GLD Options History — May 2014

In May 2014, GLD traded between $120.43 and $126.22. ATM implied volatility averaged 13.2%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.1% (HV 20d: 11.1%). Max pain ranged from $125.00 to $126.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2014-05-30: Highest Volume — 206,227 contracts
2014-05-27: Largest IV spike — 12.4% change
2014-05-27: Highest IV Rank — 11.2%
2014-05-01: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$124.07	$120.43	$126.22	$123.80	$120.43
Max Pain	$125.10	$125.00	$126.00	$125.00	$125.00
ATM IV	13.2%	12.3%	14.3%	13.3%	13.5%
Expected Move	4.4%	4.3%	4.5%	4.5%	4.4%
HV 20d	11.1%	9.6%	12.2%	11.2%	12.2%
HV 60d	13.1%	12.5%	13.6%	13.1%	12.5%
IV Rank	2.4%	0.0%	11.2%	0.2%	6.6%
IV Percentile	2.8%	0.0%	15.5%	0.4%	7.1%
Term Structure	0.1%	-0.4%	0.3%	0.2%	0.0%
VWIV	16.7%	15.0%	20.0%	19.2%	16.9%
Skew 25d	0.8%	0.3%	1.4%	0.9%	1.4%
Skew 10d	1.9%	0.8%	3.2%	1.9%	3.2%
Call IV 25d	13.2%	12.4%	14.3%	13.3%	13.1%
Put IV 25d	14.0%	13.2%	15.5%	14.2%	14.5%
Bid-Ask Spread %	7.01	5.81	8.81	5.91	6.91
Gamma HHI	0.06	0.04	0.17	0.05	0.17
Net GEX	53.7M	-269.5M	222.4M	-22.6M	-269.5M
Net DEX	488.8M	-746.0M	2.44B	929.7M	2.44B
Net VEX	-34.5M	-37.1M	-30.2M	-35.7M	-30.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.41	1.22	0.50	0.68
Total Volume	94,827.286	36,083	206,227	83,762	206,227
Total OI	2,196,904.143	2,023,023	2,345,213	2,176,319	2,193,827

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
2014-05-01	$123.80	$125.00	13.3%	4.5%	11.2%	0.2%	19.2%	0.9%	0.2%	-22.6M	929.7M	-35.7M	0.50	5.91	55,952	27,810	1,299,607	876,712
2014-05-02	$125.06	$125.00	13.3%	4.4%	11.7%	0.0%	16.4%	0.4%	0.0%	177.8M	-30.8M	-36.1M	0.58	6.49	113,815	65,787	1,319,855	880,796
2014-05-05	$126.22	$125.00	13.8%	4.5%	11.2%	3.0%	16.9%	0.7%	0.2%	142.2M	-746.0M	-37.1M	0.41	6.20	84,674	34,738	1,296,579	869,735
2014-05-06	$125.98	$125.00	13.4%	4.4%	11.1%	0.9%	19.8%	0.6%	0.2%	146.1M	-638.4M	-37.0M	0.89	5.89	63,545	56,657	1,335,179	885,004
2014-05-07	$124.17	$125.00	13.9%	4.5%	11.7%	3.3%	20.0%	0.9%	0.2%	27.7M	559.3M	-36.2M	0.82	6.26	65,119	53,087	1,367,791	890,338
2014-05-08	$124.17	$126.00	13.4%	4.5%	11.7%	0.7%	16.3%	0.7%	0.1%	15.6M	599.0M	-36.1M	0.62	6.15	42,098	26,045	1,389,351	903,546
2014-05-09	$124.10	$126.00	13.3%	4.5%	11.5%	0.4%	16.3%	0.6%	0.1%	-10.1M	646.0M	-35.9M	0.83	6.37	38,068	31,509	1,405,905	906,627
2014-05-12	$124.94	$125.00	13.0%	4.4%	11.8%	0.0%	16.0%	0.8%	0.0%	105.5M	2.6M	-35.8M	0.89	5.81	36,584	32,647	1,389,829	892,337
2014-05-13	$124.60	$125.00	12.6%	4.4%	11.4%	0.0%	17.3%	0.7%	-0.1%	75.3M	293.0M	-35.2M	0.71	6.42	21,077	15,006	1,401,404	903,938
2014-05-14	$125.81	$125.00	12.6%	4.4%	10.1%	0.0%	15.5%	0.5%	0.0%	222.4M	-688.6M	-35.9M	0.53	6.56	34,647	18,301	1,405,941	908,404
2014-05-15	$124.77	$125.00	13.1%	4.4%	10.5%	3.0%	16.5%	0.3%	0.1%	98.0M	176.7M	-35.0M	0.68	6.67	49,328	33,644	1,408,169	910,305
2014-05-16	$124.50	$125.00	12.8%	4.4%	10.3%	1.4%	15.2%	0.6%	0.1%	50.0M	410.1M	-34.8M	0.71	7.29	41,487	29,636	1,426,982	918,231
2014-05-19	$124.58	$125.00	12.7%	4.3%	10.2%	0.8%	16.1%	0.7%	0.1%	95.9M	67.3M	-34.4M	0.90	7.57	45,092	40,414	1,265,612	757,411
2014-05-20	$124.69	$125.00	12.5%	4.3%	10.1%	0.0%	15.0%	0.7%	0.2%	101.5M	54.2M	-34.3M	0.75	8.05	26,113	19,467	1,277,117	776,774
2014-05-21	$124.39	$125.00	12.7%	4.3%	10.1%	1.3%	15.1%	1.0%	0.1%	88.7M	249.8M	-34.1M	1.01	8.00	57,431	58,178	1,290,192	782,752
2014-05-22	$124.67	$125.00	12.3%	4.3%	9.9%	0.0%	17.7%	1.0%	0.3%	129.0M	52.7M	-34.1M	1.18	6.10	19,500	23,064	1,308,953	799,408
2014-05-23	$124.51	$125.00	12.8%	4.3%	9.6%	2.6%	15.5%	1.0%	0.2%	187.0M	186.5M	-34.0M	0.93	8.81	26,521	24,576	1,310,801	806,600
2014-05-27	$121.85	$125.00	14.3%	4.5%	12.1%	11.2%	16.4%	1.3%	-0.4%	-42.0M	1.60B	-31.4M	1.00	8.80	84,078	84,025	1,280,049	791,887
2014-05-28	$121.20	$125.00	14.1%	4.5%	12.2%	9.9%	15.7%	1.4%	-0.3%	-80.5M	1.93B	-30.8M	1.22	8.54	57,454	70,253	1,318,247	813,279
2014-05-29	$120.94	$125.00	13.2%	4.4%	12.1%	4.9%	15.9%	0.9%	-0.3%	-109.3M	2.17B	-30.7M	0.69	8.46	46,100	31,619	1,335,412	834,101
2014-05-30	$120.43	$125.00	13.5%	4.4%	12.2%	6.6%	16.9%	1.4%	0.0%	-269.5M	2.44B	-30.2M	0.68	6.91	122,518	83,709	1,352,207	841,620