GLD Options History — November 2013

In November 2013, GLD traded between $119.46 and $127.20. ATM implied volatility averaged 17.6%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.7% (HV 20d: 14.9%). Max pain ranged from $126.00 to $136.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-11-20: Highest Volume — 269,009 contracts
  • 2013-11-20: Largest IV spike — 19.0% change
  • 2013-11-20: Highest IV Rank — 40.9%
  • 2013-11-20: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.10$119.46$127.20$126.95$120.70
Max Pain$130.76$126.00$136.00$129.50$126.00
ATM IV17.6%16.3%20.4%17.9%16.6%
Expected Move5.8%4.9%6.2%5.1%6.1%
HV 20d14.9%11.7%17.8%17.8%13.3%
HV 60d20.5%20.1%21.0%21.0%20.1%
IV Rank29.2%23.6%40.9%30.3%25.1%
IV Percentile43.4%36.5%67.1%42.9%36.5%
Term Structure-0.0%-0.7%0.3%0.3%-0.1%
VWIV20.3%17.3%22.1%18.0%21.2%
Skew 25d3.0%2.4%3.7%2.9%2.8%
Skew 10d6.1%4.6%8.6%5.7%5.6%
Call IV 25d16.8%15.7%19.2%17.1%16.0%
Put IV 25d19.7%18.1%22.8%20.0%18.8%
Bid-Ask Spread %5.752.1812.249.324.74
Gamma HHI0.050.040.100.040.06
Net GEX-85.3M-181.5M65.6M43.5M-97.3M
Net DEX5.05B3.01B6.41B3.07B5.73B
Net VEX-44.0M-50.7M-39.0M-50.7M-40.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.481.451.191.05
Total Volume111,43245,038269,009150,41145,038
Total OI3,376,037.853,111,2283,576,3553,469,4763,298,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$126.95$129.5017.9%5.1%17.8%30.3%18.0%2.9%0.3%43.5M3.07B-50.7M1.199.3268,69781,7142,144,1841,325,292
2013-11-04$126.81$128.0017.5%5.0%17.5%28.8%18.3%3.0%0.2%58.4M3.13B-49.1M0.4811.7955,95326,8202,121,9131,299,519
2013-11-05$126.56$127.0017.4%5.0%17.5%28.3%18.5%3.0%0.2%34.3M3.38B-47.7M1.0512.2425,52226,7512,120,5291,303,406
2013-11-06$127.20$127.0017.0%4.9%17.2%26.5%17.8%2.7%0.3%65.6M3.01B-48.3M0.9311.0746,99043,6192,122,9511,312,052
2013-11-07$126.16$127.0017.6%5.0%16.5%29.2%17.3%2.9%0.0%-12.6M3.77B-47.9M1.379.6453,50973,4292,145,9001,337,513
2013-11-08$124.28$127.0017.0%4.9%16.7%26.8%17.8%2.9%0.3%-141.0M5.21B-45.1M1.4510.0456,26781,6782,162,6331,365,769
2013-11-11$123.87$0.0017.0%5.9%16.8%26.7%20.3%2.9%0.1%-153.6M5.30B-44.1M0.562.2047,42626,6982,138,5311,352,724
2013-11-12$122.45$135.0019.1%6.0%17.1%35.1%20.8%3.4%-0.1%-172.3M6.01B-43.5M1.422.6677,882110,5252,159,2881,347,155
2013-11-13$122.85$135.0018.0%6.0%17.1%30.7%20.9%2.9%0.0%-160.4M5.75B-44.7M0.773.1463,43049,0212,194,2131,376,145
2013-11-14$124.27$134.0017.4%6.1%13.4%28.2%21.0%2.6%-0.1%-79.3M4.71B-45.8M0.732.1875,71355,4962,184,1961,371,199
2013-11-15$124.32$134.0016.3%6.0%13.4%23.6%22.1%2.4%-0.0%4.1M4.74B-45.3M1.082.6344,12947,8392,196,3881,379,967
2013-11-18$122.90$134.0017.3%6.1%13.8%27.8%20.9%2.9%-0.2%-98.8M4.96B-42.9M1.032.7553,55355,1281,898,2071,213,021
2013-11-19$122.95$135.0017.2%6.1%11.7%27.4%21.7%2.9%-0.1%-104.6M4.99B-43.0M0.972.6925,92025,0471,910,2521,227,470
2013-11-20$120.12$136.0020.4%6.2%13.8%40.9%21.7%3.7%-0.7%-131.4M6.06B-40.9M0.933.69139,222129,7871,913,0061,221,400
2013-11-21$119.94$132.0019.0%6.2%13.0%34.8%21.5%3.1%-0.3%-162.8M6.32B-41.0M1.145.2666,49976,0141,980,5751,268,915
2013-11-22$119.92$132.0017.8%6.2%12.7%30.1%21.7%3.0%-0.1%-181.5M6.31B-39.8M1.133.7161,68169,9102,005,5831,271,781
2013-11-25$120.46$130.0017.6%6.1%13.0%29.2%21.4%3.1%-0.1%-130.2M5.90B-41.7M1.125.1646,65252,1922,017,1551,272,533
2013-11-26$119.82$130.0016.9%6.1%13.0%26.3%22.1%3.1%-0.1%-137.9M6.27B-39.1M0.754.0245,71334,0732,008,0591,260,705
2013-11-27$119.46$126.0017.3%6.1%12.9%27.8%21.7%3.1%-0.3%-148.5M6.41B-39.0M0.916.1133,00330,1002,024,7911,267,017
2013-11-29$120.70$126.0016.6%6.1%13.3%25.1%21.2%2.8%-0.1%-97.3M5.73B-40.0M1.054.7422,01023,0282,032,2211,266,599