GLD Options History — December 2013

In December 2013, GLD traded between $114.82 and $121.82. ATM implied volatility averaged 18.3%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.7% (HV 20d: 19.0%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2013-12-19: Highest Volume — 263,339 contracts
2013-12-12: Largest IV spike — 13.5% change
2013-12-12: Highest IV Rank — 37.6%
2013-12-31: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.91	$114.82	$121.82	$117.58	$116.12
Max Pain	$121.29	$120.00	$125.00	$125.00	$120.00
ATM IV	18.3%	16.7%	19.6%	18.5%	19.3%
Expected Move	6.2%	6.1%	6.4%	6.2%	6.4%
HV 20d	19.0%	15.6%	20.6%	15.6%	18.8%
HV 60d	18.9%	17.1%	20.7%	20.4%	17.4%
IV Rank	31.9%	24.9%	37.6%	32.9%	36.1%
IV Percentile	43.5%	29.4%	56.0%	47.2%	52.0%
Term Structure	0.0%	-0.6%	0.5%	0.0%	-0.1%
VWIV	22.8%	21.2%	27.3%	21.5%	25.4%
Skew 25d	3.2%	2.5%	3.7%	3.5%	2.8%
Skew 10d	6.0%	4.1%	7.2%	7.2%	5.5%
Call IV 25d	17.5%	15.9%	18.7%	17.6%	18.7%
Put IV 25d	20.6%	18.4%	22.1%	21.1%	21.5%
Bid-Ask Spread %	5.70	3.91	8.00	4.05	6.88
Gamma HHI	0.07	0.05	0.22	0.07	0.06
Net GEX	-119.8M	-281.6M	-10.9M	-151.2M	-66.7M
Net DEX	6.08B	4.46B	8.65B	6.99B	4.67B
Net VEX	-37.5M	-41.9M	-33.4M	-35.9M	-35.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.46	1.80	1.80	0.61
Total Volume	127,581.19	37,741	263,339	159,467	174,044
Total OI	3,296,786.952	2,838,838	3,662,131	3,252,842	2,894,336

Daily Data (21 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
2013-12-02	$117.58	$125.00	18.5%	6.2%	15.6%	32.9%	21.5%	3.5%	0.0%	-151.2M	6.99B	-35.9M	1.80	4.05	56,963	102,504	2,011,365	1,241,477
2013-12-03	$117.96	$124.00	18.2%	6.1%	15.8%	31.8%	22.0%	3.5%	0.1%	-172.2M	7.00B	-36.6M	1.26	5.96	56,612	71,571	2,028,065	1,287,444
2013-12-04	$119.96	$124.00	18.2%	6.1%	17.4%	31.5%	24.7%	3.1%	-0.1%	-111.0M	5.90B	-39.8M	0.98	6.34	82,264	80,678	2,054,620	1,307,089
2013-12-05	$118.30	$124.00	19.2%	6.2%	17.6%	36.0%	21.2%	3.7%	-0.4%	-151.4M	6.86B	-38.0M	0.95	5.46	91,262	87,121	2,069,761	1,323,383
2013-12-06	$118.55	$124.00	17.5%	6.1%	17.6%	28.9%	22.1%	3.2%	0.1%	-148.1M	6.78B	-38.3M	1.16	6.18	61,843	71,831	2,090,751	1,344,962
2013-12-09	$119.72	$122.00	17.8%	6.1%	17.6%	29.8%	22.0%	3.1%	0.3%	-111.9M	6.02B	-39.2M	0.47	6.09	63,527	29,865	2,085,584	1,326,516
2013-12-10	$121.82	$122.00	16.9%	6.1%	18.9%	26.3%	22.7%	2.7%	0.1%	-61.9M	4.70B	-41.9M	0.90	7.60	59,786	53,528	2,113,201	1,331,581
2013-12-11	$120.86	$122.00	17.3%	6.1%	18.6%	27.9%	21.3%	2.7%	0.1%	-80.4M	5.28B	-40.9M	0.86	5.74	50,110	43,115	2,127,589	1,340,090
2013-12-12	$118.29	$120.00	19.6%	6.2%	20.0%	37.6%	22.3%	3.6%	-0.3%	-135.3M	6.79B	-39.1M	0.84	4.73	84,384	70,648	2,137,859	1,351,206
2013-12-13	$119.38	$120.00	19.4%	6.3%	19.8%	36.5%	21.8%	3.5%	-0.3%	-105.0M	6.10B	-40.5M	0.80	4.14	57,061	45,710	2,169,725	1,363,734
2013-12-16	$119.69	$120.00	19.2%	6.3%	19.8%	35.8%	22.9%	3.5%	-0.2%	-89.3M	5.89B	-40.3M	0.93	5.91	38,614	35,796	2,167,269	1,351,404
2013-12-17	$118.65	$120.00	19.0%	6.3%	19.7%	35.1%	22.0%	3.5%	-0.4%	-114.1M	6.56B	-38.5M	1.18	5.50	46,364	54,518	2,175,603	1,359,188
2013-12-18	$117.61	$120.00	19.0%	6.2%	19.8%	34.6%	27.3%	3.1%	-0.6%	-154.1M	7.24B	-36.8M	1.19	8.00	102,047	121,477	2,188,256	1,373,350
2013-12-19	$114.82	$120.00	19.2%	6.3%	19.9%	35.4%	23.0%	3.5%	0.1%	-235.0M	8.65B	-34.0M	1.09	7.18	125,701	137,638	2,194,112	1,391,273
2013-12-20	$115.94	$120.00	18.1%	6.3%	20.4%	30.9%	22.7%	3.5%	-0.0%	-281.6M	8.02B	-35.6M	1.19	5.16	82,346	98,359	2,252,856	1,409,275
2013-12-23	$115.57	$120.00	17.9%	6.3%	20.3%	30.3%	22.3%	3.1%	0.3%	-94.8M	5.06B	-35.4M	0.95	4.14	32,182	30,420	1,793,011	1,070,539
2013-12-24	$116.10	$120.00	17.6%	6.3%	20.4%	28.9%	22.4%	3.1%	0.5%	-84.0M	4.91B	-35.4M	1.34	4.89	16,154	21,587	1,801,215	1,080,484
2013-12-26	$116.74	$120.00	17.2%	6.3%	20.5%	27.3%	22.3%	2.8%	0.3%	-63.6M	4.62B	-35.7M	1.17	3.91	23,129	26,955	1,807,568	1,079,870
2013-12-27	$117.12	$120.00	16.7%	6.3%	20.5%	24.9%	22.5%	2.5%	0.4%	-10.9M	4.46B	-35.8M	0.46	5.22	48,134	21,915	1,811,254	1,086,823
2013-12-30	$115.39	$120.00	18.3%	6.4%	20.6%	31.6%	23.7%	2.6%	0.1%	-94.2M	5.14B	-33.4M	0.58	6.60	76,645	44,797	1,783,802	1,055,036
2013-12-31	$116.12	$120.00	19.3%	6.4%	18.8%	36.1%	25.4%	2.8%	-0.1%	-66.7M	4.67B	-35.2M	0.61	6.88	108,199	65,845	1,829,374	1,064,962