GLD Options History — January 2013

In January 2013, GLD traded between $159.43 and $163.67. ATM implied volatility averaged 11.8%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.6% (HV 20d: 10.3%). Max pain ranged from $160.00 to $163.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2013-01-03: Highest Volume — 412,281 contracts
2013-01-29: Largest IV drop — 7.5% change
2013-01-07: Highest IV Rank — 13.5%
2013-01-07: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$161.67	$159.43	$163.67	$163.17	$161.20
Max Pain	$161.70	$160.00	$163.00	$161.00	$162.00
ATM IV	11.8%	10.7%	12.9%	11.6%	11.6%
Expected Move	3.4%	3.1%	3.7%	3.3%	3.3%
HV 20d	10.3%	8.9%	11.3%	9.9%	9.8%
HV 60d	11.3%	10.4%	11.6%	11.2%	10.4%
IV Rank	7.6%	0.6%	13.5%	6.2%	6.3%
IV Percentile	7.7%	0.4%	17.9%	2.4%	5.2%
Term Structure	0.2%	-0.3%	0.6%	0.3%	0.2%
VWIV	12.3%	10.8%	13.0%	12.1%	11.9%
Skew 25d	0.8%	-0.1%	1.7%	0.3%	1.0%
Skew 10d	2.1%	0.4%	4.3%	0.7%	2.1%
Call IV 25d	11.8%	10.7%	13.1%	11.8%	11.6%
Put IV 25d	12.7%	11.3%	14.1%	12.1%	12.6%
Bid-Ask Spread %	4.30	2.41	5.98	5.19	5.81
Gamma HHI	0.06	0.05	0.13	0.06	0.05
Net GEX	327.2M	-403.5M	683.8M	521.2M	260.0M
Net DEX	-1.84B	-5.28B	1.78B	-3.81B	-1.17B
Net VEX	-63.3M	-68.1M	-55.5M	-57.8M	-67.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.41	1.24	0.49	0.94
Total Volume	236,111.429	105,074	412,281	181,291	258,174
Total OI	3,805,493.857	3,169,547	4,393,205	3,678,725	3,578,135

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
2013-01-02	$163.17	$161.00	11.6%	3.3%	9.9%	6.2%	12.1%	0.3%	0.3%	521.2M	-3.81B	-57.8M	0.49	5.19	122,002	59,289	2,314,208	1,364,517
2013-01-03	$161.20	$161.00	11.9%	3.4%	10.2%	8.1%	12.2%	0.9%	0.1%	231.2M	-651.4M	-55.5M	0.91	5.98	215,547	196,734	2,337,364	1,379,519
2013-01-04	$160.44	$162.00	12.2%	3.5%	10.3%	9.5%	12.4%	1.1%	-0.2%	-403.5M	921.7M	-56.9M	0.85	5.85	214,516	181,580	2,410,385	1,464,812
2013-01-07	$159.43	$161.00	12.9%	3.7%	10.3%	13.5%	12.7%	1.7%	-0.3%	-7.8M	1.78B	-56.2M	1.04	4.37	76,704	79,976	2,442,292	1,461,552
2013-01-08	$160.56	$160.00	12.0%	3.4%	10.6%	8.5%	12.1%	1.4%	-0.0%	81.0M	258.6M	-57.3M	0.77	4.03	99,643	76,440	2,457,688	1,501,361
2013-01-09	$160.49	$160.00	12.1%	3.5%	10.4%	9.1%	13.0%	1.4%	-0.0%	105.2M	407.8M	-58.8M	0.95	4.32	92,370	88,072	2,492,510	1,526,865
2013-01-10	$161.98	$0.00	11.7%	3.3%	11.1%	6.5%	12.1%	0.8%	-0.1%	383.2M	-2.30B	-62.0M	0.91	3.46	135,884	124,028	2,535,730	1,579,173
2013-01-11	$161.06	$162.00	12.0%	3.5%	11.2%	8.5%	12.1%	1.0%	-0.2%	436.3M	-511.6M	-61.6M	0.92	3.71	142,706	131,613	2,574,209	1,606,890
2013-01-14	$161.54	$162.00	11.9%	3.4%	11.0%	7.9%	12.3%	0.8%	0.5%	276.3M	-1.42B	-62.2M	0.68	2.73	62,695	42,379	2,568,094	1,602,856
2013-01-15	$162.56	$162.00	12.1%	3.5%	11.3%	9.0%	12.4%	0.5%	0.6%	518.7M	-3.41B	-64.1M	0.60	2.41	141,836	84,606	2,591,847	1,616,161
2013-01-16	$162.65	$162.00	12.4%	3.6%	11.3%	10.9%	13.0%	0.3%	0.6%	554.4M	-3.56B	-65.4M	0.56	2.69	127,042	71,455	2,623,625	1,636,648
2013-01-17	$163.35	$162.00	12.7%	3.6%	10.1%	12.5%	13.0%	0.2%	0.2%	671.4M	-5.28B	-68.1M	0.53	2.80	229,534	122,102	2,674,012	1,660,411
2013-01-18	$163.09	$162.00	11.9%	3.4%	10.1%	7.7%	12.5%	-0.1%	0.2%	683.8M	-4.88B	-67.2M	0.41	2.61	273,348	112,392	2,705,917	1,687,288
2013-01-22	$163.67	$163.00	11.0%	3.2%	8.9%	2.7%	11.7%	0.3%	0.6%	661.1M	-4.75B	-67.5M	0.41	4.45	150,608	61,885	2,042,707	1,126,840
2013-01-23	$163.21	$162.00	10.7%	3.1%	9.0%	0.6%	10.8%	0.6%	0.6%	616.8M	-4.15B	-68.0M	1.03	4.99	81,633	84,316	2,122,745	1,152,917
2013-01-24	$161.42	$162.00	11.2%	3.2%	9.9%	4.0%	11.7%	1.1%	0.2%	239.1M	-1.43B	-66.8M	1.24	4.64	94,674	117,075	2,152,397	1,182,688
2013-01-25	$160.65	$162.00	11.9%	3.4%	10.1%	7.9%	12.4%	1.4%	0.3%	112.4M	-436.7M	-67.2M	1.05	4.64	117,365	123,367	2,176,809	1,218,404
2013-01-28	$160.29	$162.00	12.4%	3.6%	10.1%	10.8%	12.6%	1.1%	-0.0%	161.2M	-262.3M	-65.4M	0.85	4.58	97,689	83,522	2,183,627	1,211,503
2013-01-29	$160.99	$162.00	11.5%	3.3%	10.1%	5.4%	11.7%	0.9%	0.3%	245.9M	-1.05B	-66.4M	0.70	5.15	78,277	54,980	2,194,616	1,253,261
2013-01-30	$162.19	$162.00	11.3%	3.2%	9.9%	4.2%	12.6%	0.7%	0.3%	524.3M	-2.99B	-67.9M	0.78	5.89	140,599	109,683	2,229,478	1,273,310
2013-01-31	$161.20	$162.00	11.6%	3.3%	9.8%	6.3%	11.9%	1.0%	0.2%	260.0M	-1.17B	-67.7M	0.94	5.81	132,745	125,429	2,269,070	1,309,065