GLD Options History — October 2014

In October 2014, GLD traded between $112.64 and $120.17. ATM implied volatility averaged 15.8%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.9% (HV 20d: 10.9%). Max pain ranged from $114.00 to $150.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.18.

Notable Days

2014-10-31: Highest Volume — 358,096 contracts
2014-10-31: Largest IV spike — 20.7% change
2014-10-31: Highest IV Rank — 81.2%
2014-10-31: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.57	$112.64	$120.17	$116.77	$112.64
Max Pain	$126.95	$114.00	$150.00	$120.00	$123.00
ATM IV	15.8%	14.1%	18.6%	16.4%	18.6%
Expected Move	4.5%	4.2%	5.0%	4.6%	5.0%
HV 20d	10.9%	8.5%	13.2%	8.5%	13.2%
HV 60d	10.6%	9.9%	11.9%	11.2%	10.8%
IV Rank	44.4%	33.8%	81.2%	42.8%	81.2%
IV Percentile	65.3%	41.3%	95.6%	69.8%	95.6%
Term Structure	-0.2%	-3.4%	0.2%	0.1%	0.0%
VWIV	16.2%	14.4%	18.1%	16.2%	18.1%
Skew 25d	1.9%	0.7%	3.4%	3.0%	3.1%
Skew 10d	3.7%	1.0%	6.3%	5.4%	6.3%
Call IV 25d	15.4%	14.0%	18.0%	15.6%	18.0%
Put IV 25d	17.4%	15.2%	21.1%	18.7%	21.1%
Bid-Ask Spread %	11.96	6.91	61.35	6.91	13.87
Gamma HHI	0.07	0.04	0.51	0.05	0.06
Net GEX	45.2M	-201.1M	238.9M	-6.1M	-169.7M
Net DEX	1.48B	-270.6M	4.46B	2.33B	4.46B
Net VEX	-26.9M	-31.4M	-49.8K	-27.6M	-24.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.42	1.91	0.71	1.83
Total Volume	166,710.957	1,143	358,096	124,511	358,096
Total OI	2,414,050.087	4,655	2,785,053	2,446,261	2,545,024

Daily Data (23 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
2014-10-01	$116.77	$120.00	16.4%	4.6%	8.5%	42.8%	16.2%	3.0%	0.1%	-6.1M	2.33B	-27.6M	0.71	6.91	72,726	51,785	1,609,617	836,644
2014-10-02	$116.74	$120.00	16.4%	4.5%	8.5%	43.2%	16.1%	2.9%	-0.2%	-9.7M	2.31B	-27.5M	0.93	7.79	76,645	71,416	1,651,030	858,303
2014-10-03	$114.61	$120.00	17.1%	4.7%	9.9%	48.3%	17.5%	3.4%	0.0%	-180.3M	3.73B	-24.9M	1.46	8.17	109,579	159,714	1,670,636	883,837
2014-10-06	$116.03	$120.00	15.8%	4.5%	10.9%	38.2%	15.8%	2.6%	-0.1%	-23.4M	2.61B	-26.4M	0.54	7.28	90,735	48,918	1,644,845	867,962
2014-10-07	$116.36	$120.00	15.7%	4.4%	10.9%	37.2%	15.8%	2.5%	-0.1%	22.9M	2.37B	-26.6M	0.78	7.58	57,044	44,520	1,686,289	886,905
2014-10-08	$117.50	$120.00	15.7%	4.4%	11.6%	37.2%	15.6%	2.4%	-0.2%	115.4M	1.62B	-27.8M	1.16	7.69	105,901	122,972	1,710,769	903,873
2014-10-09	$117.58	$120.00	16.0%	4.4%	11.4%	39.8%	15.6%	2.4%	-0.1%	140.7M	1.47B	-28.3M	1.25	7.35	78,533	98,394	1,735,754	934,852
2014-10-10	$117.42	$120.00	16.3%	4.6%	11.0%	43.1%	15.9%	2.8%	-0.1%	91.3M	1.66B	-28.5M	1.11	7.08	53,470	59,234	1,740,062	957,969
2014-10-13	$118.50	$114.00	15.4%	4.5%	11.5%	35.6%	16.7%	2.2%	-3.4%	3.3M	-1.7M	-49.8K	0.53	61.35	745	398	3,262	1,393
2014-10-14	$118.53	$120.00	15.8%	4.5%	11.5%	39.2%	15.6%	2.1%	-0.4%	120.5M	986.1M	-29.0M	0.42	6.96	128,443	54,479	1,712,799	913,814
2014-10-15	$119.00	$120.00	17.8%	4.8%	10.8%	56.9%	16.9%	1.2%	-0.4%	179.5M	322.7M	-31.1M	0.62	9.28	147,893	91,496	1,770,758	937,504
2014-10-16	$119.22	$120.00	17.4%	4.8%	10.8%	59.6%	17.5%	1.1%	-0.5%	238.9M	80.4M	-31.4M	1.26	8.88	70,114	88,184	1,786,432	949,721
2014-10-17	$118.99	$120.00	16.1%	4.7%	10.6%	54.7%	17.2%	1.2%	-0.4%	94.0M	356.1M	-30.3M	0.91	7.56	86,154	78,132	1,799,624	985,429
2014-10-20	$119.79	$0.00	15.3%	4.5%	10.7%	46.2%	15.9%	0.8%	0.0%	163.8M	-120.5M	-30.6M	1.23	8.93	49,434	60,922	1,462,119	837,306
2014-10-21	$120.17	$120.00	15.1%	4.4%	10.6%	44.1%	15.9%	0.7%	0.1%	182.0M	-270.6M	-30.6M	1.91	8.94	49,846	95,248	1,472,492	848,104
2014-10-22	$119.35	$150.00	14.5%	4.4%	10.8%	38.4%	16.9%	0.8%	-0.0%	138.8M	258.3M	-30.0M	1.69	10.98	58,225	98,127	1,482,585	886,636
2014-10-23	$118.60	$149.00	14.8%	4.4%	11.0%	41.5%	16.9%	1.4%	-0.0%	53.1M	838.3M	-29.0M	1.90	14.13	65,167	123,972	1,492,869	909,515
2014-10-24	$118.38	$145.00	14.2%	4.3%	11.0%	35.4%	16.0%	1.0%	-0.1%	62.2M	1.04B	-28.7M	1.29	14.40	66,901	86,523	1,504,705	937,244
2014-10-27	$118.13	$145.00	14.5%	4.3%	11.0%	38.4%	15.2%	1.1%	0.0%	57.7M	1.21B	-27.9M	1.60	12.04	51,192	81,732	1,477,207	898,673
2014-10-28	$118.10	$143.00	14.1%	4.2%	10.7%	33.8%	15.1%	1.3%	0.1%	40.4M	1.30B	-27.0M	0.95	12.00	30,326	28,851	1,485,270	915,766
2014-10-29	$116.43	$137.00	14.5%	4.2%	11.8%	37.8%	14.4%	2.0%	0.2%	-73.6M	2.39B	-25.4M	1.22	13.16	112,515	137,400	1,502,426	928,747
2014-10-30	$115.22	$127.00	15.4%	4.4%	12.4%	48.0%	14.9%	2.7%	0.1%	-201.1M	3.13B	-25.8M	1.78	12.66	83,498	148,753	1,531,268	965,113
2014-10-31	$112.64	$123.00	18.6%	5.0%	13.2%	81.2%	18.1%	3.1%	0.0%	-169.7M	4.46B	-24.8M	1.83	13.87	126,390	231,706	1,548,486	996,538