GLD Options History — June 2013

In June 2013, GLD traded between $115.94 and $136.53. ATM implied volatility averaged 22.3%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.5% (HV 20d: 24.9%). Max pain ranged from $120.00 to $139.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.98.

Notable Days

2013-06-28: Highest Volume — 546,671 contracts
2013-06-20: Largest IV spike — 35.7% change
2013-06-27: Highest IV Rank — 83.2%
2013-06-27: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$129.63	$115.94	$136.53	$136.51	$119.11
Max Pain	$133.00	$120.00	$139.00	$135.50	$120.00
ATM IV	22.3%	18.4%	30.7%	19.6%	29.7%
Expected Move	6.4%	5.3%	8.8%	5.6%	8.6%
HV 20d	24.9%	19.1%	30.7%	24.3%	30.7%
HV 60d	29.0%	27.8%	32.1%	27.8%	32.1%
IV Rank	48.8%	32.3%	83.2%	37.5%	79.2%
IV Percentile	88.1%	77.8%	99.6%	81.3%	99.2%
Term Structure	-0.8%	-2.4%	-0.1%	-0.9%	-0.9%
VWIV	22.6%	18.4%	31.8%	19.2%	31.8%
Skew 25d	4.8%	3.3%	6.7%	3.3%	5.3%
Skew 10d	9.9%	6.8%	13.5%	6.8%	9.8%
Call IV 25d	20.6%	17.2%	28.3%	18.4%	27.9%
Put IV 25d	25.4%	20.9%	35.0%	21.7%	33.2%
Bid-Ask Spread %	5.09	2.56	12.05	3.67	10.57
Gamma HHI	0.07	0.04	0.36	0.04	0.08
Net GEX	-187.2M	-455.9M	-62.7M	-62.7M	-71.7M
Net DEX	8.11B	5.30B	12.37B	5.30B	7.91B
Net VEX	-46.6M	-55.2M	-34.6M	-54.0M	-44.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.62	1.71	1.30	0.67
Total Volume	227,868.8	106,219	546,671	215,996	546,671
Total OI	3,653,119.2	2,970,850	3,986,632	3,582,002	3,593,406

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
2013-06-03	$136.51	$135.50	19.6%	5.6%	24.3%	37.5%	19.2%	3.3%	-0.9%	-62.7M	5.30B	-54.0M	1.30	3.67	93,832	122,164	2,154,553	1,427,449
2013-06-04	$135.23	$135.50	20.4%	5.8%	24.4%	41.0%	20.7%	3.8%	-0.8%	-146.5M	6.46B	-54.2M	0.97	4.38	59,079	57,036	2,185,299	1,498,729
2013-06-05	$135.52	$136.00	20.3%	5.8%	24.2%	40.4%	20.4%	4.0%	-0.9%	-135.6M	6.34B	-53.8M	0.80	4.41	76,455	60,867	2,204,277	1,522,888
2013-06-06	$136.53	$136.00	20.2%	5.8%	23.7%	39.9%	20.1%	3.9%	-1.1%	-76.3M	5.60B	-55.2M	0.87	3.99	103,047	90,113	2,218,127	1,532,979
2013-06-07	$133.28	$136.50	21.3%	6.1%	24.7%	44.6%	21.7%	5.0%	-0.8%	-290.7M	8.03B	-51.5M	1.14	4.32	119,116	135,220	2,245,969	1,562,860
2013-06-10	$133.94	$136.00	20.2%	5.8%	24.8%	39.7%	20.5%	4.6%	-0.8%	-203.4M	7.45B	-51.2M	0.62	4.13	65,486	40,733	2,211,977	1,530,213
2013-06-11	$133.25	$135.00	20.9%	6.0%	24.7%	42.7%	20.5%	5.0%	-0.6%	-214.3M	7.91B	-49.7M	0.91	5.40	61,299	55,867	2,236,415	1,539,551
2013-06-12	$134.25	$135.00	19.6%	5.6%	24.9%	37.6%	18.4%	4.3%	-0.6%	-171.7M	7.26B	-51.0M	0.82	5.58	74,952	61,820	2,252,039	1,551,831
2013-06-13	$133.74	$0.00	20.1%	5.8%	23.5%	39.3%	21.2%	4.7%	-0.7%	-189.7M	7.60B	-49.9M	1.07	4.83	59,458	63,784	2,272,542	1,569,714
2013-06-14	$134.43	$132.50	18.4%	5.3%	23.5%	32.3%	18.7%	3.7%	-0.2%	-80.4M	7.14B	-49.7M	0.85	7.54	73,493	62,637	2,288,662	1,586,559
2013-06-17	$133.77	$139.00	18.6%	5.3%	22.0%	33.5%	19.4%	3.6%	-0.2%	-220.3M	7.55B	-49.2M	1.11	2.56	58,857	65,172	2,261,376	1,545,514
2013-06-18	$132.13	$139.00	20.0%	5.7%	19.6%	39.0%	20.6%	4.2%	-0.5%	-265.3M	8.62B	-46.8M	1.13	2.82	69,955	78,865	2,284,678	1,569,196
2013-06-19	$130.59	$138.00	19.7%	5.6%	19.1%	37.7%	19.8%	4.3%	-0.6%	-319.7M	9.64B	-44.8M	1.36	3.23	80,574	109,440	2,301,093	1,585,683
2013-06-20	$123.60	$138.00	26.7%	7.7%	27.1%	66.8%	27.2%	6.3%	-0.3%	-247.6M	12.37B	-38.3M	1.71	2.86	171,001	292,143	2,299,585	1,594,380
2013-06-21	$125.05	$137.00	24.1%	6.9%	26.3%	55.9%	24.5%	5.5%	-0.1%	-455.9M	11.51B	-40.8M	1.05	2.80	124,521	130,226	2,371,484	1,615,148
2013-06-24	$123.93	$125.00	24.4%	7.0%	26.3%	57.5%	25.9%	6.2%	-1.4%	-154.7M	8.15B	-38.4M	1.04	5.55	72,643	75,604	1,745,407	1,225,443
2013-06-25	$123.47	$125.00	23.1%	6.6%	26.3%	52.1%	23.3%	5.3%	-1.2%	-164.0M	8.34B	-37.7M	0.80	5.51	77,573	62,094	1,782,055	1,244,189
2013-06-26	$118.28	$125.00	28.8%	8.3%	29.2%	75.6%	28.5%	6.6%	-2.4%	-163.2M	9.48B	-34.6M	0.66	5.62	315,575	207,670	1,830,437	1,264,125
2013-06-27	$115.94	$123.00	30.7%	8.8%	28.5%	83.2%	30.2%	6.7%	-0.5%	-110.2M	9.57B	-36.8M	0.68	12.05	287,491	194,843	2,033,312	1,323,240
2013-06-28	$119.11	$120.00	29.7%	8.6%	30.7%	79.2%	31.8%	5.3%	-0.9%	-71.7M	7.91B	-44.7M	0.67	10.57	327,981	218,690	2,211,115	1,382,291