GLD Options History — December 2012

In December 2012, GLD traded between $159.73 and $166.13. ATM implied volatility averaged 11.9%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.9% (HV 20d: 10.1%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2012-12-20: Highest Volume — 669,765 contracts
2012-12-18: Largest IV spike — 13.8% change
2012-12-28: Highest IV Rank — 14.5%
2012-12-28: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$163.17	$159.73	$166.13	$166.13	$162.02
Max Pain	$162.78	$160.00	$165.00	$165.00	$160.00
ATM IV	11.9%	10.5%	13.0%	11.5%	12.3%
Expected Move	3.4%	3.0%	3.7%	3.3%	3.5%
HV 20d	10.1%	8.9%	12.2%	11.6%	9.5%
HV 60d	11.4%	10.8%	12.6%	12.4%	11.1%
IV Rank	6.8%	0.0%	14.5%	2.7%	10.0%
IV Percentile	5.2%	0.0%	14.7%	0.8%	9.9%
Term Structure	0.2%	-0.2%	0.9%	0.4%	0.2%
VWIV	12.3%	10.7%	13.2%	11.8%	12.5%
Skew 25d	0.4%	-0.1%	0.9%	0.4%	0.3%
Skew 10d	1.2%	0.3%	2.8%	1.0%	0.7%
Call IV 25d	12.1%	10.9%	13.1%	11.6%	12.6%
Put IV 25d	12.6%	10.8%	13.9%	12.1%	12.9%
Bid-Ask Spread %	4.75	1.97	16.10	2.28	5.87
Gamma HHI	0.08	0.05	0.42	0.07	0.42
Net GEX	352.9M	-234.4M	2.11B	595.1M	2.11B
Net DEX	-2.74B	-7.25B	3.17B	-6.63B	-2.11B
Net VEX	-58.4M	-62.6M	-53.7M	-57.8M	-59.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.44	1.17	0.55	0.56
Total Volume	240,151.85	64,778	669,765	135,814	229,193
Total OI	4,222,881.3	3,746,449	4,889,993	3,962,144	3,897,793

Daily Data (20 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
2012-12-03	$166.13	$165.00	11.5%	3.3%	11.6%	2.7%	11.8%	0.4%	0.4%	595.1M	-6.63B	-57.8M	0.55	2.28	87,656	48,158	2,588,900	1,373,244
2012-12-04	$164.42	$165.00	12.0%	3.5%	12.2%	6.0%	12.5%	0.5%	0.0%	391.1M	-4.14B	-57.3M	0.72	3.06	150,386	108,991	2,610,956	1,394,298
2012-12-05	$164.12	$165.00	12.0%	3.4%	10.2%	6.0%	13.0%	0.6%	0.2%	376.8M	-3.95B	-58.2M	0.79	2.85	136,888	108,548	2,667,435	1,424,589
2012-12-06	$164.50	$0.00	12.1%	3.5%	10.2%	6.6%	12.2%	0.3%	0.3%	418.1M	-4.74B	-59.5M	0.68	16.10	128,600	87,216	2,727,809	1,468,578
2012-12-07	$165.17	$164.00	11.9%	3.4%	9.7%	5.4%	12.1%	0.2%	0.4%	633.2M	-5.94B	-61.0M	0.79	4.90	155,395	122,875	2,776,854	1,493,659
2012-12-10	$165.80	$164.00	12.2%	3.5%	9.9%	7.2%	12.7%	0.2%	0.4%	683.7M	-7.25B	-62.6M	0.78	3.76	36,365	28,413	2,805,810	1,513,540
2012-12-11	$165.65	$165.00	12.3%	3.5%	9.9%	7.9%	12.5%	0.3%	0.1%	631.3M	-6.76B	-61.2M	1.04	3.68	70,734	73,829	2,803,592	1,521,948
2012-12-12	$165.77	$165.00	11.7%	3.3%	9.8%	3.8%	11.8%	0.2%	0.2%	652.5M	-6.89B	-61.1M	0.70	4.29	199,876	139,288	2,822,051	1,564,038
2012-12-13	$164.37	$0.00	11.6%	3.3%	10.3%	3.7%	12.0%	0.3%	-0.2%	172.6M	-3.83B	-59.6M	0.69	6.31	140,452	97,397	2,848,778	1,601,507
2012-12-14	$164.13	$164.00	11.1%	3.2%	10.1%	0.2%	11.3%	0.3%	0.0%	-115.9M	-3.40B	-58.3M	0.91	6.88	56,202	50,890	2,854,635	1,625,803
2012-12-17	$164.44	$163.00	10.5%	3.0%	10.1%	0.0%	10.7%	-0.1%	0.9%	311.6M	-4.11B	-56.3M	0.56	2.05	108,544	60,742	2,799,008	1,575,309
2012-12-18	$162.08	$163.00	12.0%	3.4%	10.1%	8.6%	12.3%	0.4%	0.4%	-51.2M	-382.7M	-55.1M	0.99	2.67	212,195	209,748	2,847,561	1,596,360
2012-12-19	$161.69	$163.00	11.8%	3.4%	10.1%	7.5%	12.4%	0.6%	0.5%	-181.4M	291.1M	-56.4M	1.17	2.32	114,636	134,099	2,913,480	1,655,898
2012-12-20	$159.73	$162.00	12.6%	3.6%	10.7%	12.3%	13.1%	0.9%	-0.1%	-234.4M	3.17B	-53.7M	0.71	2.52	391,930	277,835	2,935,251	1,670,207
2012-12-21	$160.33	$162.00	12.1%	3.5%	9.6%	8.9%	12.5%	0.8%	-0.2%	78.6M	1.67B	-57.9M	0.86	1.97	182,998	156,986	3,126,019	1,763,974
2012-12-24	$160.62	$160.00	11.7%	3.4%	9.7%	6.9%	12.0%	0.4%	0.2%	74.2M	311.8M	-58.2M	0.90	7.30	34,458	30,889	2,332,792	1,413,657
2012-12-26	$160.78	$160.00	11.6%	3.3%	9.8%	6.2%	11.9%	0.6%	0.1%	100.6M	224.6M	-56.0M	1.06	4.15	80,299	84,855	2,345,325	1,411,551
2012-12-27	$161.16	$160.00	12.5%	3.6%	9.1%	11.2%	12.9%	0.9%	0.2%	261.4M	-723.5M	-59.1M	0.80	4.12	137,360	109,750	2,371,591	1,435,802
2012-12-28	$160.54	$160.00	13.0%	3.7%	8.9%	14.5%	13.2%	0.8%	0.2%	150.1M	445.3M	-59.1M	0.44	7.98	152,064	66,297	2,410,667	1,467,357
2012-12-31	$162.02	$160.00	12.3%	3.5%	9.5%	10.0%	12.5%	0.3%	0.2%	2.11B	-2.11B	-59.6M	0.56	5.87	146,722	82,471	2,443,755	1,454,038