GLD Options History — October 2012

In October 2012, GLD traded between $164.86 and $173.61. ATM implied volatility averaged 14.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.1% (HV 20d: 10.5%). Max pain ranged from $162.00 to $168.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.78.

Notable Days

2012-10-19: Highest Volume — 302,958 contracts
2012-10-05: Largest IV drop — 16.9% change
2012-10-03: Highest IV Rank — 27.7%
2012-10-04: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$169.43	$164.86	$173.61	$172.30	$166.83
Max Pain	$166.48	$162.00	$168.00	$162.00	$167.00
ATM IV	14.6%	12.5%	19.1%	17.7%	14.6%
Expected Move	4.1%	3.7%	4.4%	4.3%	3.8%
HV 20d	10.5%	8.8%	13.0%	12.9%	9.6%
HV 60d	11.4%	11.1%	11.8%	11.4%	11.5%
IV Rank	16.4%	7.7%	27.7%	23.0%	18.5%
IV Percentile	12.8%	0.8%	63.5%	48.0%	11.5%
Term Structure	0.8%	0.4%	1.2%	0.8%	0.7%
VWIV	14.6%	13.3%	16.1%	15.5%	13.4%
Skew 25d	-0.0%	-0.6%	0.6%	0.1%	0.5%
Skew 10d	0.2%	-0.9%	1.1%	0.4%	1.1%
Call IV 25d	14.5%	13.0%	15.9%	15.4%	13.2%
Put IV 25d	14.5%	13.3%	15.6%	15.4%	13.8%
Bid-Ask Spread %	1.62	1.36	2.35	1.58	1.82
Gamma HHI	0.07	0.06	0.11	0.08	0.07
Net GEX	845.2M	252.8M	1.33B	1.18B	553.5M
Net DEX	-11.46B	-17.82B	-5.24B	-16.07B	-7.07B
Net VEX	-67.3M	-76.2M	-59.9M	-75.2M	-59.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.36	1.03	0.78	0.87
Total Volume	176,427.905	100,714	302,958	158,358	102,276
Total OI	3,956,450.048	3,505,738	4,241,846	3,876,962	3,795,617

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
2012-10-01	$172.30	$162.00	17.7%	4.3%	12.9%	23.0%	15.5%	0.1%	0.8%	1.18B	-16.07B	-75.2M	0.78	1.58	89,198	69,160	2,725,363	1,151,599
2012-10-02	$172.10	$163.00	16.7%	4.1%	13.0%	19.4%	14.9%	-0.2%	1.2%	1.19B	-15.67B	-75.5M	0.86	1.60	80,799	69,703	2,734,275	1,164,817
2012-10-03	$172.41	$164.00	19.1%	4.3%	12.9%	27.7%	15.2%	-0.1%	0.7%	1.18B	-16.00B	-73.6M	0.47	1.57	93,858	43,995	2,743,894	1,194,114
2012-10-04	$173.61	$164.00	16.7%	4.4%	13.0%	22.0%	15.7%	-0.1%	0.8%	1.33B	-17.82B	-76.2M	0.74	1.69	117,393	86,741	2,779,327	1,207,565
2012-10-05	$172.62	$166.00	13.9%	4.3%	11.2%	13.6%	15.5%	-0.6%	0.4%	1.24B	-16.27B	-73.8M	0.99	1.62	119,389	118,101	2,791,881	1,245,612
2012-10-08	$172.05	$167.00	15.5%	4.4%	11.0%	22.0%	16.1%	-0.6%	0.5%	1.20B	-15.46B	-71.9M	0.80	1.70	55,928	44,786	2,780,957	1,216,120
2012-10-09	$170.99	$167.00	15.0%	4.2%	11.3%	19.4%	15.2%	-0.4%	0.7%	1.08B	-13.96B	-70.2M	0.69	1.55	106,358	73,907	2,794,678	1,239,268
2012-10-10	$170.84	$167.00	12.5%	4.1%	11.3%	7.7%	14.9%	-0.2%	0.8%	1.03B	-13.50B	-68.8M	0.87	1.58	67,347	58,560	2,800,049	1,264,151
2012-10-11	$171.32	$167.00	14.4%	4.1%	8.8%	17.5%	14.7%	-0.3%	0.8%	1.12B	-14.25B	-68.0M	0.82	1.36	62,974	51,704	2,819,429	1,281,625
2012-10-12	$170.06	$167.00	14.5%	4.2%	9.1%	18.1%	14.9%	0.1%	0.9%	637.6M	-12.03B	-67.4M	1.00	1.62	90,835	90,860	2,825,012	1,298,357
2012-10-15	$168.35	$168.00	14.3%	4.1%	9.3%	17.2%	14.7%	0.1%	0.9%	670.3M	-9.85B	-64.4M	0.87	1.50	123,362	107,166	2,802,750	1,281,355
2012-10-16	$169.42	$168.00	14.0%	4.0%	9.2%	15.5%	14.3%	-0.0%	0.8%	799.6M	-11.53B	-64.9M	0.36	1.90	144,995	52,058	2,829,184	1,307,265
2012-10-17	$169.54	$168.00	13.5%	3.9%	9.2%	12.9%	13.8%	-0.0%	0.9%	817.7M	-11.70B	-64.0M	0.73	1.56	77,859	57,210	2,847,342	1,322,895
2012-10-18	$168.79	$168.00	13.4%	3.8%	9.3%	12.5%	13.7%	-0.1%	0.8%	611.2M	-10.54B	-63.7M	0.52	1.64	116,696	61,018	2,860,330	1,341,207
2012-10-19	$166.97	$168.00	13.7%	3.9%	9.8%	13.8%	14.1%	0.2%	0.7%	252.8M	-7.42B	-62.8M	1.03	2.35	148,979	153,979	2,879,321	1,362,525
2012-10-22	$167.58	$167.00	13.2%	3.8%	9.9%	11.3%	13.7%	0.2%	0.8%	605.4M	-7.82B	-62.4M	0.60	1.43	92,440	55,126	2,395,631	1,110,107
2012-10-23	$165.43	$167.00	14.1%	4.0%	10.7%	16.0%	14.5%	0.6%	0.4%	459.1M	-5.78B	-61.4M	0.68	1.43	169,637	115,176	2,453,328	1,129,805
2012-10-24	$164.86	$167.00	13.9%	4.0%	10.7%	14.8%	14.2%	0.2%	0.9%	420.2M	-5.24B	-62.1M	0.99	1.40	117,446	115,938	2,548,440	1,175,437
2012-10-25	$166.02	$167.00	13.5%	3.9%	9.4%	12.9%	14.0%	0.2%	0.8%	576.0M	-6.50B	-63.5M	0.84	1.52	79,406	66,892	2,536,338	1,232,782
2012-10-26	$165.93	$167.00	12.8%	3.7%	9.4%	9.4%	13.3%	0.3%	1.0%	792.6M	-6.22B	-62.6M	0.86	1.62	83,505	72,226	2,554,274	1,261,425
2012-10-31	$166.83	$167.00	14.6%	3.8%	9.6%	18.5%	13.4%	0.5%	0.7%	553.5M	-7.07B	-59.9M	0.87	1.82	54,649	47,627	2,536,909	1,258,708