GLD Options History — February 2014

In February 2014, GLD traded between $120.99 and $129.21. ATM implied volatility averaged 14.9%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.1% (HV 20d: 15.0%). Max pain ranged from $100.00 to $130.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.67.

Notable Days

2014-02-14: Highest Volume — 221,382 contracts
2014-02-07: Largest IV drop — 8.7% change
2014-02-03: Highest IV Rank — 26.2%
2014-02-04: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$125.39	$120.99	$129.21	$121.32	$127.62
Max Pain	$119.56	$100.00	$130.00	$119.00	$127.00
ATM IV	14.9%	13.7%	17.1%	17.1%	13.8%
Expected Move	5.4%	5.0%	5.7%	5.7%	5.1%
HV 20d	15.0%	10.4%	16.3%	16.3%	10.4%
HV 60d	17.0%	15.8%	17.5%	17.5%	15.8%
IV Rank	16.8%	11.9%	26.2%	26.2%	12.1%
IV Percentile	16.7%	8.7%	28.6%	28.6%	9.5%
Term Structure	-0.1%	-0.6%	0.8%	-0.2%	0.8%
VWIV	19.8%	17.7%	22.5%	19.8%	18.7%
Skew 25d	1.3%	0.7%	2.1%	2.1%	1.5%
Skew 10d	3.1%	1.8%	4.1%	4.1%	2.6%
Call IV 25d	14.8%	13.8%	16.8%	16.8%	13.8%
Put IV 25d	16.1%	14.8%	18.9%	18.9%	15.3%
Bid-Ask Spread %	5.00	2.83	6.49	2.83	5.68
Gamma HHI	0.07	0.04	0.11	0.04	0.07
Net GEX	287.6M	122.5M	385.3M	122.5M	272.4M
Net DEX	-2.14B	-3.93B	198.0M	164.4M	-2.19B
Net VEX	-43.0M	-45.4M	-40.4M	-40.4M	-45.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.27	1.42	0.41	0.68
Total Volume	113,952.632	67,165	221,382	136,509	105,329
Total OI	2,337,363.789	2,170,582	2,526,619	2,170,582	2,371,568

Daily Data (19 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
2014-02-03	$121.32	$119.00	17.1%	5.7%	16.3%	26.2%	19.8%	2.1%	-0.2%	122.5M	164.4M	-40.4M	0.41	2.83	96,886	39,623	1,347,692	822,890
2014-02-04	$120.99	$119.00	16.6%	5.7%	16.3%	23.8%	21.3%	2.0%	-0.3%	131.1M	198.0M	-40.8M	0.63	4.21	41,304	25,861	1,398,951	835,950
2014-02-05	$121.29	$119.00	16.6%	5.6%	16.2%	24.0%	21.1%	1.9%	-0.1%	149.3M	10.7M	-41.0M	0.72	4.12	45,228	32,702	1,414,105	845,582
2014-02-06	$121.24	$119.00	16.2%	5.6%	16.0%	22.5%	20.1%	1.8%	-0.1%	162.6M	50.3M	-40.6M	0.53	4.68	64,301	34,271	1,428,976	849,775
2014-02-07	$122.17	$119.00	14.8%	5.5%	16.1%	16.5%	19.9%	1.6%	0.2%	306.9M	-616.4M	-41.1M	0.53	3.82	61,244	32,163	1,465,014	854,619
2014-02-10	$122.92	$119.00	15.3%	5.6%	15.4%	18.7%	21.4%	1.3%	-0.1%	242.9M	-1.05B	-41.0M	0.65	5.07	72,927	47,048	1,432,892	840,817
2014-02-11	$124.36	$119.00	15.0%	5.5%	15.8%	17.5%	19.6%	0.9%	-0.0%	329.5M	-2.03B	-42.6M	0.63	5.68	92,703	58,189	1,471,084	860,151
2014-02-12	$124.43	$119.00	14.5%	5.5%	15.3%	15.4%	20.6%	1.1%	0.1%	340.5M	-1.99B	-43.0M	0.78	6.49	47,226	37,039	1,496,547	888,307
2014-02-13	$125.49	$119.00	14.4%	5.6%	15.4%	15.0%	19.6%	0.9%	0.2%	369.5M	-2.80B	-43.4M	0.66	5.14	57,654	37,959	1,500,679	902,376
2014-02-14	$127.15	$119.00	14.5%	5.6%	15.8%	15.3%	19.9%	0.7%	0.1%	359.3M	-3.91B	-43.8M	0.27	5.23	173,936	47,446	1,503,449	913,150
2014-02-18	$127.40	$119.00	14.4%	5.5%	15.7%	14.9%	19.9%	0.7%	0.1%	356.2M	-3.85B	-44.2M	0.73	4.46	61,761	45,182	1,525,886	905,938
2014-02-19	$126.27	$120.00	14.8%	5.5%	15.5%	16.4%	19.2%	1.1%	0.0%	323.0M	-2.90B	-43.2M	0.57	5.69	84,692	48,401	1,522,415	917,260
2014-02-20	$127.60	$120.00	14.2%	5.4%	15.5%	14.2%	18.9%	0.8%	0.0%	385.3M	-3.81B	-43.7M	0.49	5.56	105,787	51,782	1,537,244	928,036
2014-02-21	$127.58	$120.00	13.9%	5.4%	14.0%	12.6%	19.1%	0.9%	0.1%	377.0M	-3.93B	-44.0M	0.67	5.40	64,891	43,198	1,578,266	948,353
2014-02-24	$128.99	$0.00	14.2%	5.1%	14.3%	13.9%	22.5%	0.8%	-0.4%	306.1M	-3.25B	-44.6M	0.57	5.69	64,989	36,917	1,391,673	822,391
2014-02-25	$129.21	$100.00	14.1%	5.0%	13.4%	13.6%	18.4%	0.9%	-0.4%	351.4M	-3.47B	-45.4M	1.08	4.85	44,337	47,907	1,426,766	836,125
2014-02-26	$128.11	$130.00	14.5%	5.1%	14.0%	15.3%	17.7%	1.5%	-0.6%	290.3M	-2.60B	-44.8M	1.42	5.48	55,733	78,935	1,430,507	859,039
2014-02-27	$128.20	$126.00	13.7%	5.1%	13.5%	11.9%	18.4%	1.4%	-0.5%	289.4M	-2.70B	-44.9M	0.66	4.90	47,897	31,652	1,440,623	894,816
2014-02-28	$127.62	$127.00	13.8%	5.1%	10.4%	12.1%	18.7%	1.5%	0.8%	272.4M	-2.19B	-45.3M	0.68	5.68	62,657	42,672	1,462,110	909,458