GLD Options History — September 2012

In September 2012, GLD traded between $164.31 and $172.34. ATM implied volatility averaged 17.3%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.9% (HV 20d: 13.4%). Max pain ranged from $157.00 to $162.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.54.

Notable Days

2012-09-13: Highest Volume — 628,865 contracts
2012-09-12: Largest IV drop — 24.5% change
2012-09-11: Highest IV Rank — 55.5%
2012-09-12: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$169.55	$164.31	$172.34	$164.48	$171.89
Max Pain	$159.84	$157.00	$162.00	$158.00	$162.00
ATM IV	17.3%	14.6%	27.1%	16.7%	15.3%
Expected Move	4.7%	4.2%	5.3%	4.8%	4.3%
HV 20d	13.4%	10.9%	14.8%	10.9%	14.8%
HV 60d	13.3%	11.8%	14.6%	13.4%	11.8%
IV Rank	21.7%	12.4%	55.5%	19.4%	14.9%
IV Percentile	30.7%	6.0%	88.9%	25.8%	13.1%
Term Structure	0.7%	-0.5%	1.2%	-0.3%	1.0%
VWIV	17.0%	15.0%	19.4%	17.6%	15.2%
Skew 25d	-0.8%	-1.7%	0.1%	-1.5%	-0.1%
Skew 10d	-1.4%	-3.3%	0.4%	-2.8%	-0.2%
Call IV 25d	17.2%	14.9%	19.3%	18.0%	15.3%
Put IV 25d	16.5%	15.1%	18.4%	16.5%	15.2%
Bid-Ask Spread %	2.24	1.48	5.03	3.73	1.83
Gamma HHI	0.09	0.06	0.47	0.06	0.08
Net GEX	1.43B	1.06B	3.74B	1.24B	1.29B
Net DEX	-18.11B	-22.87B	-13.52B	-14.07B	-16.79B
Net VEX	-75.0M	-77.6M	-72.0M	-75.0M	-77.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.32	0.77	0.51	0.77
Total Volume	296,005.316	181,223	628,865	212,083	204,776
Total OI	4,334,883.316	3,744,992	4,938,892	4,072,770	4,115,664

Daily Data (19 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
2012-09-04	$164.48	$158.00	16.7%	4.8%	10.9%	19.4%	17.6%	-1.5%	-0.3%	1.24B	-14.07B	-75.0M	0.51	3.73	140,076	72,007	2,944,696	1,128,074
2012-09-05	$164.31	$158.00	17.1%	4.9%	10.9%	20.8%	18.7%	-1.0%	-0.5%	1.21B	-13.79B	-75.5M	0.62	5.03	113,104	69,840	2,984,311	1,158,679
2012-09-06	$164.89	$158.00	17.0%	4.8%	10.9%	20.6%	17.4%	-0.9%	-0.2%	1.30B	-14.38B	-74.0M	0.46	3.17	226,078	104,393	3,012,053	1,194,855
2012-09-07	$168.44	$159.00	18.0%	5.0%	12.8%	24.0%	18.3%	-1.4%	-0.1%	1.34B	-19.06B	-75.4M	0.41	4.02	317,870	130,437	3,041,599	1,230,805
2012-09-10	$167.29	$157.00	21.9%	5.0%	13.3%	37.5%	17.9%	-1.7%	0.7%	1.25B	-17.11B	-75.3M	0.40	1.60	140,419	55,470	3,057,025	1,237,846
2012-09-11	$167.90	$158.00	27.1%	5.2%	12.7%	55.5%	19.4%	-1.3%	0.5%	1.20B	-17.16B	-75.6M	0.46	1.83	207,041	95,385	3,027,322	1,263,782
2012-09-12	$167.92	$158.00	20.5%	5.3%	12.3%	32.6%	18.9%	-0.9%	0.3%	1.13B	-16.69B	-74.7M	0.52	1.95	234,663	122,574	3,030,043	1,309,297
2012-09-13	$171.31	$159.00	17.3%	5.0%	13.5%	21.5%	17.7%	-1.2%	0.6%	1.46B	-22.05B	-74.2M	0.67	1.94	375,839	253,026	3,119,151	1,374,954
2012-09-14	$171.80	$160.00	16.4%	4.7%	13.5%	18.5%	16.7%	-0.7%	1.1%	1.72B	-22.87B	-76.4M	0.43	1.82	229,797	99,952	3,237,516	1,485,494
2012-09-17	$170.40	$160.00	16.8%	4.8%	14.2%	19.8%	17.3%	-0.4%	0.8%	1.35B	-20.11B	-74.1M	0.58	2.15	190,413	110,799	3,194,350	1,410,846
2012-09-18	$171.72	$160.00	16.7%	4.8%	14.3%	19.6%	17.1%	-0.7%	0.9%	1.43B	-22.12B	-75.0M	0.32	1.48	221,135	71,398	3,264,556	1,451,389
2012-09-19	$171.74	$160.00	16.4%	4.7%	14.2%	18.4%	17.0%	-0.8%	0.7%	1.45B	-22.39B	-76.1M	0.33	1.62	192,018	62,631	3,321,236	1,473,058
2012-09-20	$171.47	$161.00	15.8%	4.5%	14.1%	16.6%	16.1%	-0.5%	1.2%	1.46B	-22.07B	-75.8M	0.58	1.76	136,336	79,205	3,389,056	1,500,461
2012-09-21	$171.96	$161.00	15.6%	4.5%	14.0%	15.9%	15.8%	-0.6%	1.2%	3.74B	-22.81B	-74.9M	0.64	1.73	209,034	133,869	3,406,273	1,532,619
2012-09-24	$171.05	$162.00	15.4%	4.4%	14.3%	14.9%	15.8%	-0.4%	1.2%	1.14B	-15.07B	-73.8M	0.56	1.79	135,632	76,247	2,651,256	1,093,736
2012-09-25	$170.77	$162.00	15.1%	4.3%	14.2%	14.1%	15.5%	-0.3%	1.1%	1.14B	-14.77B	-73.3M	0.59	1.76	113,783	67,440	2,714,269	1,116,224
2012-09-26	$169.81	$162.00	14.6%	4.2%	14.5%	12.4%	15.0%	0.1%	1.0%	1.06B	-13.52B	-72.0M	0.77	1.57	195,611	149,844	2,737,003	1,143,251
2012-09-27	$172.34	$162.00	15.3%	4.4%	14.7%	14.5%	15.6%	-0.2%	1.1%	1.31B	-17.19B	-76.0M	0.54	1.76	186,234	99,725	2,800,147	1,209,887
2012-09-28	$171.89	$162.00	15.3%	4.3%	14.8%	14.9%	15.2%	-0.1%	1.0%	1.29B	-16.79B	-77.6M	0.77	1.83	115,774	89,002	2,859,978	1,255,686