GLD Options History — October 2013

In October 2013, GLD traded between $122.60 and $130.56. ATM implied volatility averaged 20.8%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.2% (HV 20d: 23.0%). Max pain ranged from $125.00 to $130.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.00.

Notable Days

2013-10-01: Highest Volume — 304,413 contracts
2013-10-17: Largest IV drop — 9.0% change
2013-10-09: Highest IV Rank — 54.9%
2013-10-09: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.99	$122.60	$130.56	$124.59	$127.74
Max Pain	$127.27	$125.00	$130.00	$128.00	$130.00
ATM IV	20.8%	17.9%	23.8%	22.9%	18.0%
Expected Move	6.0%	5.1%	6.8%	6.6%	5.2%
HV 20d	23.0%	16.8%	27.9%	26.8%	17.7%
HV 60d	21.3%	20.4%	21.7%	21.4%	21.4%
IV Rank	42.4%	30.4%	54.9%	51.3%	30.8%
IV Percentile	69.1%	44.4%	92.1%	89.7%	44.4%
Term Structure	-0.4%	-1.1%	0.3%	-1.1%	0.1%
VWIV	21.3%	18.0%	24.8%	24.1%	18.1%
Skew 25d	2.8%	1.7%	3.7%	3.5%	2.8%
Skew 10d	5.5%	3.4%	7.6%	6.8%	5.4%
Call IV 25d	20.2%	17.3%	23.2%	22.1%	17.3%
Put IV 25d	23.0%	19.3%	26.1%	25.6%	20.0%
Bid-Ask Spread %	6.44	2.41	13.26	6.67	8.21
Gamma HHI	0.04	0.04	0.06	0.04	0.04
Net GEX	139.2M	-68.1M	352.0M	47.9M	78.0M
Net DEX	2.36B	-263.8M	5.57B	4.00B	2.42B
Net VEX	-52.4M	-56.5M	-47.9M	-51.0M	-51.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.47	1.79	1.23	1.14
Total Volume	157,175.913	82,352	304,413	304,413	118,749
Total OI	3,552,105.522	3,208,768	3,852,720	3,428,414	3,448,085

