GLD Options History — November 2012

In November 2012, GLD traded between $162.60 and $169.61. ATM implied volatility averaged 13.7%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.4% (HV 20d: 13.3%). Max pain ranged from $160.00 to $169.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2012-11-02: Highest Volume — 442,799 contracts
2012-11-07: Largest IV drop — 35.7% change
2012-11-06: Highest IV Rank — 71.8%
2012-11-06: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.88	$162.60	$169.61	$166.07	$166.05
Max Pain	$163.20	$160.00	$169.00	$167.00	$165.00
ATM IV	13.7%	11.2%	23.0%	14.0%	11.6%
Expected Move	3.8%	3.2%	4.4%	3.7%	3.3%
HV 20d	13.3%	9.7%	14.1%	9.7%	14.0%
HV 60d	12.7%	11.5%	13.2%	11.5%	12.4%
IV Rank	15.5%	0.7%	71.8%	15.3%	3.2%
IV Percentile	12.7%	0.4%	90.9%	7.5%	0.8%
Term Structure	-0.1%	-0.2%	0.5%	0.3%	0.5%
VWIV	13.6%	11.4%	15.8%	13.4%	11.9%
Skew 25d	0.2%	-0.3%	0.8%	0.2%	0.7%
Skew 10d	0.5%	-0.8%	3.0%	0.6%	1.7%
Call IV 25d	13.5%	11.3%	15.8%	13.1%	11.5%
Put IV 25d	13.6%	11.7%	16.2%	13.4%	12.2%
Bid-Ask Spread %	2.38	1.53	4.17	1.69	2.73
Gamma HHI	0.07	0.05	0.08	0.06	0.07
Net GEX	618.8M	65.8M	912.8M	451.4M	491.8M
Net DEX	-7.75B	-11.00B	-1.95B	-6.30B	-6.34B
Net VEX	-60.0M	-65.1M	-56.1M	-57.9M	-59.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.39	1.12	1.03	1.12
Total Volume	208,305.905	103,716	442,799	191,013	283,335
Total OI	3,950,482.81	3,472,195	4,376,654	3,829,379	3,941,694

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
2012-11-01	$166.07	$167.00	14.0%	3.7%	9.7%	15.3%	13.4%	0.2%	0.3%	451.4M	-6.30B	-57.9M	1.03	1.69	93,927	97,086	2,557,692	1,271,687
2012-11-02	$162.60	$167.00	15.8%	4.2%	11.7%	25.2%	15.1%	0.8%	-0.1%	65.8M	-1.95B	-59.4M	0.85	1.60	239,294	203,505	2,591,266	1,326,744
2012-11-05	$163.23	$160.00	21.2%	4.4%	11.4%	53.5%	15.7%	0.2%	-0.2%	219.1M	-3.31B	-61.5M	0.84	2.29	111,637	93,603	2,674,505	1,347,122
2012-11-06	$166.30	$160.00	23.0%	4.4%	13.7%	71.8%	15.8%	0.3%	-0.2%	585.0M	-7.42B	-65.1M	0.84	2.30	226,421	189,912	2,712,060	1,383,220
2012-11-07	$166.49	$160.00	14.8%	4.2%	13.8%	22.6%	15.4%	0.2%	-0.2%	567.0M	-7.87B	-64.2M	0.83	2.26	132,716	109,767	2,762,911	1,456,800
2012-11-08	$167.99	$160.00	14.9%	4.4%	14.1%	23.4%	15.7%	-0.1%	-0.2%	864.2M	-10.22B	-64.8M	0.86	1.77	105,312	90,970	2,781,522	1,454,066
2012-11-09	$167.82	$160.00	13.1%	4.1%	14.1%	12.4%	14.9%	-0.1%	-0.0%	875.0M	-9.74B	-63.2M	0.70	1.87	99,020	69,543	2,788,577	1,475,965
2012-11-12	$167.45	$160.00	13.6%	4.1%	14.1%	15.6%	14.7%	-0.1%	0.0%	740.2M	-8.77B	-61.1M	0.39	1.92	109,753	43,129	2,756,350	1,426,324
2012-11-13	$167.10	$160.00	12.4%	3.9%	13.9%	8.1%	14.6%	-0.1%	0.1%	715.8M	-8.45B	-60.8M	0.57	1.77	75,709	43,369	2,801,425	1,444,244
2012-11-14	$167.14	$160.00	13.3%	3.9%	13.5%	13.6%	14.1%	0.1%	-0.1%	708.2M	-8.40B	-60.9M	0.83	1.75	85,422	71,047	2,807,790	1,458,658
2012-11-15	$166.09	$0.00	13.1%	3.8%	13.4%	12.4%	13.4%	0.4%	-0.1%	442.6M	-6.59B	-59.5M	0.89	3.74	127,033	112,459	2,833,458	1,479,303
2012-11-16	$165.88	$169.00	12.3%	3.5%	13.4%	7.4%	12.6%	0.4%	-0.1%	353.0M	-6.42B	-58.5M	1.01	4.11	122,100	123,012	2,868,783	1,507,871
2012-11-19	$167.87	$160.00	12.4%	3.5%	14.1%	8.3%	13.1%	-0.2%	-0.2%	707.1M	-8.79B	-58.3M	0.61	1.53	95,372	58,103	2,292,881	1,179,314
2012-11-20	$167.39	$160.00	12.1%	3.5%	13.5%	6.2%	12.6%	-0.2%	-0.2%	663.4M	-8.18B	-58.1M	0.67	1.73	76,387	50,951	2,322,278	1,208,564
2012-11-21	$167.56	$161.00	11.7%	3.4%	13.5%	4.3%	12.1%	-0.2%	-0.0%	711.5M	-8.45B	-58.6M	0.72	1.65	60,283	43,433	2,355,699	1,225,191
2012-11-23	$169.61	$162.00	12.1%	3.5%	13.2%	6.3%	12.7%	-0.3%	-0.1%	912.8M	-11.00B	-59.3M	0.64	1.80	71,139	45,175	2,377,542	1,249,555
2012-11-26	$169.43	$169.00	11.6%	3.3%	13.2%	3.7%	11.7%	-0.2%	-0.1%	858.9M	-10.52B	-56.1M	0.56	3.05	73,620	41,023	2,372,348	1,241,721
2012-11-27	$168.71	$169.00	12.0%	3.4%	13.1%	5.7%	12.1%	0.5%	-0.1%	787.6M	-9.41B	-57.8M	0.66	3.10	71,558	46,926	2,409,481	1,262,797
2012-11-28	$166.55	$168.00	11.9%	3.4%	14.0%	5.5%	12.3%	0.6%	-0.1%	559.9M	-6.69B	-57.1M	0.65	4.17	177,117	115,800	2,435,239	1,272,799
2012-11-29	$167.18	$167.00	11.2%	3.2%	13.9%	0.7%	11.4%	0.4%	-0.1%	714.4M	-7.97B	-57.7M	0.82	3.19	158,585	129,871	2,528,190	1,316,503
2012-11-30	$166.05	$165.00	11.6%	3.3%	14.0%	3.2%	11.9%	0.7%	0.5%	491.8M	-6.34B	-59.7M	1.12	2.73	133,954	149,381	2,588,300	1,353,394