GLD Options History — August 2013

In August 2013, GLD traded between $123.97 and $136.75. ATM implied volatility averaged 20.3%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.6% (HV 20d: 17.7%). Max pain ranged from $127.00 to $137.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2013-08-15: Highest Volume — 292,814 contracts
2013-08-15: Largest IV spike — 8.1% change
2013-08-28: Highest IV Rank — 51.3%
2013-08-28: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$130.65	$123.97	$136.75	$126.61	$134.62
Max Pain	$130.00	$127.00	$137.00	$128.00	$136.00
ATM IV	20.3%	18.4%	23.0%	21.3%	21.3%
Expected Move	5.8%	5.3%	6.6%	6.1%	6.1%
HV 20d	17.7%	15.6%	20.2%	20.2%	16.4%
HV 60d	24.6%	23.6%	25.7%	25.5%	23.6%
IV Rank	40.3%	32.3%	51.3%	44.7%	44.5%
IV Percentile	76.4%	65.5%	90.1%	83.3%	82.1%
Term Structure	-0.0%	-0.7%	0.6%	-0.4%	0.6%
VWIV	20.8%	18.4%	23.7%	22.7%	22.1%
Skew 25d	2.8%	1.2%	4.8%	4.8%	1.8%
Skew 10d	6.0%	3.7%	9.7%	9.0%	3.7%
Call IV 25d	19.8%	17.4%	23.3%	20.1%	21.1%
Put IV 25d	22.5%	20.3%	25.0%	24.9%	22.9%
Bid-Ask Spread %	4.70	2.05	10.63	4.31	7.00
Gamma HHI	0.07	0.04	0.19	0.06	0.05
Net GEX	261.4M	26.4M	606.1M	104.0M	262.2M
Net DEX	-343.1M	-4.82B	4.39B	2.40B	-2.57B
Net VEX	-64.2M	-74.3M	-55.8M	-61.4M	-70.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.34	1.40	0.62	0.86
Total Volume	166,385.227	77,121	292,814	224,810	185,667
Total OI	3,695,875	3,442,638	3,883,539	3,643,975	3,855,057

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
2013-08-01	$126.61	$128.00	21.3%	6.1%	20.2%	44.7%	22.7%	4.8%	-0.4%	104.0M	2.40B	-61.4M	0.62	4.31	138,629	86,181	2,265,990	1,377,985
2013-08-02	$126.36	$128.00	21.3%	6.1%	18.1%	44.3%	22.0%	4.7%	-0.3%	26.4M	2.69B	-60.7M	0.89	3.73	77,992	69,211	2,287,007	1,413,713
2013-08-05	$125.70	$127.00	20.0%	5.7%	18.0%	39.2%	20.2%	4.4%	0.2%	119.3M	3.12B	-58.5M	1.40	4.54	47,034	65,751	2,260,133	1,339,300
2013-08-06	$123.97	$127.00	20.6%	5.9%	18.7%	41.8%	21.5%	4.7%	-0.1%	26.4M	4.39B	-55.9M	0.95	4.86	55,752	53,197	2,275,075	1,370,258
2013-08-07	$124.15	$127.00	19.9%	5.7%	18.7%	38.8%	20.7%	4.6%	0.2%	33.6M	4.28B	-55.8M	1.07	6.36	37,267	39,854	2,290,651	1,382,713
2013-08-08	$126.86	$127.00	18.6%	5.3%	17.8%	33.1%	18.5%	3.3%	0.4%	219.8M	2.20B	-58.7M	1.13	4.45	95,629	107,660	2,298,379	1,394,734
2013-08-09	$126.86	$127.00	18.4%	5.3%	17.8%	32.3%	18.4%	3.4%	0.4%	180.1M	2.26B	-58.7M	0.75	5.72	89,738	67,550	2,319,016	1,429,228
2013-08-12	$129.13	$127.00	18.8%	5.4%	18.8%	34.3%	18.4%	2.6%	0.2%	288.2M	418.3M	-61.6M	0.96	8.57	77,092	73,806	2,292,977	1,410,240
2013-08-13	$127.74	$127.00	18.4%	5.3%	19.2%	32.7%	18.7%	2.7%	0.3%	220.4M	1.69B	-59.9M	0.81	8.73	66,515	53,636	2,314,235	1,441,405
2013-08-14	$129.00	$127.00	18.4%	5.3%	18.8%	32.5%	19.4%	2.4%	0.2%	292.3M	694.6M	-60.9M	0.59	10.63	84,185	50,062	2,329,265	1,460,728
2013-08-15	$131.69	$0.00	19.9%	5.7%	19.8%	38.8%	20.4%	1.7%	-0.1%	341.8M	-1.79B	-64.6M	0.56	5.93	187,759	105,055	2,349,030	1,463,875
2013-08-16	$132.58	$130.00	20.3%	5.8%	19.8%	40.3%	20.7%	1.6%	-0.2%	374.5M	-2.71B	-66.0M	0.68	4.60	149,482	101,700	2,390,328	1,493,211
2013-08-19	$132.01	$130.00	21.3%	6.1%	17.2%	44.7%	21.9%	2.6%	-0.3%	243.2M	-757.5M	-64.4M	1.03	2.27	60,593	62,405	2,184,917	1,257,721
2013-08-20	$132.45	$130.00	21.0%	6.0%	17.1%	43.3%	20.9%	2.4%	-0.4%	259.0M	-1.01B	-65.2M	0.34	2.42	146,134	50,048	2,199,040	1,282,160
2013-08-21	$132.07	$130.00	20.4%	5.9%	15.8%	41.0%	21.0%	2.5%	-0.1%	307.8M	-989.5M	-65.6M	0.75	2.24	83,150	62,096	2,300,482	1,307,314
2013-08-22	$132.81	$130.00	19.8%	5.7%	15.6%	38.3%	20.8%	2.2%	0.5%	352.0M	-1.58B	-66.3M	0.88	2.05	66,972	58,836	2,314,755	1,322,737
2013-08-23	$134.90	$130.00	19.8%	5.6%	16.4%	38.3%	21.1%	1.6%	0.6%	606.1M	-3.48B	-69.6M	0.70	2.08	153,815	108,317	2,328,520	1,339,057
2013-08-26	$135.45	$134.00	21.1%	6.1%	16.3%	43.5%	21.3%	2.0%	-0.3%	365.7M	-3.61B	-70.8M	0.53	3.23	88,875	46,685	2,328,103	1,333,655
2013-08-27	$136.75	$135.00	21.3%	6.1%	16.3%	44.5%	21.8%	1.2%	-0.5%	410.3M	-4.82B	-73.2M	0.63	3.60	124,678	79,161	2,362,320	1,352,506
2013-08-28	$136.71	$136.00	23.0%	6.6%	16.3%	51.3%	23.7%	1.8%	-0.7%	373.0M	-4.67B	-74.3M	0.93	3.33	91,003	84,254	2,385,461	1,382,661
2013-08-29	$135.87	$137.00	21.4%	6.2%	15.9%	45.1%	22.1%	2.0%	-0.5%	343.8M	-3.72B	-71.3M	1.11	2.63	60,148	66,901	2,407,215	1,416,093
2013-08-30	$134.62	$136.00	21.3%	6.1%	16.4%	44.5%	22.1%	1.8%	0.6%	262.2M	-2.57B	-70.1M	0.86	7.00	100,005	85,662	2,419,478	1,435,579