Daily Data (23 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
2013-10-01	$124.59	$128.00	22.9%	6.6%	26.8%	51.3%	24.1%	3.5%	-1.1%	47.9M	4.00B	-51.0M	1.23	6.67	136,300	168,113	2,164,707	1,263,707
2013-10-02	$127.06	$125.00	21.5%	6.2%	27.9%	45.3%	21.9%	3.4%	-0.6%	144.1M	2.45B	-55.3M	0.60	7.10	115,764	69,111	2,209,493	1,316,941
2013-10-03	$127.18	$125.50	22.2%	6.4%	27.3%	48.2%	22.6%	3.0%	-0.4%	173.8M	2.17B	-55.6M	0.59	8.00	89,643	52,960	2,256,432	1,323,585
2013-10-04	$126.53	$126.00	22.4%	6.4%	26.6%	49.2%	23.1%	3.5%	-0.6%	144.4M	2.64B	-54.9M	1.20	7.38	62,307	75,009	2,293,416	1,333,907
2013-10-07	$127.64	$126.00	22.7%	6.5%	27.0%	50.2%	22.8%	3.0%	-0.8%	233.5M	1.69B	-55.2M	1.05	7.19	50,649	53,011	2,270,259	1,310,676
2013-10-08	$127.40	$126.50	23.3%	6.7%	26.4%	52.7%	23.6%	3.3%	-0.7%	224.6M	1.81B	-56.5M	1.22	7.78	50,912	62,218	2,291,863	1,326,123
2013-10-09	$126.11	$127.00	23.8%	6.8%	26.6%	54.9%	24.8%	2.9%	-0.8%	127.3M	2.92B	-54.1M	0.93	8.63	108,936	101,087	2,305,700	1,347,814
2013-10-10	$124.27	$0.00	22.9%	6.6%	24.8%	51.0%	22.9%	3.4%	-0.3%	32.2M	4.25B	-51.0M	1.79	2.99	63,602	114,138	2,354,371	1,372,452
2013-10-11	$122.60	$126.50	23.2%	6.7%	25.2%	52.4%	24.0%	3.7%	-0.7%	-68.1M	5.57B	-48.7M	1.37	6.59	122,065	166,646	2,361,614	1,398,827
2013-10-14	$122.83	$128.00	23.6%	6.7%	25.0%	53.9%	23.9%	3.6%	-1.1%	-33.8M	5.11B	-47.9M	1.20	2.41	62,174	74,847	2,358,062	1,393,956
2013-10-15	$123.73	$128.00	23.1%	6.6%	25.2%	51.8%	23.9%	3.5%	-0.8%	-6.6M	4.60B	-49.8M	1.03	2.87	90,503	93,586	2,356,012	1,411,327
2013-10-16	$123.54	$127.00	21.9%	6.3%	19.2%	47.1%	22.6%	2.8%	-0.6%	-32.6M	4.82B	-48.8M	1.09	2.61	61,209	66,601	2,383,789	1,436,114
2013-10-17	$127.42	$127.00	20.0%	5.7%	22.7%	38.9%	20.6%	2.1%	0.2%	201.2M	1.92B	-51.7M	0.72	4.58	129,054	93,439	2,380,159	1,427,303
2013-10-18	$126.85	$127.00	19.0%	5.4%	20.3%	35.1%	19.3%	2.4%	0.3%	64.0M	2.50B	-49.6M	0.92	2.53	68,717	63,144	2,410,411	1,442,309
2013-10-21	$126.98	$126.00	19.5%	5.6%	20.3%	37.1%	19.5%	2.8%	-0.5%	102.1M	2.25B	-49.2M	0.96	4.94	65,413	62,652	2,007,282	1,201,486
2013-10-22	$129.34	$126.00	18.9%	5.4%	21.3%	34.6%	19.2%	2.2%	-0.2%	202.4M	743.1M	-51.9M	0.60	5.50	92,403	55,334	2,037,721	1,230,922
2013-10-23	$128.69	$127.00	18.6%	5.3%	21.2%	33.2%	19.3%	2.4%	-0.2%	194.4M	1.23B	-51.8M	0.70	6.89	60,739	42,579	2,068,141	1,242,293
2013-10-24	$129.90	$127.00	18.6%	5.4%	21.2%	33.4%	18.9%	1.9%	-0.4%	260.0M	186.5M	-53.2M	0.58	4.71	122,796	70,950	2,093,255	1,256,807
2013-10-25	$130.46	$127.00	17.9%	5.2%	21.0%	30.4%	18.6%	1.7%	-0.5%	352.0M	-263.8M	-54.8M	0.74	10.47	63,062	46,374	2,156,326	1,290,979
2013-10-28	$130.56	$129.50	17.9%	5.1%	20.9%	30.5%	18.0%	1.8%	0.1%	284.0M	-35.0M	-55.7M	0.47	8.10	74,494	35,185	2,138,083	1,266,880
2013-10-29	$129.77	$130.00	18.0%	5.1%	18.1%	30.9%	20.0%	2.4%	0.3%	251.8M	606.2M	-53.6M	1.60	8.81	31,654	50,698	2,120,789	1,263,258
2013-10-30	$129.60	$130.00	18.4%	5.3%	16.8%	32.6%	18.8%	2.6%	0.1%	225.6M	810.5M	-53.4M	1.21	13.26	70,733	85,486	2,103,898	1,270,893
2013-10-31	$127.74	$130.00	18.0%	5.2%	17.7%	30.8%	18.1%	2.8%	0.1%	78.0M	2.42B	-51.4M	1.14	8.21	55,557	63,192	2,130,413	1,317,672