GLD Options History — July 2014

In July 2014, GLD traded between $123.39 and $128.78. ATM implied volatility averaged 12.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.3% (HV 20d: 14.0%). Max pain ranged from $125.00 to $125.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2014-07-17: Highest Volume — 188,686 contracts
2014-07-18: Largest IV drop — 8.5% change
2014-07-17: Highest IV Rank — 24.9%
2014-07-31: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.23	$123.39	$128.78	$127.70	$123.39
Max Pain	$125.00	$125.00	$125.00	$125.00	$125.00
ATM IV	12.8%	11.7%	14.1%	12.6%	13.6%
Expected Move	4.0%	3.9%	4.2%	4.0%	4.2%
HV 20d	14.0%	12.9%	17.5%	13.5%	14.0%
HV 60d	12.6%	11.4%	13.3%	12.3%	13.2%
IV Rank	14.8%	6.4%	24.9%	11.2%	21.6%
IV Percentile	13.1%	5.6%	25.4%	6.7%	23.8%
Term Structure	-0.1%	-0.3%	0.1%	-0.1%	-0.2%
VWIV	14.6%	12.9%	16.6%	15.4%	16.6%
Skew 25d	0.3%	-0.3%	0.7%	0.1%	0.5%
Skew 10d	0.5%	-0.6%	1.7%	0.4%	0.7%
Call IV 25d	13.1%	11.8%	14.5%	12.9%	13.9%
Put IV 25d	13.3%	12.0%	14.5%	13.0%	14.4%
Bid-Ask Spread %	8.25	7.39	9.31	7.98	8.00
Gamma HHI	0.10	0.06	0.14	0.12	0.06
Net GEX	375.3M	35.7M	717.3M	507.1M	35.7M
Net DEX	-1.93B	-4.37B	583.5M	-3.25B	583.5M
Net VEX	-37.9M	-39.8M	-35.6M	-38.4M	-38.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.39	1.50	0.39	0.92
Total Volume	117,962.909	59,495	188,686	110,608	128,982
Total OI	2,382,302.909	2,225,112	2,562,084	2,225,112	2,562,084

Daily Data (22 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
2014-07-01	$127.70	$125.00	12.6%	4.0%	13.5%	11.2%	15.4%	0.1%	-0.1%	507.1M	-3.25B	-38.4M	0.39	7.98	79,758	30,850	1,511,287	713,825
2014-07-02	$127.70	$125.00	12.7%	4.0%	13.4%	12.6%	15.0%	0.2%	-0.2%	563.7M	-3.36B	-38.6M	0.48	7.45	61,432	29,710	1,543,979	720,814
2014-07-03	$127.16	$125.00	11.9%	3.9%	13.5%	7.3%	15.2%	0.1%	0.1%	477.7M	-2.72B	-37.5M	0.42	7.81	62,323	26,058	1,561,783	730,807
2014-07-07	$127.02	$125.00	11.8%	3.9%	13.5%	7.0%	14.4%	0.3%	-0.2%	485.6M	-2.69B	-36.8M	0.64	7.63	37,279	23,748	1,539,528	705,114
2014-07-08	$127.07	$125.00	11.7%	3.9%	13.5%	6.4%	12.9%	0.4%	-0.3%	496.6M	-2.71B	-36.4M	0.44	8.10	86,044	37,883	1,557,419	716,355
2014-07-09	$127.84	$125.00	11.9%	3.9%	13.5%	8.0%	13.8%	-0.1%	-0.2%	587.3M	-3.42B	-37.7M	0.51	8.70	88,599	44,990	1,581,211	732,347
2014-07-10	$128.54	$125.00	11.7%	3.9%	13.5%	6.8%	13.7%	-0.3%	-0.1%	717.3M	-4.21B	-38.9M	0.54	9.26	98,115	53,208	1,621,256	743,559
2014-07-11	$128.78	$125.00	12.0%	3.9%	13.3%	9.0%	13.8%	0.2%	-0.2%	635.9M	-4.37B	-39.3M	0.55	8.93	44,094	24,201	1,632,448	766,924
2014-07-14	$125.72	$125.00	12.8%	4.0%	16.3%	15.2%	14.0%	0.4%	0.0%	362.1M	-1.57B	-36.5M	0.67	8.65	107,812	72,365	1,604,597	752,393
2014-07-15	$124.53	$125.00	13.4%	4.0%	16.6%	19.4%	14.0%	0.7%	-0.0%	238.5M	-572.2M	-35.6M	0.60	9.31	115,035	68,658	1,649,177	779,029
2014-07-16	$124.97	$125.00	13.2%	4.0%	16.6%	18.5%	14.3%	0.5%	-0.1%	274.6M	-953.8M	-36.6M	0.45	8.95	94,929	42,482	1,670,875	795,286
2014-07-17	$127.09	$125.00	14.1%	4.1%	17.5%	24.9%	14.9%	0.0%	-0.2%	538.9M	-3.14B	-39.8M	0.67	7.81	113,243	75,443	1,714,337	802,734
2014-07-18	$126.13	$125.00	12.9%	4.1%	12.9%	15.8%	14.3%	0.2%	0.0%	372.9M	-2.09B	-38.7M	0.73	7.47	72,687	52,993	1,723,690	826,876
2014-07-21	$126.34	$125.00	13.2%	4.1%	12.9%	18.6%	14.8%	0.4%	-0.2%	342.8M	-1.78B	-38.5M	1.05	7.45	44,173	46,173	1,583,141	715,300
2014-07-22	$125.74	$125.00	13.3%	4.1%	12.9%	19.0%	14.9%	0.5%	-0.1%	287.1M	-1.31B	-38.6M	0.86	7.77	54,749	47,030	1,607,729	738,398
2014-07-23	$125.62	$125.00	12.8%	4.0%	12.9%	15.2%	15.2%	0.3%	-0.1%	256.4M	-1.09B	-38.1M	1.17	8.15	37,383	43,617	1,612,623	764,688
2014-07-24	$124.35	$125.00	13.1%	4.0%	13.4%	17.5%	15.5%	0.6%	-0.3%	124.8M	-49.7M	-36.9M	1.50	8.35	51,824	77,613	1,635,917	781,747
2014-07-25	$125.79	$125.00	13.2%	4.0%	14.1%	18.1%	15.2%	0.2%	-0.2%	267.5M	-1.27B	-38.6M	0.70	8.82	65,355	45,635	1,646,312	805,919
2014-07-28	$125.58	$125.00	13.0%	4.0%	14.1%	17.0%	14.6%	0.3%	-0.0%	272.0M	-1.10B	-38.4M	1.21	8.86	26,895	32,600	1,618,175	770,468
2014-07-29	$125.20	$125.00	13.4%	4.1%	13.5%	19.5%	14.7%	0.1%	-0.1%	223.5M	-780.5M	-38.0M	0.45	7.39	64,206	28,840	1,628,828	784,274
2014-07-30	$124.83	$125.00	13.1%	4.1%	13.5%	17.2%	14.8%	0.2%	-0.0%	187.8M	-571.4M	-38.2M	0.42	8.66	109,998	46,172	1,663,461	793,950
2014-07-31	$123.39	$125.00	13.6%	4.2%	14.0%	21.6%	16.6%	0.5%	-0.2%	35.7M	583.5M	-38.0M	0.92	8.00	67,039	61,943	1,742,599	819,485