GLD Options History — August 2014

In August 2014, GLD traded between $122.74 and $126.31. ATM implied volatility averaged 12.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.8% (HV 20d: 11.4%). Max pain ranged from $125.00 to $125.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2014-08-15: Highest Volume — 229,149 contracts
  • 2014-08-14: Largest IV drop — 6.3% change
  • 2014-08-08: Highest IV Rank — 17.0%
  • 2014-08-08: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.64$122.74$126.31$124.38$123.86
Max Pain$125.00$125.00$125.00$125.00$125.00
ATM IV12.2%11.2%13.0%12.7%11.2%
Expected Move4.1%3.9%4.2%4.1%3.9%
HV 20d11.4%8.3%15.2%14.3%8.3%
HV 60d12.8%12.3%13.3%13.0%12.4%
IV Rank10.8%2.8%17.0%14.2%2.9%
IV Percentile9.7%1.2%17.1%10.3%1.6%
Term Structure0.1%-0.2%0.3%-0.1%-0.2%
VWIV14.8%13.7%15.7%14.7%14.3%
Skew 25d-0.0%-0.4%0.5%0.3%-0.2%
Skew 10d-0.1%-1.3%0.8%0.6%-0.3%
Call IV 25d12.7%11.5%13.7%12.9%11.8%
Put IV 25d12.7%11.6%13.4%13.2%11.6%
Bid-Ask Spread %8.077.038.948.467.43
Gamma HHI0.070.060.090.070.06
Net GEX223.7M-15.4M477.7M154.4M141.3M
Net DEX-656.2M-2.18B755.7M-220.2M70.4M
Net VEX-37.1M-40.7M-33.7M-38.7M-34.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.420.940.690.88
Total Volume97,565.52458,481229,149173,69371,007
Total OI2,552,077.3812,400,5902,687,0032,605,3282,532,387

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$124.38$125.0012.7%4.1%14.3%14.2%14.7%0.3%-0.1%154.4M-220.2M-38.7M0.698.46102,66271,0311,771,104834,224
2014-08-04$123.99$125.0012.5%4.1%14.4%12.6%14.5%0.5%0.2%168.9M-12.8M-37.7M0.758.0036,75727,5261,754,277804,719
2014-08-05$123.87$125.0012.9%4.1%14.3%15.9%15.7%0.0%0.2%162.2M-51.4M-37.9M0.637.5356,64435,4571,759,886815,668
2014-08-06$125.67$125.0012.9%4.1%15.2%15.8%15.3%-0.3%0.1%393.4M-1.66B-39.8M0.488.94103,69450,1861,776,285827,356
2014-08-07$126.18$125.0013.0%4.2%15.1%16.8%15.6%-0.4%0.2%477.7M-2.18B-40.7M0.528.4982,66942,9391,801,189841,884
2014-08-08$126.19$125.0013.0%4.2%15.1%17.0%14.9%-0.3%0.1%428.2M-2.17B-40.5M0.668.7049,95533,0271,822,966861,641
2014-08-11$125.96$125.0013.0%4.2%12.4%16.8%15.3%-0.3%0.0%395.6M-1.77B-39.6M0.708.7140,48928,4101,800,297829,403
2014-08-12$125.99$125.0012.9%4.2%11.9%16.2%15.2%-0.3%0.1%394.9M-1.86B-39.5M0.498.2849,72324,5151,808,699838,876
2014-08-13$126.20$125.0012.3%4.1%11.8%11.7%14.8%-0.2%0.1%436.6M-1.99B-38.9M0.428.0254,94622,8271,824,467843,743
2014-08-14$126.31$125.0011.6%4.1%10.2%5.7%14.6%-0.1%0.0%412.4M-1.96B-37.9M0.927.3339,44436,1541,819,264844,109
2014-08-15$125.48$125.0012.2%4.1%10.1%10.5%14.9%-0.0%0.1%112.3M-1.09B-37.7M0.737.87132,52896,6211,821,945865,058
2014-08-18$124.96$125.0012.2%4.1%10.1%10.3%14.7%0.0%0.3%216.9M-737.6M-37.2M0.918.7442,91538,8561,663,305737,285
2014-08-19$124.68$125.0012.0%4.1%10.0%9.2%14.7%0.1%0.2%185.5M-493.4M-36.8M0.448.8352,75923,1621,680,860754,964
2014-08-20$124.22$125.0012.1%4.1%10.1%9.6%15.0%0.1%0.2%133.4M-183.6M-36.4M0.887.9137,91933,3781,684,806760,308
2014-08-21$122.88$125.0012.2%4.1%10.2%10.7%15.1%0.3%0.3%-15.4M755.7M-34.8M0.947.7675,53971,1541,698,635773,286
2014-08-22$123.19$125.0011.9%4.1%9.2%8.6%15.0%0.2%0.3%74.1M462.5M-35.3M0.807.0351,74141,6301,715,689787,918
2014-08-25$122.74$125.0012.0%4.1%9.3%9.5%14.5%0.2%-0.1%59.3M704.3M-33.8M0.527.5938,35020,1311,669,983757,129
2014-08-26$123.35$125.0011.7%4.0%9.5%6.9%14.3%0.1%-0.1%98.6M324.7M-34.2M0.578.0755,13531,6411,674,696764,660
2014-08-27$123.32$125.0011.2%3.9%9.5%2.8%13.7%0.1%0.0%95.2M421.7M-33.7M0.827.4833,73227,8101,694,576778,978
2014-08-28$124.00$125.0011.3%3.9%8.7%3.8%14.2%-0.2%-0.2%172.3M-131.6M-34.7M0.808.2846,55137,2621,705,294791,806
2014-08-29$123.86$125.0011.2%3.9%8.3%2.9%14.3%-0.2%-0.2%141.3M70.4M-34.5M0.887.4337,72533,2821,722,018810,369