GLD Options History — August 2012

In August 2012, GLD traded between $154.13 and $164.22. ATM implied volatility averaged 14.9%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 5.2% (HV 20d: 9.7%). Max pain ranged from $154.00 to $157.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.51.

Notable Days

2012-08-01: Highest Volume — 446,489 contracts
2012-08-02: Largest IV drop — 38.0% change
2012-08-01: Highest IV Rank — 53.9%
2012-08-01: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$158.13	$154.13	$164.22	$155.14	$164.22
Max Pain	$155.35	$154.00	$157.00	$155.00	$157.00
ATM IV	14.9%	11.0%	27.7%	27.7%	16.6%
Expected Move	4.3%	3.9%	4.8%	4.8%	4.8%
HV 20d	9.7%	8.4%	11.6%	11.6%	10.9%
HV 60d	15.3%	13.1%	17.1%	17.1%	13.4%
IV Rank	11.1%	0.0%	53.9%	53.9%	19.1%
IV Percentile	10.5%	0.0%	84.9%	84.9%	24.6%
Term Structure	0.5%	-0.2%	1.4%	0.6%	-0.2%
VWIV	15.5%	14.2%	17.2%	17.2%	17.1%
Skew 25d	-0.3%	-0.9%	0.1%	0.0%	-0.9%
Skew 10d	-0.7%	-2.3%	0.7%	-0.1%	-1.7%
Call IV 25d	15.5%	13.9%	17.5%	17.3%	17.5%
Put IV 25d	15.2%	13.6%	17.3%	17.3%	16.6%
Bid-Ask Spread %	2.15	1.65	3.18	1.76	3.18
Gamma HHI	0.06	0.05	0.08	0.05	0.07
Net GEX	807.3M	441.4M	1.35B	519.4M	1.35B
Net DEX	-7.06B	-13.91B	-3.23B	-4.39B	-13.91B
Net VEX	-71.6M	-77.1M	-66.6M	-73.8M	-76.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.17	0.74	0.35	0.58
Total Volume	170,544.696	76,872	446,489	446,489	371,235
Total OI	3,892,179.478	3,565,131	4,107,439	3,671,642	4,076,209

