GLD Options History — June 2014

In June 2014, GLD traded between $119.70 and $128.04. ATM implied volatility averaged 11.9%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.1% (HV 20d: 12.0%). Max pain ranged from $125.00 to $125.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.50.

Notable Days

2014-06-19: Highest Volume — 435,194 contracts
2014-06-19: Largest IV spike — 20.1% change
2014-06-19: Highest IV Rank — 11.0%
2014-06-02: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$123.47	$119.70	$128.04	$119.70	$128.04
Max Pain	$125.00	$125.00	$125.00	$125.00	$125.00
ATM IV	11.9%	10.8%	13.7%	13.7%	12.9%
Expected Move	4.1%	3.9%	4.5%	4.5%	4.0%
HV 20d	12.0%	10.1%	16.2%	11.5%	13.3%
HV 60d	12.0%	10.5%	12.7%	12.3%	12.5%
IV Rank	3.3%	0.0%	11.0%	7.7%	10.8%
IV Percentile	2.9%	0.0%	9.5%	8.7%	9.5%
Term Structure	0.1%	-0.1%	0.3%	-0.0%	-0.1%
VWIV	15.1%	13.7%	18.1%	15.8%	14.5%
Skew 25d	0.5%	-0.1%	1.3%	1.3%	0.1%
Skew 10d	1.1%	-0.2%	2.7%	2.3%	0.6%
Call IV 25d	12.0%	11.0%	13.6%	13.6%	13.3%
Put IV 25d	12.5%	11.3%	14.9%	14.9%	13.3%
Bid-Ask Spread %	8.81	7.94	9.81	7.94	8.38
Gamma HHI	0.08	0.06	0.14	0.06	0.14
Net GEX	221.3M	-77.4M	493.7M	-77.4M	493.7M
Net DEX	-315.6M	-3.55B	2.52B	2.52B	-3.44B
Net VEX	-33.1M	-37.2M	-29.5M	-29.5M	-36.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.22	0.81	0.45	0.45
Total Volume	124,708.81	50,525	435,194	116,854	179,946
Total OI	2,366,909.905	2,161,749	2,627,799	2,161,749	2,221,884

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
2014-06-02	$119.70	$125.00	13.7%	4.5%	11.5%	7.7%	15.8%	1.3%	-0.0%	-77.4M	2.52B	-29.5M	0.45	7.94	80,586	36,268	1,333,535	828,214
2014-06-03	$120.01	$125.00	13.4%	4.5%	10.8%	6.2%	15.5%	1.1%	-0.1%	-52.8M	2.30B	-30.1M	0.22	8.37	152,771	33,472	1,390,596	838,457
2014-06-04	$119.76	$125.00	13.1%	4.4%	10.8%	4.5%	15.8%	0.9%	-0.1%	-29.6M	2.30B	-30.8M	0.48	8.44	49,391	23,810	1,515,833	848,244
2014-06-05	$120.66	$125.00	12.8%	4.3%	10.4%	2.7%	15.3%	0.7%	0.1%	35.5M	1.78B	-30.9M	0.60	8.68	56,754	34,116	1,537,586	858,473
2014-06-06	$120.61	$125.00	11.9%	4.2%	10.4%	0.0%	16.0%	0.9%	0.1%	51.8M	1.80B	-30.6M	0.47	8.51	72,646	34,498	1,557,762	862,103
2014-06-09	$120.65	$125.00	11.4%	4.1%	10.4%	0.0%	18.1%	0.8%	-0.1%	44.6M	1.74B	-29.8M	0.42	8.61	38,368	15,985	1,539,955	835,019
2014-06-10	$121.39	$125.00	11.1%	4.1%	10.3%	0.0%	15.7%	0.7%	-0.0%	102.0M	1.26B	-30.9M	0.50	8.55	40,360	20,364	1,565,620	839,145
2014-06-11	$121.41	$125.00	11.1%	4.0%	10.3%	0.0%	14.9%	0.6%	-0.0%	111.5M	1.27B	-30.7M	0.66	8.87	30,446	20,079	1,580,571	846,781
2014-06-12	$122.64	$125.00	11.6%	4.1%	10.4%	2.8%	15.4%	0.4%	-0.1%	235.8M	216.9M	-32.5M	0.26	8.35	112,946	28,808	1,591,426	853,550
2014-06-13	$122.96	$125.00	11.2%	4.0%	10.1%	0.8%	16.3%	0.5%	0.0%	363.6M	-115.6M	-32.9M	0.34	9.30	62,372	20,898	1,634,116	856,991
2014-06-16	$122.42	$125.00	11.3%	4.1%	10.2%	1.2%	14.2%	0.5%	0.2%	202.7M	491.0M	-31.8M	0.42	9.81	82,474	34,360	1,623,567	845,909
2014-06-17	$122.28	$125.00	11.5%	4.1%	10.2%	1.9%	14.3%	0.6%	0.0%	162.8M	761.5M	-31.1M	0.60	8.84	50,574	30,142	1,625,530	856,944
2014-06-18	$122.67	$125.00	10.8%	4.0%	10.3%	0.0%	14.0%	0.3%	0.2%	199.7M	549.9M	-30.6M	0.60	9.26	59,255	35,451	1,626,162	867,301
2014-06-19	$126.94	$125.00	13.0%	4.2%	16.1%	11.0%	15.1%	-0.1%	0.2%	447.4M	-3.55B	-35.7M	0.41	9.34	309,627	125,567	1,637,585	873,287
2014-06-20	$126.50	$125.00	11.4%	4.1%	16.2%	2.9%	14.4%	0.3%	0.2%	366.5M	-3.19B	-36.6M	0.58	8.46	124,290	72,667	1,714,109	913,690
2014-06-23	$126.85	$125.00	11.4%	4.0%	16.2%	2.9%	14.3%	0.3%	0.1%	384.7M	-2.63B	-36.9M	0.58	8.79	70,152	40,928	1,458,078	719,359
2014-06-24	$126.98	$125.00	11.5%	4.0%	13.8%	3.6%	14.6%	0.3%	0.2%	412.8M	-2.77B	-36.8M	0.81	8.98	49,760	40,509	1,469,670	735,413
2014-06-25	$126.99	$125.00	11.6%	4.0%	13.6%	3.9%	14.4%	0.1%	0.2%	420.6M	-2.79B	-37.2M	0.47	8.90	66,104	31,272	1,484,749	746,583
2014-06-26	$126.73	$125.00	11.4%	4.0%	13.6%	2.9%	14.0%	0.3%	0.3%	409.1M	-2.58B	-36.6M	0.73	9.31	56,071	41,147	1,510,622	758,769
2014-06-27	$126.66	$125.00	11.4%	3.9%	13.4%	3.1%	13.7%	0.1%	0.3%	362.6M	-2.54B	-36.0M	0.47	9.43	104,527	49,124	1,533,298	768,622
2014-06-30	$128.04	$125.00	12.9%	4.0%	13.3%	10.8%	14.5%	0.1%	-0.1%	493.7M	-3.44B	-36.6M	0.45	8.38	124,143	55,803	1,487,278	734,606