GLD Options History — February 2013

In February 2013, GLD traded between $151.44 and $162.39. ATM implied volatility averaged 13.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.9% (HV 20d: 10.2%). Max pain ranged from $155.00 to $163.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2013-02-15: Highest Volume — 447,540 contracts
  • 2013-02-20: Largest IV spike — 19.6% change
  • 2013-02-20: Highest IV Rank — 34.6%
  • 2013-02-20: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$157.60$151.44$162.39$161.45$153.00
Max Pain$160.00$155.00$163.00$161.00$160.00
ATM IV13.1%11.2%16.5%11.4%14.4%
Expected Move3.8%3.2%4.7%3.3%4.2%
HV 20d10.2%7.5%14.4%8.8%14.2%
HV 60d10.2%9.4%11.4%10.4%11.4%
IV Rank14.9%3.8%34.6%4.9%22.5%
IV Percentile24.9%2.4%62.7%3.2%38.5%
Term Structure-0.1%-1.0%0.3%0.2%-0.3%
VWIV13.5%11.5%16.6%11.7%14.5%
Skew 25d1.6%0.6%3.1%1.0%1.9%
Skew 10d3.5%1.3%5.6%2.0%4.0%
Call IV 25d12.8%11.3%15.5%11.3%14.0%
Put IV 25d14.4%12.2%18.5%12.3%15.9%
Bid-Ask Spread %5.802.4422.485.055.05
Gamma HHI0.050.040.090.050.04
Net GEX30.8M-402.1M539.9M262.9M-193.1M
Net DEX1.74B-3.29B6.70B-1.86B5.20B
Net VEX-62.5M-69.5M-52.4M-68.3M-59.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.491.290.820.95
Total Volume228,225.579114,638447,540179,084260,890
Total OI3,741,491.9473,493,2613,971,3063,655,8063,914,472

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$161.45$161.0011.4%3.3%8.8%4.9%11.7%1.0%0.2%262.9M-1.86B-68.3M0.825.0598,30980,7752,313,6031,342,203
2013-02-04$162.00$161.0011.8%3.4%8.7%7.5%12.1%0.9%-0.0%424.0M-2.57B-68.4M0.734.3081,69459,4232,256,0131,282,070
2013-02-05$161.96$161.0011.3%3.2%8.3%4.5%11.8%0.8%-0.0%418.4M-2.58B-67.4M0.554.80101,55356,1642,285,3351,309,447
2013-02-06$162.39$161.0011.5%3.3%8.0%5.7%12.1%0.6%-0.0%539.9M-3.29B-69.5M0.744.4590,96666,8942,328,2511,321,784
2013-02-07$161.84$0.0011.3%3.2%8.1%4.3%11.5%0.8%0.1%432.9M-2.25B-67.9M0.498.16167,52181,7172,358,9441,334,207
2013-02-08$161.57$163.0011.2%3.2%7.5%3.8%12.1%0.9%-0.1%401.2M-1.86B-68.2M0.805.8487,36570,2492,436,3481,350,749
2013-02-11$159.70$162.0012.2%3.4%8.3%9.4%12.9%1.5%0.2%12.2M921.5M-64.6M0.902.75107,15196,5122,431,1101,326,363
2013-02-12$159.89$162.0011.9%3.4%8.2%8.0%12.1%1.1%0.2%21.3M534.3M-65.0M1.122.6354,04360,5952,453,6161,355,703
2013-02-13$159.05$162.0012.3%3.5%8.0%10.5%12.6%1.7%0.1%-181.0M1.97B-62.7M0.842.44106,93889,9292,450,4761,363,767
2013-02-14$158.35$162.0012.6%3.6%8.0%12.2%13.6%2.2%0.1%-314.9M2.94B-61.4M0.852.63167,527142,9292,496,7131,375,660
2013-02-15$155.76$161.0013.4%3.8%9.4%16.9%14.0%1.8%0.3%-402.1M5.59B-58.7M1.292.78195,230252,3102,587,8051,383,501
2013-02-19$155.33$158.0013.8%4.0%9.4%18.8%13.9%3.1%-0.1%-129.3M3.88B-56.2M1.0612.9289,66595,3572,301,6331,191,628
2013-02-20$151.44$156.0016.5%4.7%12.1%34.6%16.1%3.1%-0.3%-261.5M6.70B-52.4M1.0522.48196,704205,8432,329,2251,228,923
2013-02-21$152.62$155.0014.6%4.2%12.8%23.9%15.1%2.6%-0.2%-223.3M5.91B-54.4M1.024.36164,633167,9692,408,0001,301,247
2013-02-22$152.97$155.0014.4%4.2%12.6%22.8%14.8%2.0%-0.2%-281.0M5.31B-58.2M0.775.38134,310103,4672,481,2751,355,248
2013-02-25$154.34$160.0016.0%4.6%13.3%31.6%16.6%1.5%-1.0%-27.6M3.41B-62.4M0.515.00101,78051,4802,445,1191,323,859
2013-02-26$156.22$160.0014.1%4.1%14.2%20.9%15.3%1.4%-0.5%119.4M1.56B-63.0M0.774.92149,855115,5522,468,3851,335,008
2013-02-27$154.57$160.0014.0%4.0%14.4%20.2%14.4%1.7%-0.5%-33.6M3.57B-60.1M0.734.23105,70777,2802,491,5621,369,095
2013-02-28$153.00$160.0014.4%4.2%14.2%22.5%14.5%1.9%-0.3%-193.1M5.20B-59.2M0.955.05133,966126,9242,517,8081,396,664