GLD Options History — March 2014 In March 2014, GLD traded between $123.61 and $133.10. ATM implied volatility averaged 15.4%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.7% (HV 20d: 14.7%). Max pain ranged from $120.00 to $127.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.80.
Notable Days 2014-03-12 : Highest Volume — 229,783 contracts2014-03-24 : Largest IV spike — 7.9% change2014-03-14 : Highest IV Rank — 25.4%2014-03-14 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $128.60 $123.61 $133.10 $130.29 $123.61 Max Pain $122.86 $120.00 $127.00 $124.00 $123.00 ATM IV 15.4% 14.3% 16.9% 15.2% 15.7% Expected Move 5.1% 4.9% 5.4% 5.1% 4.9% HV 20d 14.7% 12.1% 16.5% 12.1% 14.4% HV 60d 15.3% 14.7% 16.3% 16.3% 14.8% IV Rank 18.7% 14.6% 25.4% 18.0% 17.5% IV Percentile 18.4% 9.5% 26.6% 19.0% 18.3% Term Structure 0.0% -0.8% 0.4% 0.4% -0.0% VWIV 18.7% 17.6% 20.4% 18.1% 19.1% Skew 25d 0.7% -0.2% 1.2% 0.9% 1.1% Skew 10d 1.4% -0.3% 2.8% 1.7% -0.3% Call IV 25d 15.5% 14.4% 17.7% 15.2% 15.8% Put IV 25d 16.2% 15.0% 17.8% 16.1% 16.9% Bid-Ask Spread % 5.68 4.41 7.11 5.07 5.41 Gamma HHI 0.06 0.04 0.08 0.08 0.05 Net GEX 218.9M -27.0M 456.5M 319.2M -26.7M Net DEX -2.43B -6.32B 1.16B -3.92B 1.16B Net VEX -44.6M -48.8M -39.5M -45.6M -39.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.41 1.32 0.49 1.10 Total Volume 126,279.476 68,095 229,783 160,685 154,499 Total OI 2,397,351.095 2,069,441 2,650,810 2,316,772 2,129,875
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 2014-03-03 $130.29 $124.00 15.2% 5.1% 12.1% 18.0% 18.1% 0.9% 0.4% 319.2M -3.92B -45.6M 0.49 5.07 108,127 52,558 1,428,013 888,759 2014-03-04 $128.68 $127.00 15.0% 5.2% 13.2% 17.3% 18.1% 1.1% 0.0% 288.2M -2.82B -45.5M 0.50 4.49 65,964 33,176 1,461,692 904,786 2014-03-05 $128.89 $126.00 15.0% 5.2% 13.0% 17.5% 18.1% 1.2% -0.1% 294.2M -2.96B -45.3M 0.94 4.54 35,362 33,165 1,462,700 914,349 2014-03-06 $130.17 $126.00 14.9% 5.2% 13.2% 16.8% 18.0% 0.9% -0.0% 348.5M -3.84B -45.9M 0.79 4.82 58,238 46,035 1,473,998 931,113 2014-03-07 $129.09 $126.00 14.4% 5.1% 13.8% 15.0% 20.4% 0.9% 0.0% 305.4M -3.04B -45.3M 1.20 5.31 46,570 55,669 1,489,063 949,142 2014-03-10 $129.13 $126.00 14.5% 5.1% 13.8% 15.3% 17.9% 0.9% -0.3% 298.8M -2.99B -44.4M 1.32 4.41 29,324 38,771 1,473,248 943,985 2014-03-11 $129.86 $126.00 14.6% 5.1% 13.8% 15.8% 19.1% 0.8% -0.3% 335.4M -3.58B -44.6M 0.88 6.38 54,702 48,143 1,480,717 959,991 2014-03-12 $131.76 $126.00 15.3% 5.2% 14.0% 18.5% 19.3% 0.2% -0.5% 395.5M -5.04B -45.8M 0.41 4.71 162,844 66,939 1,494,198 978,915 2014-03-13 $132.21 $121.00 15.9% 5.2% 14.0% 21.0% 18.3% -0.2% -0.4% 433.3M -5.57B -47.3M 0.69 6.44 79,383 55,105 1,554,795 1,005,995 2014-03-14 $133.10 $121.00 16.9% 5.4% 13.9% 25.4% 19.0% 0.0% -0.8% 456.5M -6.32B -48.8M 0.70 7.11 117,865 82,807 1,580,510 1,026,430 2014-03-17 $131.64 $121.00 16.3% 5.3% 14.2% 22.7% 19.0% 0.0% 0.1% 348.0M -4.78B -47.8M 0.64 5.69 81,874 52,023 1,569,131 1,027,087 2014-03-18 $130.62 $120.00 15.8% 5.3% 14.6% 20.7% 18.8% -0.2% 0.2% 281.3M -3.89B -47.3M 0.80 5.01 60,855 48,607 1,560,602 1,044,056 2014-03-19 $128.09 $120.00 16.0% 5.2% 16.0% 21.3% 19.2% 0.3% 0.2% 181.8M -1.72B -45.2M 1.11 6.35 92,330 102,221 1,566,774 1,051,291 2014-03-20 $127.86 $120.00 14.8% 5.2% 15.6% 16.6% 19.0% 0.4% 0.3% 157.9M -1.40B -44.4M 0.67 5.49 84,747 57,156 1,565,008 1,072,987 2014-03-21 $128.47 $120.00 14.3% 5.0% 15.7% 14.6% 18.2% 0.3% 0.3% 120.5M -2.02B -43.9M 0.71 6.79 56,984 40,603 1,575,181 1,075,629 2014-03-24 $126.18 $121.00 15.5% 5.0% 16.4% 19.3% 18.5% 1.0% 0.1% 17.3M -15.0M -42.3M 0.60 5.97 73,856 44,381 1,239,980 829,461 2014-03-25 $126.41 $121.00 15.2% 5.0% 16.4% 18.0% 19.1% 1.0% 0.3% 49.1M -220.5M -43.0M 0.70 6.28 51,999 36,480 1,270,852 844,711 2014-03-26 $125.41 $121.00 15.6% 5.0% 16.4% 19.7% 17.6% 1.2% 0.2% 29.1M 333.2M -42.3M 0.76 6.98 58,969 45,058 1,294,595 852,967 2014-03-27 $124.59 $121.00 15.8% 5.0% 16.5% 20.7% 19.3% 1.1% 0.2% -27.0M 869.9M -41.0M 0.84 6.07 60,121 50,721 1,310,773 858,911 2014-03-28 $124.56 $123.00 15.8% 5.0% 16.5% 20.1% 18.8% 1.0% 0.3% -8.8M 808.3M -41.3M 0.85 5.99 69,111 58,527 1,332,874 869,229 2014-03-31 $123.61 $123.00 15.7% 4.9% 14.4% 17.5% 19.1% 1.1% -0.0% -26.7M 1.16B -39.5M 1.10 5.41 73,581 80,918 1,290,416 839,459
« Feb 2014 | All History | Apr 2014 » Home GLD History March 2014