GLD Options History — April 2014 In April 2014, GLD traded between $123.39 and $127.85. ATM implied volatility averaged 14.1%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.0% (HV 20d: 13.1%). Max pain ranged from $121.00 to $125.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.76.
Notable Days 2014-04-15 : Highest Volume — 160,376 contracts2014-04-09 : Largest IV drop — 7.6% change2014-04-01 : Highest IV Rank — 12.1%2014-04-01 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $125.13 $123.39 $127.85 $123.39 $124.22 Max Pain $124.00 $121.00 $125.00 $121.00 $125.00 ATM IV 14.1% 13.3% 15.0% 15.0% 14.0% Expected Move 4.7% 4.6% 4.9% 4.9% 4.6% HV 20d 13.1% 11.3% 14.9% 13.9% 11.5% HV 60d 14.4% 13.1% 15.0% 14.7% 13.1% IV Rank 5.7% 0.0% 12.1% 12.1% 3.8% IV Percentile 5.8% 0.0% 13.1% 13.1% 4.4% Term Structure 0.0% -0.4% 0.4% -0.0% 0.1% VWIV 17.1% 16.0% 18.4% 18.2% 18.4% Skew 25d 1.0% 0.5% 1.4% 0.9% 0.8% Skew 10d 1.8% 0.1% 3.2% 0.1% 1.6% Call IV 25d 14.1% 13.4% 15.1% 15.1% 13.9% Put IV 25d 15.1% 14.0% 16.0% 16.0% 14.7% Bid-Ask Spread % 6.01 5.06 6.72 5.79 6.32 Gamma HHI 0.05 0.04 0.12 0.05 0.05 Net GEX 56.5M -67.3M 243.5M -54.4M 7.4M Net DEX 162.6M -1.52B 1.26B 1.26B 585.7M Net VEX -38.5M -40.7M -36.1M -39.3M -36.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.40 1.43 0.55 0.59 Total Volume 90,358.143 52,658 160,376 80,219 114,817 Total OI 2,194,229 2,023,027 2,366,032 2,164,610 2,136,859
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 2014-04-01 $123.39 $121.00 15.0% 4.9% 13.9% 12.1% 18.2% 0.9% -0.0% -54.4M 1.26B -39.3M 0.55 5.79 51,592 28,627 1,285,513 879,097 2014-04-02 $124.32 $121.00 14.5% 4.8% 14.3% 9.9% 17.0% 0.9% 0.1% 1.0M 690.5M -39.3M 1.11 6.00 40,699 45,342 1,302,476 884,949 2014-04-03 $123.92 $121.00 14.5% 4.8% 13.6% 9.8% 17.1% 1.3% -0.0% -7.2M 951.6M -39.4M 0.47 5.90 41,038 19,106 1,320,060 897,134 2014-04-04 $125.57 $121.00 14.1% 4.7% 14.5% 8.0% 16.4% 0.7% 0.2% 94.6M -137.9M -39.5M 0.58 6.38 76,298 43,981 1,336,528 902,365 2014-04-07 $124.91 $123.00 14.3% 4.7% 14.6% 9.2% 16.9% 0.8% -0.0% 40.5M 343.9M -39.4M 0.63 5.06 34,101 21,621 1,314,446 884,887 2014-04-08 $126.09 $124.00 14.4% 4.7% 14.9% 9.4% 17.1% 0.6% 0.0% 109.7M -417.9M -39.8M 0.88 6.16 50,110 43,877 1,330,314 893,266 2014-04-09 $126.32 $124.00 13.3% 4.6% 13.7% 0.0% 16.4% 0.7% 0.1% 122.7M -525.7M -39.6M 0.81 6.39 70,014 56,978 1,343,706 919,339 2014-04-10 $127.01 $124.00 13.6% 4.6% 13.8% 1.3% 16.0% 0.5% -0.1% 243.5M -1.15B -40.7M 0.47 6.64 61,195 28,477 1,370,906 939,119 2014-04-11 $126.93 $125.00 13.7% 4.6% 13.5% 1.8% 16.3% 0.6% -0.0% 200.6M -1.02B -40.5M 1.43 6.61 32,977 47,129 1,379,270 944,643 2014-04-14 $127.85 $125.00 13.8% 4.7% 13.5% 2.2% 16.4% 0.6% 0.3% 165.3M -1.52B -40.6M 0.68 6.72 47,240 32,241 1,343,441 933,232 2014-04-15 $125.49 $125.00 14.6% 4.8% 14.6% 7.4% 17.9% 1.4% 0.2% 35.3M 145.3M -38.8M 0.69 5.62 94,865 65,511 1,352,281 933,628 2014-04-16 $125.54 $125.00 13.8% 4.7% 13.1% 3.1% 17.4% 0.9% 0.4% 53.6M 49.5M -39.2M 0.50 5.70 60,840 30,618 1,381,904 958,068 2014-04-17 $124.75 $125.00 14.2% 4.7% 13.2% 5.3% 16.6% 1.4% 0.4% -67.3M 721.1M -38.2M 1.12 6.34 42,824 47,756 1,400,507 965,525 2014-04-21 $124.24 $125.00 14.7% 4.7% 13.1% 8.0% 16.6% 1.2% -0.2% -8.4M 686.7M -37.2M 0.77 5.47 36,212 27,953 1,210,386 812,641 2014-04-22 $123.78 $125.00 14.5% 4.7% 11.6% 7.2% 17.5% 1.3% -0.3% -30.4M 961.0M -36.5M 1.04 6.34 42,887 44,785 1,222,891 824,455 2014-04-23 $123.76 $125.00 14.1% 4.7% 11.6% 4.6% 17.6% 1.2% -0.2% -31.7M 957.5M -36.1M 0.71 6.07 30,778 21,880 1,237,692 835,519 2014-04-24 $124.56 $125.00 14.3% 4.6% 11.5% 5.7% 17.1% 1.2% -0.2% 20.5M 479.6M -37.1M 0.77 5.66 70,286 54,416 1,251,730 843,280 2014-04-25 $125.43 $125.00 14.3% 4.7% 11.6% 6.2% 17.8% 1.2% -0.4% 209.5M -119.8M -38.0M 0.40 6.03 68,590 27,194 1,271,176 856,552 2014-04-28 $124.88 $125.00 13.8% 4.6% 11.7% 3.2% 17.7% 1.1% 0.1% 41.8M 208.6M -36.8M 0.82 5.31 40,564 33,132 1,241,202 833,208 2014-04-29 $124.86 $125.00 13.7% 4.6% 11.3% 2.3% 17.0% 1.0% 0.1% 39.6M 265.7M -36.3M 0.86 5.77 37,177 31,793 1,256,111 848,503 2014-04-30 $124.22 $125.00 14.0% 4.6% 11.5% 3.8% 18.4% 0.8% 0.1% 7.4M 585.7M -36.3M 0.59 6.32 71,986 42,831 1,274,149 862,710
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