GLD Options History — May 2013

In May 2013, GLD traded between $131.07 and $142.46. ATM implied volatility averaged 21.8%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 6.2% (HV 20d: 28.0%). Max pain ranged from $134.00 to $150.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.27.

Notable Days

2013-05-17: Highest Volume — 389,493 contracts
2013-05-15: Largest IV spike — 15.8% change
2013-05-15: Highest IV Rank — 65.7%
2013-05-15: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$136.99	$131.07	$142.46	$141.11	$133.92
Max Pain	$143.29	$134.00	$150.00	$142.00	$149.00
ATM IV	21.8%	18.0%	26.4%	20.8%	20.7%
Expected Move	6.2%	5.2%	7.6%	6.0%	6.0%
HV 20d	28.0%	16.8%	41.4%	41.2%	23.0%
HV 60d	26.2%	25.4%	27.4%	25.4%	27.4%
IV Rank	46.4%	30.8%	65.7%	42.5%	42.0%
IV Percentile	90.9%	79.0%	98.4%	91.3%	85.3%
Term Structure	-0.9%	-2.7%	-0.1%	-1.8%	-0.7%
VWIV	22.4%	17.8%	28.7%	21.6%	21.3%
Skew 25d	4.4%	3.0%	6.3%	3.9%	4.2%
Skew 10d	8.0%	2.2%	11.9%	7.9%	2.2%
Call IV 25d	20.2%	16.5%	24.5%	19.4%	19.5%
Put IV 25d	24.6%	20.4%	30.7%	23.4%	23.6%
Bid-Ask Spread %	8.39	2.57	15.88	8.00	15.26
Gamma HHI	0.04	0.03	0.12	0.03	0.05
Net GEX	-129.4M	-307.9M	17.6M	-68.0M	-118.5M
Net DEX	6.30B	3.52B	11.21B	4.31B	7.00B
Net VEX	-55.9M	-60.4M	-48.5M	-59.6M	-51.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.77	2.21	1.63	1.16
Total Volume	217,007.545	109,632	389,493	246,125	186,038
Total OI	3,847,400	3,447,422	4,228,658	3,762,208	3,698,425

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
2013-05-01	$141.11	$142.00	20.8%	6.0%	41.2%	42.5%	21.6%	3.9%	-1.8%	-68.0M	4.31B	-59.6M	1.63	8.00	93,452	152,673	2,313,413	1,448,795
2013-05-02	$141.92	$141.00	19.8%	5.7%	41.4%	38.3%	19.4%	3.9%	-0.2%	-35.3M	3.73B	-60.2M	0.77	12.00	94,293	72,298	2,342,865	1,492,806
2013-05-03	$142.09	$142.00	18.4%	5.3%	40.8%	32.3%	19.3%	3.4%	-0.1%	-46.7M	3.54B	-59.6M	2.12	10.84	84,501	179,301	2,382,360	1,507,366
2013-05-06	$142.15	$142.00	18.0%	5.2%	40.8%	30.8%	19.0%	3.8%	-0.6%	-42.1M	3.75B	-59.2M	1.60	8.02	71,775	114,941	2,339,732	1,513,079
2013-05-07	$140.38	$142.00	19.9%	5.7%	40.7%	38.8%	19.8%	4.9%	-0.8%	-134.8M	5.14B	-58.1M	2.21	7.15	61,980	136,677	2,369,803	1,581,069
2013-05-08	$142.46	$142.00	18.3%	5.2%	40.9%	32.0%	17.8%	4.2%	-0.3%	-10.1M	3.52B	-60.4M	1.12	10.86	76,568	85,509	2,386,309	1,626,981
2013-05-09	$140.81	$142.00	19.2%	5.5%	41.0%	35.9%	21.1%	4.7%	-0.6%	-112.1M	4.99B	-58.8M	1.15	11.98	90,317	103,542	2,417,626	1,650,127
2013-05-10	$139.60	$142.00	22.0%	6.3%	37.6%	47.2%	22.7%	6.1%	-1.7%	-185.6M	5.93B	-59.4M	1.46	10.83	153,398	224,233	2,449,251	1,690,417
2013-05-13	$138.43	$139.00	22.6%	6.5%	17.0%	49.7%	24.0%	5.4%	-1.4%	-133.7M	6.55B	-56.9M	1.31	10.11	57,697	75,803	2,449,533	1,576,074
2013-05-14	$137.81	$139.00	22.8%	6.5%	16.8%	50.8%	25.0%	5.7%	-1.6%	-155.3M	6.93B	-56.9M	1.69	7.64	61,196	103,363	2,462,302	1,595,733
2013-05-15	$134.63	$139.00	26.4%	7.6%	19.0%	65.7%	28.7%	6.3%	-2.7%	-256.8M	9.03B	-54.5M	1.62	9.55	137,938	222,988	2,483,848	1,627,123
2013-05-16	$134.09	$0.00	24.0%	6.9%	18.7%	55.8%	23.8%	4.7%	-1.2%	-306.8M	9.53B	-53.1M	1.10	4.85	103,781	113,818	2,519,547	1,681,485
2013-05-17	$131.07	$134.00	25.4%	7.4%	20.1%	61.6%	24.5%	4.9%	-1.6%	-307.9M	11.21B	-48.5M	1.78	15.88	140,308	249,185	2,540,471	1,688,187
2013-05-20	$135.12	$145.00	23.7%	6.7%	22.1%	54.3%	23.8%	3.6%	-0.5%	-131.3M	6.43B	-54.7M	0.84	3.89	158,954	133,437	2,049,380	1,398,042
2013-05-21	$132.88	$145.00	24.2%	6.9%	22.7%	56.5%	24.3%	4.5%	-0.2%	-147.9M	7.57B	-51.9M	0.86	2.78	105,250	90,230	2,121,810	1,432,754
2013-05-22	$131.94	$145.00	24.5%	7.0%	22.3%	57.5%	24.3%	4.6%	-0.1%	-168.1M	7.96B	-52.1M	0.97	2.57	145,045	140,057	2,158,766	1,452,456
2013-05-23	$134.61	$145.00	22.9%	6.6%	21.8%	51.1%	23.5%	4.0%	-0.2%	-83.4M	6.35B	-55.3M	0.98	2.66	80,885	79,346	2,184,789	1,479,243
2013-05-24	$133.76	$145.00	22.4%	6.4%	21.8%	48.9%	22.3%	3.6%	-0.1%	-201.3M	6.98B	-54.5M	1.00	3.43	54,813	54,819	2,198,340	1,493,575
2013-05-28	$133.49	$150.00	22.9%	6.6%	21.3%	50.9%	24.8%	3.7%	-1.5%	-130.3M	6.87B	-52.9M	0.84	14.49	110,297	92,290	2,120,962	1,407,410
2013-05-29	$134.83	$150.00	20.8%	6.0%	21.7%	42.4%	21.6%	3.0%	-1.2%	-87.9M	6.24B	-53.6M	0.85	5.33	68,777	58,124	2,180,406	1,452,164
2013-05-30	$136.70	$149.00	19.4%	5.6%	22.2%	36.6%	19.8%	3.4%	-0.3%	17.6M	4.98B	-56.8M	0.96	6.52	78,654	75,615	2,209,975	1,468,001
2013-05-31	$133.92	$149.00	20.7%	6.0%	23.0%	42.0%	21.3%	4.2%	-0.7%	-118.5M	7.00B	-51.9M	1.16	15.26	86,305	99,733	2,216,116	1,482,309