GLD Options History — April 2013

In April 2013, GLD traded between $131.31 and $154.67. ATM implied volatility averaged 19.0%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 7.8% (HV 20d: 26.8%). Max pain ranged from $136.50 to $155.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.04.

Notable Days

2013-04-15: Highest Volume — 845,224 contracts
2013-04-15: Largest IV spike — 75.1% change
2013-04-15: Highest IV Rank — 100.0%
2013-04-15: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$143.62	$131.31	$154.67	$154.67	$142.77
Max Pain	$147.33	$136.50	$155.00	$155.00	$142.00
ATM IV	19.0%	11.6%	34.7%	11.6%	19.8%
Expected Move	5.4%	3.3%	9.7%	3.3%	5.6%
HV 20d	26.8%	6.9%	41.3%	6.9%	41.2%
HV 60d	18.7%	10.8%	25.3%	10.8%	25.3%
IV Rank	37.4%	6.3%	100.0%	6.3%	38.2%
IV Percentile	70.0%	10.3%	100.0%	10.3%	88.5%
Term Structure	-1.3%	-6.3%	0.2%	0.2%	-1.2%
VWIV	19.3%	12.1%	32.8%	12.1%	20.0%
Skew 25d	3.2%	0.8%	5.9%	0.8%	3.6%
Skew 10d	6.3%	1.6%	10.8%	1.6%	7.2%
Call IV 25d	17.8%	11.6%	31.2%	11.6%	18.5%
Put IV 25d	21.0%	12.4%	37.1%	12.4%	22.1%
Bid-Ask Spread %	5.48	2.91	9.91	5.53	6.12
Gamma HHI	0.04	0.03	0.05	0.04	0.03
Net GEX	-73.3M	-267.5M	195.2M	195.2M	-20.1M
Net DEX	5.15B	50.3M	11.42B	50.3M	3.04B
Net VEX	-55.3M	-63.2M	-41.9M	-60.4M	-62.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.50	1.47	0.91	0.89
Total Volume	266,820.909	62,888	845,224	62,888	127,709
Total OI	3,558,846.818	3,042,988	4,300,308	3,042,988	3,746,335

Daily Data (22 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
2013-04-01	$154.67	$155.00	11.6%	3.3%	6.9%	6.3%	12.1%	0.8%	0.2%	195.2M	50.3M	-60.4M	0.91	5.53	32,917	29,971	1,977,075	1,065,913
2013-04-02	$152.43	$152.50	12.3%	3.5%	8.7%	10.1%	12.3%	1.6%	0.2%	-57.0M	2.23B	-56.3M	1.35	5.49	69,649	94,162	1,982,130	1,076,967
2013-04-03	$150.73	$153.00	13.8%	4.0%	9.6%	18.9%	13.6%	2.0%	-0.3%	-217.3M	3.63B	-54.9M	1.03	6.84	173,549	179,320	2,003,722	1,109,574
2013-04-04	$150.29	$152.00	14.5%	4.2%	9.4%	23.3%	15.4%	2.4%	-0.2%	-202.5M	3.92B	-56.0M	1.09	4.45	108,592	118,657	2,079,028	1,156,243
2013-04-05	$152.81	$151.50	12.9%	3.7%	11.2%	13.6%	13.0%	1.7%	0.0%	69.0M	1.42B	-60.4M	0.50	5.18	143,716	72,320	2,121,267	1,202,290
2013-04-08	$152.16	$152.00	13.0%	3.7%	11.3%	14.2%	12.9%	1.7%	-0.3%	10.1M	2.11B	-58.4M	1.10	5.13	47,999	53,008	2,116,473	1,167,895
2013-04-09	$153.34	$152.50	12.3%	3.5%	11.6%	10.1%	13.3%	1.4%	-0.1%	138.1M	899.4M	-61.0M	0.78	5.94	56,142	43,822	2,119,546	1,180,755
2013-04-10	$150.75	$152.50	14.2%	4.1%	12.7%	21.4%	14.2%	2.2%	-0.5%	-151.7M	3.45B	-57.6M	1.36	5.38	81,428	110,666	2,129,929	1,195,796
2013-04-11	$151.05	$0.00	14.0%	4.0%	12.7%	20.3%	14.6%	2.2%	-0.3%	-186.8M	3.13B	-59.3M	0.52	8.76	146,922	76,526	2,154,036	1,228,046
2013-04-12	$143.95	$152.00	19.8%	5.8%	21.1%	54.3%	19.8%	3.7%	-1.0%	-267.5M	7.97B	-51.4M	1.47	9.91	282,834	415,231	2,256,406	1,245,157
2013-04-15	$131.31	$153.00	34.7%	9.7%	37.7%	100.0%	32.8%	5.9%	-6.3%	-166.7M	11.42B	-41.9M	1.06	7.54	409,395	435,829	2,332,532	1,324,794
2013-04-16	$132.80	$151.00	27.7%	7.8%	37.9%	70.8%	27.7%	4.3%	-4.7%	-173.3M	11.16B	-43.8M	1.36	5.70	175,713	239,001	2,512,143	1,451,765
2013-04-17	$132.87	$150.00	24.5%	7.0%	37.7%	57.7%	24.4%	5.2%	-2.9%	-178.1M	11.20B	-45.1M	1.01	4.85	143,503	144,471	2,578,216	1,512,240
2013-04-18	$134.30	$150.00	22.8%	6.5%	38.3%	50.5%	23.3%	4.3%	-0.6%	-135.6M	10.40B	-46.9M	0.62	3.51	186,648	115,060	2,614,276	1,535,458
2013-04-19	$135.47	$149.00	22.6%	6.5%	38.4%	49.8%	23.3%	4.5%	-1.1%	-64.4M	9.44B	-51.7M	0.91	3.77	113,604	103,285	2,727,191	1,573,117
2013-04-22	$137.90	$137.00	21.3%	6.1%	39.5%	44.3%	21.6%	4.5%	-1.7%	-56.9M	5.82B	-54.5M	1.15	3.68	103,653	119,364	2,232,726	1,288,982
2013-04-23	$136.88	$137.00	21.8%	6.3%	39.4%	46.7%	21.9%	4.5%	-1.7%	-75.9M	6.37B	-53.2M	1.16	2.91	74,185	85,896	2,252,398	1,312,518
2013-04-24	$138.37	$136.50	20.1%	5.8%	39.9%	39.6%	22.1%	3.7%	-1.4%	-49.0M	5.52B	-54.5M	1.45	4.45	54,834	79,263	2,278,728	1,339,767
2013-04-25	$141.63	$136.50	20.2%	5.8%	41.1%	39.9%	21.8%	3.3%	-0.7%	6.4M	3.33B	-60.1M	0.95	4.40	169,404	161,772	2,295,537	1,366,693
2013-04-26	$140.91	$137.00	22.5%	6.6%	41.1%	49.5%	23.2%	3.7%	-1.3%	-13.2M	3.54B	-63.2M	1.07	6.30	163,725	175,705	2,340,268	1,424,750
2013-04-29	$142.30	$142.00	21.2%	6.0%	41.3%	44.1%	21.6%	3.5%	-1.6%	-15.5M	3.19B	-62.8M	1.05	4.76	73,289	77,321	2,287,197	1,398,751
2013-04-30	$142.77	$142.00	19.8%	5.6%	41.2%	38.2%	20.0%	3.6%	-1.2%	-20.1M	3.04B	-62.4M	0.89	6.12	67,742	59,967	2,313,915	1,432,420