Daily Data (23 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
2012-08-01	$155.14	$155.00	27.7%	4.8%	11.6%	53.9%	17.2%	0.0%	0.6%	519.4M	-4.39B	-73.8M	0.35	1.76	331,811	114,678	2,569,862	1,101,780
2012-08-02	$154.13	$155.00	17.1%	4.5%	11.2%	15.2%	16.3%	0.1%	1.0%	441.4M	-3.23B	-72.7M	0.60	1.65	95,901	57,289	2,764,679	1,146,170
2012-08-03	$155.55	$155.00	14.7%	4.0%	10.7%	6.4%	14.4%	0.1%	1.4%	679.6M	-4.54B	-72.2M	0.62	1.74	107,903	67,038	2,782,532	1,149,977
2012-08-06	$156.30	$155.00	15.7%	4.3%	10.8%	10.1%	15.4%	-0.4%	0.4%	673.5M	-5.52B	-73.1M	0.53	2.20	53,514	28,222	2,734,801	1,139,231
2012-08-07	$156.28	$155.00	15.2%	4.3%	9.6%	8.0%	15.7%	-0.3%	0.3%	701.1M	-5.48B	-72.1M	0.74	2.01	50,653	37,388	2,743,633	1,144,844
2012-08-08	$156.48	$155.00	13.5%	4.3%	9.5%	1.7%	15.2%	-0.3%	0.2%	731.9M	-5.51B	-70.4M	0.42	2.14	69,130	28,860	2,754,093	1,153,864
2012-08-09	$156.99	$155.00	13.0%	4.3%	9.4%	0.0%	16.0%	-0.1%	0.2%	832.9M	-6.22B	-72.2M	0.51	1.97	50,812	26,060	2,787,920	1,159,564
2012-08-10	$157.18	$155.00	12.6%	4.2%	8.8%	0.0%	15.3%	-0.0%	0.4%	874.6M	-6.54B	-71.7M	0.49	2.20	77,743	38,055	2,808,670	1,171,686
2012-08-13	$155.99	$155.00	12.6%	4.2%	9.4%	0.1%	15.0%	-0.1%	0.2%	679.9M	-4.82B	-68.0M	0.60	2.16	62,733	37,873	2,807,199	1,163,269
2012-08-14	$155.13	$155.00	11.8%	4.1%	9.4%	0.0%	14.7%	-0.1%	0.4%	563.7M	-3.78B	-66.6M	0.50	1.93	83,525	42,146	2,824,941	1,175,029
2012-08-15	$155.63	$155.00	11.0%	4.0%	9.4%	0.0%	14.5%	0.1%	0.6%	617.4M	-4.42B	-67.3M	0.17	1.84	147,628	25,211	2,842,688	1,187,168
2012-08-16	$156.56	$155.00	14.2%	4.1%	9.5%	10.8%	14.7%	-0.3%	0.6%	748.0M	-5.70B	-67.5M	0.41	2.06	109,566	45,468	2,859,913	1,190,903
2012-08-17	$156.72	$155.00	13.6%	3.9%	9.5%	8.8%	14.4%	-0.2%	0.6%	790.9M	-6.02B	-67.3M	0.51	1.97	96,342	49,000	2,894,575	1,212,864
2012-08-20	$157.26	$155.00	13.5%	3.9%	9.4%	8.4%	14.2%	-0.3%	0.7%	707.4M	-5.66B	-67.4M	0.47	1.80	77,100	36,171	2,615,669	949,462
2012-08-21	$158.83	$155.00	14.4%	4.1%	9.8%	11.5%	15.1%	-0.5%	0.6%	792.7M	-7.41B	-70.9M	0.49	1.95	129,178	62,704	2,639,467	967,601
2012-08-22	$160.54	$154.00	15.2%	4.4%	9.4%	14.5%	15.7%	-0.7%	0.6%	930.9M	-9.29B	-73.5M	0.48	2.58	141,613	67,373	2,692,254	1,002,332
2012-08-23	$161.89	$155.00	15.9%	4.6%	9.5%	16.7%	16.7%	-0.8%	0.5%	991.1M	-10.73B	-74.6M	0.31	1.95	274,567	84,047	2,724,151	1,010,831
2012-08-24	$161.97	$155.00	15.0%	4.3%	9.4%	13.9%	15.6%	-0.7%	0.5%	1.13B	-11.00B	-77.1M	0.39	2.30	115,890	45,537	2,823,499	1,046,679
2012-08-27	$161.36	$156.00	15.1%	4.4%	9.6%	14.0%	15.6%	-0.7%	0.5%	967.2M	-10.00B	-74.2M	0.71	3.02	63,961	45,656	2,804,261	1,043,811
2012-08-28	$161.64	$157.00	15.0%	4.3%	9.2%	13.5%	15.5%	-0.5%	0.3%	984.1M	-10.34B	-73.1M	0.55	2.24	72,019	39,914	2,833,389	1,066,212
2012-08-29	$160.59	$157.00	14.9%	4.3%	8.9%	13.2%	15.2%	0.0%	0.3%	934.4M	-8.95B	-72.0M	0.66	2.25	97,162	64,600	2,861,194	1,081,735
2012-08-30	$160.52	$157.00	15.6%	4.5%	8.4%	15.8%	16.8%	-0.4%	-0.1%	929.6M	-9.04B	-72.8M	0.59	2.65	125,032	74,220	2,905,481	1,104,036
2012-08-31	$164.22	$157.00	16.6%	4.8%	10.9%	19.1%	17.1%	-0.9%	-0.2%	1.35B	-13.91B	-76.4M	0.58	3.18	234,540	136,695	2,942,717	1,133,492