GLD Options History — September 2013

In September 2013, GLD traded between $126.45 and $136.42. ATM implied volatility averaged 21.1%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.4% (HV 20d: 21.4%). Max pain ranged from $128.00 to $135.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.92.

Notable Days

2013-09-18: Highest Volume — 382,462 contracts
2013-09-12: Largest IV spike — 10.2% change
2013-09-05: Highest IV Rank — 53.0%
2013-09-05: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$130.19	$126.45	$136.42	$136.42	$128.18
Max Pain	$131.18	$128.00	$135.50	$133.50	$129.00
ATM IV	21.1%	19.2%	23.4%	22.6%	21.3%
Expected Move	6.0%	5.5%	6.7%	6.5%	6.1%
HV 20d	21.4%	16.3%	26.6%	16.5%	26.0%
HV 60d	22.8%	20.7%	24.7%	23.3%	20.7%
IV Rank	43.5%	35.9%	53.0%	49.8%	44.3%
IV Percentile	76.1%	57.9%	90.9%	88.1%	79.0%
Term Structure	-0.4%	-1.1%	0.3%	-0.7%	-0.6%
VWIV	21.5%	19.6%	24.6%	22.9%	21.8%
Skew 25d	2.4%	1.4%	3.5%	1.4%	2.4%
Skew 10d	3.8%	1.5%	7.4%	2.4%	4.7%
Call IV 25d	20.6%	18.8%	23.0%	23.0%	20.8%
Put IV 25d	23.0%	20.8%	25.4%	24.3%	23.3%
Bid-Ask Spread %	5.09	2.24	9.95	2.76	9.89
Gamma HHI	0.05	0.04	0.07	0.05	0.05
Net GEX	238.5M	97.4M	555.4M	364.2M	140.0M
Net DEX	951.9M	-4.18B	4.16B	-4.18B	1.92B
Net VEX	-60.8M	-71.1M	-54.3M	-71.1M	-55.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.41	1.52	0.67	0.83
Total Volume	183,008.4	91,009	382,462	132,459	138,838
Total OI	3,826,808	3,391,250	4,243,940	3,791,646	3,436,872

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
2013-09-03	$136.42	$133.50	22.6%	6.5%	16.5%	49.8%	22.9%	1.4%	-0.7%	364.2M	-4.18B	-71.1M	0.67	2.76	79,513	52,946	2,388,153	1,403,493
2013-09-04	$134.66	$135.50	22.3%	6.4%	16.3%	48.7%	22.6%	2.0%	-0.5%	334.9M	-2.56B	-69.6M	1.33	2.45	63,499	84,724	2,403,313	1,421,067
2013-09-05	$132.20	$135.00	23.4%	6.7%	18.2%	53.0%	23.4%	2.5%	-0.8%	215.2M	-216.6M	-66.9M	1.42	3.36	91,718	130,203	2,416,498	1,457,066
2013-09-06	$134.15	$133.50	21.6%	6.2%	17.4%	45.6%	21.5%	2.4%	-0.4%	357.8M	-2.05B	-68.6M	1.01	3.00	73,596	74,694	2,444,174	1,493,917
2013-09-09	$133.91	$134.00	19.9%	5.7%	17.5%	38.5%	21.1%	2.1%	-0.3%	364.4M	-1.80B	-66.2M	1.04	3.13	44,623	46,386	2,407,878	1,453,320
2013-09-10	$131.74	$134.00	20.9%	6.0%	17.8%	42.9%	20.9%	2.6%	-1.1%	270.4M	289.6M	-63.3M	1.07	5.62	58,384	62,457	2,418,974	1,471,428
2013-09-11	$131.70	$132.50	20.5%	5.9%	17.2%	41.2%	20.5%	2.6%	-0.6%	265.0M	349.2M	-63.1M	0.51	5.78	74,157	37,877	2,429,462	1,489,534
2013-09-12	$127.67	$0.00	22.6%	6.5%	20.4%	49.9%	24.6%	3.5%	-0.9%	97.4M	3.74B	-58.5M	0.61	8.70	190,632	115,476	2,457,551	1,496,625
2013-09-13	$127.82	$128.00	22.1%	6.4%	18.9%	47.8%	22.9%	3.4%	-0.6%	133.2M	3.45B	-59.3M	1.52	9.71	97,117	147,572	2,560,008	1,528,861
2013-09-16	$126.45	$130.00	22.6%	6.4%	18.9%	49.9%	22.8%	3.2%	-0.7%	121.2M	4.15B	-57.7M	0.93	3.75	60,024	56,115	2,544,838	1,509,525
2013-09-17	$126.50	$130.00	22.6%	6.4%	18.9%	50.0%	22.1%	3.3%	-1.0%	120.0M	4.16B	-56.9M	0.70	2.24	87,298	60,907	2,562,430	1,525,452
2013-09-18	$132.01	$130.00	21.0%	6.0%	24.7%	43.3%	21.9%	1.7%	-0.7%	495.3M	-1.31B	-63.3M	0.65	7.45	232,417	150,045	2,592,742	1,541,232
2013-09-19	$131.75	$130.00	19.4%	5.6%	24.6%	36.5%	20.4%	1.6%	0.1%	555.4M	-1.16B	-61.3M	1.08	2.40	126,993	136,996	2,614,666	1,558,806
2013-09-20	$127.96	$130.00	19.8%	5.7%	26.6%	38.3%	19.9%	2.1%	-0.0%	147.4M	3.52B	-56.0M	0.92	4.75	169,167	156,150	2,637,305	1,606,635
2013-09-23	$127.55	$129.50	20.0%	5.8%	25.8%	39.2%	20.4%	2.3%	-0.1%	109.6M	2.59B	-55.3M	1.00	4.19	72,513	72,278	2,104,237	1,287,013
2013-09-24	$127.66	$129.50	20.3%	5.8%	25.7%	40.2%	20.6%	2.4%	0.0%	114.8M	2.50B	-55.4M	1.06	3.63	50,453	53,540	2,124,898	1,304,668
2013-09-25	$128.79	$129.50	19.5%	5.6%	25.6%	36.9%	20.2%	2.0%	0.0%	171.9M	1.74B	-56.6M	0.60	4.92	78,444	47,200	2,128,157	1,312,903
2013-09-26	$127.79	$129.50	19.2%	5.5%	25.7%	35.9%	19.6%	2.3%	0.3%	121.6M	2.51B	-54.3M	1.12	4.13	83,060	92,976	2,151,832	1,322,664
2013-09-27	$128.97	$129.50	20.0%	5.7%	26.0%	39.1%	19.9%	2.1%	0.3%	270.6M	1.40B	-56.9M	0.41	9.95	148,383	60,797	2,183,184	1,344,779
2013-09-30	$128.18	$129.00	21.3%	6.1%	26.0%	44.3%	21.8%	2.4%	-0.6%	140.0M	1.92B	-55.0M	0.83	9.89	75,832	63,006	2,138,739	1,298,133