159,452
2012-07-09	$154.04	$155.00	19.3%	4.9%	17.7%	23.9%	17.6%	1.1%	0.5%	441.9M	-2.89B	-69.5M	0.65	2.63	51,980	33,544	2,554,438	1,146,331
2012-07-10	$152.15	$155.00	22.8%	5.2%	18.1%	35.9%	18.2%	1.7%	0.1%	286.2M	-1.06B	-68.0M	0.76	3.12	87,692	66,622	2,565,292	1,155,860
2012-07-11	$152.99	$155.00	17.3%	4.9%	18.1%	16.0%	17.8%	1.5%	0.5%	333.8M	-1.88B	-69.1M	1.10	2.80	68,701	75,512	2,576,776	1,172,181
2012-07-12	$152.59	$155.00	17.2%	4.9%	17.9%	15.5%	17.9%	1.2%	0.4%	261.5M	-1.28B	-67.8M	0.87	2.32	84,631	74,012	2,592,646	1,204,184
2012-07-13	$154.14	$154.00	16.2%	4.7%	18.3%	11.9%	16.9%	1.1%	0.7%	498.4M	-3.22B	-69.7M	0.34	2.17	134,864	45,312	2,627,051	1,227,513
2012-07-16	$154.21	$155.00	16.3%	4.7%	18.3%	12.0%	17.0%	1.0%	0.4%	421.7M	-2.87B	-65.9M	0.96	3.03	42,837	41,227	2,605,986	1,203,033
2012-07-17	$153.47	$155.00	16.0%	4.6%	18.4%	10.8%	16.3%	0.9%	0.7%	309.0M	-1.98B	-64.5M	0.62	2.41	121,366	75,147	2,619,779	1,218,839
2012-07-18	$153.05	$154.00	15.4%	4.4%	18.3%	8.7%	15.8%	0.8%	0.9%	260.2M	-1.43B	-63.5M	0.89	2.53	76,459	68,266	2,742,364	1,244,116
2012-07-19	$153.38	$154.00	14.8%	4.3%	18.2%	6.7%	15.4%	0.5%	1.0%	297.9M	-2.02B	-65.0M	0.90	2.25	70,626	63,258	2,679,378	1,259,419
2012-07-20	$153.67	$154.00	14.7%	4.2%	15.7%	6.2%	14.9%	0.6%	1.1%	349.3M	-1.97B	-62.7M	0.84	2.30	124,371	103,984	2,715,816	1,274,997
2012-07-23	$153.03	$154.00	16.0%	4.6%	15.7%	11.0%	16.5%	0.7%	0.5%	303.5M	-2.09B	-66.3M	0.55	1.84	61,994	33,878	2,224,151	995,947
2012-07-24	$153.52	$154.00	17.1%	4.9%	15.5%	15.0%	17.7%	0.6%	0.4%	334.7M	-2.68B	-68.1M	0.54	2.75	86,221	46,336	2,249,636	1,007,979
2012-07-25	$155.67	$154.00	17.1%	4.9%	16.0%	15.0%	17.9%	0.3%	0.8%	470.1M	-4.63B	-71.9M	0.31	3.25	204,026	63,409	2,291,659	1,023,285
2012-07-26	$156.77	$154.00	16.6%	4.8%	16.1%	13.2%	16.9%	0.2%	1.3%	579.9M	-5.87B	-75.2M	0.46	1.84	116,332	53,580	2,356,023	1,044,323
2012-07-27	$157.54	$154.00	18.1%	4.7%	15.4%	18.8%	16.8%	-0.1%	1.0%	636.4M	-6.79B	-77.3M	0.51	2.26	126,495	64,769	2,407,933	1,068,916
2012-07-30	$157.43	$154.00	22.0%	4.9%	12.3%	33.1%	17.4%	-0.3%	0.6%	607.4M	-6.38B	-75.1M	0.25	2.52	136,933	34,025	2,424,691	1,068,818
2012-07-31	$156.49	$154.00	24.1%	5.0%	12.5%	40.7%	18.0%	-0.3%	0.1%	565.7M	-5.63B	-73.5M	0.60	2.22	122,735	73,867	2,466,564	1,062,623