GLD Options History — March 2013

In March 2013, GLD traded between $152.30 and $156.25. ATM implied volatility averaged 12.2%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.0% (HV 20d: 12.3%). Max pain ranged from $153.00 to $160.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2013-03-19: Highest Volume — 286,892 contracts
2013-03-08: Largest IV drop — 10.0% change
2013-03-04: Highest IV Rank — 22.9%
2013-03-01: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$154.13	$152.30	$156.25	$152.44	$154.47
Max Pain	$154.68	$153.00	$160.00	$160.00	$155.00
ATM IV	12.2%	10.9%	14.5%	14.4%	11.0%
Expected Move	3.5%	3.1%	4.2%	4.2%	3.2%
HV 20d	12.3%	7.0%	14.3%	14.1%	7.0%
HV 60d	11.2%	10.9%	11.4%	11.4%	10.9%
IV Rank	9.8%	1.8%	22.9%	22.5%	2.9%
IV Percentile	16.5%	0.8%	40.1%	39.3%	2.4%
Term Structure	0.1%	-0.3%	0.6%	-0.3%	0.3%
VWIV	12.6%	11.1%	16.0%	14.7%	11.3%
Skew 25d	1.2%	0.4%	2.0%	1.8%	1.0%
Skew 10d	2.4%	0.8%	4.1%	3.6%	2.2%
Call IV 25d	12.0%	10.8%	13.9%	13.9%	10.8%
Put IV 25d	13.2%	11.6%	15.8%	15.8%	11.7%
Bid-Ask Spread %	5.28	2.61	10.25	4.61	4.77
Gamma HHI	0.05	0.04	0.06	0.05	0.04
Net GEX	62.2M	-277.3M	408.1M	-277.3M	112.2M
Net DEX	2.49B	-1.56B	5.74B	5.71B	711.9M
Net VEX	-58.9M	-64.0M	-54.3M	-58.4M	-59.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.38	1.36	1.03	1.27
Total Volume	140,786.6	90,252	286,892	160,288	127,090
Total OI	3,630,097.95	2,887,556	4,197,227	4,001,859	3,235,798

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
2013-03-01	$152.44	$160.00	14.4%	4.2%	14.1%	22.5%	14.7%	1.8%	-0.3%	-277.3M	5.71B	-58.4M	1.03	4.61	78,778	81,510	2,565,034	1,436,825
2013-03-04	$152.30	$153.00	14.5%	4.1%	14.1%	22.9%	16.0%	2.0%	-0.2%	-226.5M	5.74B	-57.3M	1.26	5.41	42,826	53,922	2,515,460	1,403,258
2013-03-05	$152.38	$153.00	14.1%	4.1%	13.9%	21.1%	14.7%	1.9%	-0.3%	-243.6M	5.68B	-56.6M	1.36	8.09	49,128	66,882	2,531,081	1,421,813
2013-03-06	$153.23	$153.00	13.7%	3.9%	14.2%	18.5%	13.7%	1.5%	-0.2%	-179.5M	4.85B	-58.0M	1.06	10.25	75,950	80,467	2,548,696	1,433,121
2013-03-07	$152.69	$153.00	13.5%	3.9%	14.1%	17.5%	14.3%	1.4%	-0.3%	-213.8M	5.34B	-57.4M	1.05	7.34	54,216	57,126	2,586,468	1,451,059
2013-03-08	$152.71	$153.00	12.2%	3.5%	14.1%	9.5%	12.7%	1.6%	0.1%	-226.4M	5.50B	-55.1M	0.96	6.46	114,991	109,844	2,609,543	1,460,076
2013-03-11	$152.99	$153.00	11.9%	3.4%	14.2%	7.9%	12.0%	1.4%	0.0%	-137.8M	5.10B	-54.3M	0.77	5.59	51,917	39,770	2,604,184	1,413,833
2013-03-12	$154.19	$153.00	11.3%	3.2%	14.3%	4.1%	11.6%	1.1%	-0.0%	28.0M	3.77B	-55.3M	0.79	5.08	104,111	81,896	2,625,596	1,422,916
2013-03-13	$153.66	$153.00	11.3%	3.2%	14.3%	4.2%	12.1%	1.4%	-0.0%	30.1M	4.20B	-56.3M	0.96	4.85	60,352	57,758	2,671,894	1,440,931
2013-03-14	$153.68	$0.00	11.6%	3.3%	14.2%	6.3%	12.6%	1.5%	-0.1%	109.0M	4.08B	-56.9M	0.98	7.11	85,783	83,916	2,674,682	1,452,544
2013-03-15	$154.00	$153.00	11.5%	3.3%	14.3%	5.6%	11.8%	1.4%	-0.1%	265.1M	3.68B	-58.6M	0.71	7.93	61,957	44,004	2,705,636	1,491,591
2013-03-18	$155.38	$156.00	12.1%	3.5%	13.5%	9.3%	12.3%	1.1%	0.4%	206.9M	-258.9M	-60.4M	0.53	3.87	112,958	59,324	1,841,204	1,046,352
2013-03-19	$156.08	$156.00	13.1%	3.7%	13.6%	15.1%	13.6%	0.6%	0.4%	316.3M	-1.24B	-63.7M	0.38	2.64	207,988	78,904	1,900,635	1,070,024
2013-03-20	$155.37	$156.00	12.0%	3.4%	9.9%	8.7%	12.4%	0.9%	0.4%	318.5M	-611.2M	-62.3M	1.03	2.88	90,481	92,753	2,010,734	1,090,765
2013-03-21	$156.25	$156.00	11.9%	3.4%	9.7%	7.9%	12.2%	0.4%	0.3%	408.1M	-1.56B	-64.0M	0.45	2.70	69,998	31,185	2,048,801	1,139,215
2013-03-22	$155.55	$156.00	11.3%	3.2%	9.9%	4.5%	11.7%	0.8%	0.2%	255.8M	-771.8M	-62.6M	0.74	2.61	62,444	46,442	2,071,872	1,152,175
2013-03-25	$155.24	$156.00	11.3%	3.2%	9.5%	4.3%	11.3%	0.8%	0.5%	249.8M	-208.6M	-61.0M	0.74	4.34	51,984	38,268	2,032,793	1,115,884
2013-03-26	$154.72	$156.00	10.9%	3.1%	8.5%	2.1%	11.1%	1.0%	0.4%	180.5M	413.1M	-59.3M	1.11	4.48	44,840	49,997	2,045,264	1,129,568
2013-03-27	$155.36	$155.00	10.9%	3.1%	7.7%	1.8%	11.1%	0.8%	0.6%	269.0M	-276.2M	-61.4M	0.61	4.66	70,592	43,380	2,057,617	1,147,017
2013-03-28	$154.47	$155.00	11.0%	3.2%	7.0%	2.9%	11.3%	1.0%	0.3%	112.2M	711.9M	-59.9M	1.27	4.77	56,079	71,011	2,080,040	1,155,758