GLD Options History — September 2014 In September 2014, GLD traded between $116.21 and $122.15. ATM implied volatility averaged 14.1%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.2% (HV 20d: 9.9%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.26.
Notable Days 2014-09-12 : Highest Volume — 228,919 contracts2014-09-30 : Largest IV spike — 11.8% change2014-09-30 : Highest IV Rank — 44.0%2014-09-30 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $118.86 $116.21 $122.15 $121.65 $116.21 Max Pain $123.52 $120.00 $125.00 $125.00 $120.00 ATM IV 14.1% 11.8% 16.5% 12.5% 16.5% Expected Move 4.2% 3.9% 4.6% 4.0% 4.6% HV 20d 9.9% 8.4% 10.6% 10.4% 8.4% HV 60d 12.0% 11.0% 13.2% 13.0% 11.2% IV Rank 25.1% 7.3% 44.0% 12.8% 44.0% IV Percentile 41.4% 8.3% 70.6% 14.7% 70.6% Term Structure -0.0% -0.3% 0.3% -0.1% 0.1% VWIV 15.3% 14.0% 16.8% 14.6% 16.1% Skew 25d 1.9% 0.4% 3.3% 0.6% 3.3% Skew 10d 3.9% 0.9% 6.5% 0.9% 6.2% Call IV 25d 13.8% 12.0% 15.5% 12.6% 15.5% Put IV 25d 15.6% 12.4% 18.8% 13.2% 18.8% Bid-Ask Spread % 7.91 6.37 9.83 7.08 6.37 Gamma HHI 0.08 0.05 0.27 0.06 0.06 Net GEX -121.4M -383.0M 4.7M 4.7M -73.0M Net DEX 2.65B 1.17B 4.20B 1.41B 2.94B Net VEX -28.3M -31.7M -25.4M -31.4M -26.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.68 2.10 1.03 1.35 Total Volume 135,868.619 68,222 228,919 120,754 160,915 Total OI 2,583,592.571 2,324,608 2,840,785 2,476,645 2,508,568
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 2014-09-02 $121.65 $125.00 12.5% 4.0% 10.4% 12.8% 14.6% 0.6% -0.1% 4.7M 1.41B -31.4M 1.03 7.08 59,460 61,294 1,699,743 776,902 2014-09-03 $122.15 $125.00 12.0% 3.9% 10.5% 8.9% 14.4% 0.4% -0.0% -1.0M 1.17B -31.7M 0.98 7.55 34,390 33,832 1,719,352 812,242 2014-09-04 $121.48 $125.00 12.4% 3.9% 9.0% 12.0% 14.0% 0.6% -0.0% -50.8M 1.65B -30.6M 1.31 8.69 53,995 70,785 1,724,884 820,407 2014-09-05 $122.06 $125.00 11.8% 3.9% 9.1% 7.3% 14.0% 0.4% 0.2% -113.3M 1.33B -31.0M 1.60 8.65 36,549 58,569 1,747,127 853,211 2014-09-08 $120.73 $125.00 12.9% 4.0% 9.6% 15.7% 14.7% 0.7% -0.0% -87.5M 2.14B -29.4M 1.37 7.08 65,338 89,324 1,709,858 837,784 2014-09-09 $120.87 $125.00 13.6% 4.1% 9.7% 21.0% 14.6% 1.4% -0.1% -110.7M 2.03B -30.6M 1.71 7.08 37,206 63,529 1,721,188 876,472 2014-09-10 $120.26 $125.00 14.1% 4.2% 9.7% 25.0% 16.8% 1.3% -0.2% -165.6M 2.46B -29.7M 1.14 6.86 84,432 96,028 1,733,289 895,239 2014-09-11 $119.47 $125.00 14.6% 4.2% 9.7% 29.2% 14.8% 1.6% -0.2% -216.8M 2.94B -29.4M 1.24 9.83 71,977 88,940 1,771,139 928,620 2014-09-12 $118.38 $125.00 15.8% 4.4% 9.8% 38.6% 15.5% 2.4% -0.3% -314.1M 3.59B -29.2M 1.63 9.47 86,911 142,008 1,801,192 941,130 2014-09-15 $118.64 $125.00 14.3% 4.2% 9.9% 26.6% 15.6% 1.9% 0.3% -137.1M 3.19B -27.9M 1.47 8.08 34,761 51,061 1,786,289 918,679 2014-09-16 $118.83 $124.00 14.2% 4.2% 10.0% 26.3% 15.7% 1.7% -0.0% -123.9M 3.02B -28.0M 0.68 7.57 55,449 37,426 1,799,379 937,238 2014-09-17 $117.54 $124.00 14.6% 4.2% 10.5% 29.2% 16.3% 2.4% 0.0% -180.6M 3.87B -26.9M 1.10 8.72 94,725 104,073 1,821,937 949,414 2014-09-18 $117.78 $124.00 13.2% 4.1% 10.6% 18.0% 15.0% 2.1% 0.2% -243.6M 3.79B -26.2M 1.05 7.87 62,135 65,250 1,837,905 974,757 2014-09-19 $117.09 $124.00 14.4% 4.3% 10.3% 27.6% 16.6% 2.9% 0.1% -383.0M 4.20B -25.9M 2.08 8.25 66,947 139,156 1,858,505 982,280 2014-09-22 $116.85 $124.00 14.1% 4.3% 10.1% 25.0% 15.4% 2.4% 0.0% -101.5M 2.89B -25.4M 0.82 8.09 68,843 56,707 1,519,073 805,535 2014-09-23 $117.60 $124.00 14.4% 4.2% 10.6% 27.5% 14.8% 2.5% -0.0% -53.2M 2.48B -26.3M 0.85 8.08 46,483 39,295 1,543,844 824,480 2014-09-24 $117.05 $120.00 14.9% 4.4% 10.3% 31.7% 15.5% 2.8% -0.1% -77.7M 2.71B -26.3M 2.10 7.85 32,144 67,606 1,559,928 839,637 2014-09-25 $117.39 $120.00 15.5% 4.5% 10.4% 35.8% 16.2% 2.7% -0.2% -60.2M 2.47B -27.6M 0.97 7.33 86,103 83,226 1,573,647 865,736 2014-09-26 $117.06 $120.00 15.3% 4.4% 10.0% 34.6% 15.8% 2.9% -0.1% -22.4M 2.69B -27.5M 1.13 7.87 80,804 91,415 1,610,159 894,062 2014-09-29 $117.03 $120.00 14.8% 4.4% 10.0% 30.6% 15.6% 2.6% 0.1% -38.6M 2.58B -26.7M 0.96 7.75 48,027 46,123 1,612,393 862,220 2014-09-30 $116.21 $120.00 16.5% 4.6% 8.4% 44.0% 16.1% 3.3% 0.1% -73.0M 2.94B -26.6M 1.35 6.37 68,440 92,475 1,632,189 876,379
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