GLD Options History — January 2014

In January 2014, GLD traded between $118.00 and $122.47. ATM implied volatility averaged 15.9%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.5% (HV 20d: 16.4%). Max pain ranged from $119.00 to $120.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2014-01-23: Highest Volume — 192,051 contracts
2014-01-24: Largest IV spike — 9.6% change
2014-01-02: Highest IV Rank — 31.7%
2014-01-02: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.05	$118.00	$122.47	$118.00	$120.09
Max Pain	$119.76	$119.00	$120.00	$120.00	$119.00
ATM IV	15.9%	13.5%	18.3%	18.3%	16.5%
Expected Move	5.8%	5.5%	6.2%	6.2%	5.7%
HV 20d	16.4%	13.2%	19.6%	19.6%	16.4%
HV 60d	17.0%	16.0%	17.8%	17.6%	17.3%
IV Rank	21.5%	11.8%	31.7%	31.7%	23.8%
IV Percentile	25.2%	16.3%	40.9%	40.9%	25.4%
Term Structure	-0.0%	-0.4%	0.8%	-0.1%	-0.0%
VWIV	20.7%	19.5%	23.8%	22.0%	20.0%
Skew 25d	2.2%	1.7%	2.6%	2.4%	2.3%
Skew 10d	4.5%	3.5%	5.6%	4.1%	4.5%
Call IV 25d	15.4%	13.2%	17.8%	17.8%	16.0%
Put IV 25d	17.6%	15.2%	20.2%	20.2%	18.2%
Bid-Ask Spread %	5.32	3.47	7.23	4.38	3.47
Gamma HHI	0.05	0.04	0.07	0.05	0.04
Net GEX	63.1M	-24.1M	175.3M	32.0M	56.0M
Net DEX	2.07B	-287.8M	3.90B	3.57B	1.05B
Net VEX	-36.9M	-38.9M	-35.1M	-36.1M	-37.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.55	1.74	0.96	0.58
Total Volume	103,604.476	50,144	192,051	141,805	156,366
Total OI	2,533,812.476	1,934,558	2,991,745	2,800,039	2,182,412

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
2014-01-02	$118.00	$120.00	18.3%	6.2%	19.6%	31.7%	22.0%	2.4%	-0.1%	32.0M	3.57B	-36.1M	0.96	4.38	72,390	69,415	1,767,239	1,032,800
2014-01-03	$119.29	$120.00	17.2%	6.2%	19.1%	27.1%	21.8%	2.1%	0.2%	21.3M	3.05B	-37.3M	0.71	7.23	68,819	48,563	1,773,976	1,059,196
2014-01-06	$119.50	$120.00	17.6%	6.2%	18.4%	28.9%	23.8%	2.3%	-0.3%	24.6M	3.17B	-36.6M	1.04	6.21	38,729	40,147	1,772,106	1,048,968
2014-01-07	$118.82	$120.00	17.2%	6.2%	18.5%	27.2%	21.8%	2.5%	-0.2%	-4.2M	3.59B	-36.1M	0.86	4.11	50,505	43,545	1,774,878	1,066,475
2014-01-08	$118.12	$120.00	17.6%	6.2%	18.3%	28.8%	21.2%	2.6%	-0.2%	-24.1M	3.90B	-36.3M	0.77	5.33	56,493	43,290	1,792,637	1,079,881
2014-01-09	$118.46	$120.00	17.0%	6.2%	17.0%	26.3%	22.9%	2.4%	-0.3%	-6.3M	3.71B	-37.0M	0.95	4.11	36,410	34,410	1,817,863	1,092,700
2014-01-10	$120.26	$120.00	15.7%	5.9%	17.8%	21.1%	20.7%	2.2%	-0.1%	72.1M	2.67B	-37.1M	0.78	5.59	60,637	47,078	1,831,193	1,101,772
2014-01-13	$121.02	$120.00	15.8%	5.9%	16.1%	21.5%	20.8%	2.1%	-0.3%	91.7M	2.41B	-37.7M	0.77	4.75	52,087	40,083	1,828,128	1,071,357
2014-01-14	$119.89	$120.00	15.5%	5.8%	16.2%	19.9%	20.6%	2.3%	-0.3%	51.6M	3.16B	-36.1M	0.84	5.21	50,213	42,202	1,842,455	1,090,890
2014-01-15	$119.66	$120.00	15.3%	5.8%	16.2%	19.4%	20.4%	2.6%	-0.2%	58.3M	3.26B	-36.0M	1.74	4.64	27,203	47,358	1,847,005	1,087,334
2014-01-16	$119.79	$120.00	14.5%	5.8%	15.8%	15.9%	20.3%	2.4%	-0.4%	82.3M	3.17B	-35.7M	1.02	5.65	47,273	48,197	1,854,448	1,091,419
2014-01-17	$120.93	$120.00	13.5%	5.7%	15.7%	11.8%	19.8%	1.9%	-0.4%	108.8M	2.38B	-36.5M	0.89	5.39	72,636	64,560	1,877,294	1,114,451
2014-01-21	$119.70	$120.00	14.3%	5.6%	13.4%	15.1%	20.6%	1.8%	0.8%	52.5M	1.13B	-35.1M	0.93	5.50	39,015	36,368	1,201,579	732,979
2014-01-22	$119.19	$120.00	14.0%	5.6%	13.2%	13.9%	19.7%	2.0%	0.8%	37.5M	1.32B	-35.5M	0.90	5.08	36,708	33,159	1,214,015	750,998
2014-01-23	$121.79	$119.00	14.1%	5.5%	14.9%	14.2%	19.6%	1.7%	0.3%	137.9M	79.5M	-37.1M	0.74	6.62	110,626	81,425	1,232,618	768,279
2014-01-24	$122.29	$119.00	15.4%	5.6%	14.9%	19.2%	20.0%	2.0%	0.3%	175.3M	-287.8M	-38.9M	0.67	5.87	68,290	45,466	1,275,221	797,423
2014-01-27	$120.96	$119.00	16.1%	5.6%	15.6%	21.9%	19.9%	2.6%	-0.1%	86.5M	542.0M	-37.7M	0.98	5.60	36,702	35,898	1,265,581	785,898
2014-01-28	$120.95	$120.00	16.5%	5.7%	15.6%	23.7%	20.4%	2.5%	-0.3%	79.9M	606.0M	-37.7M	0.87	6.53	26,830	23,314	1,272,177	795,792
2014-01-29	$122.47	$120.00	15.6%	5.6%	14.8%	20.0%	19.6%	2.0%	-0.1%	144.5M	-216.5M	-38.2M	0.55	4.90	77,473	42,280	1,284,420	801,889
2014-01-30	$119.77	$119.00	15.8%	5.6%	17.2%	20.7%	19.5%	2.2%	0.1%	46.3M	1.19B	-37.5M	0.76	5.43	70,237	53,294	1,316,918	815,398
2014-01-31	$120.09	$119.00	16.5%	5.7%	16.4%	23.8%	20.0%	2.3%	-0.0%	56.0M	1.05B	-37.9M	0.58	3.47	99,104	57,262	1,345,362	837,050