GLD Options History — November 2014 In November 2014, GLD traded between $109.72 and $115.42. ATM implied volatility averaged 19.8%, placing in the 85.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.0% (HV 20d: 19.8%). Max pain ranged from $113.00 to $119.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.90.
Notable Days 2014-11-14 : Highest Volume — 254,019 contracts2014-11-28 : Largest IV spike — 18.8% change2014-11-05 : Highest IV Rank — 100.0%2014-11-28 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $113.04 $109.72 $115.42 $112.10 $112.11 Max Pain $115.11 $113.00 $119.00 $119.00 $114.00 ATM IV 19.8% 18.0% 22.4% 18.8% 22.4% Expected Move 5.2% 4.8% 5.5% 5.0% 5.5% HV 20d 19.8% 12.3% 24.2% 12.4% 24.2% HV 60d 14.2% 10.8% 16.2% 10.8% 16.2% IV Rank 85.4% 69.5% 100.0% 82.9% 100.0% IV Percentile 96.0% 88.9% 100.0% 95.6% 100.0% Term Structure -0.3% -0.6% -0.1% -0.3% -0.6% VWIV 19.3% 17.4% 20.8% 19.2% 20.1% Skew 25d 2.3% 1.2% 4.0% 2.8% 2.5% Skew 10d 4.3% 1.8% 7.0% 4.8% 5.0% Call IV 25d 19.3% 17.4% 22.3% 18.2% 22.3% Put IV 25d 21.6% 19.6% 24.9% 21.0% 24.9% Bid-Ask Spread % 9.77 8.44 11.73 10.49 11.73 Gamma HHI 0.04 0.03 0.07 0.05 0.05 Net GEX -7.4M -155.3M 139.2M -106.7M -79.7M Net DEX 2.93B 1.49B 5.02B 3.96B 3.18B Net VEX -25.5M -28.3M -22.7M -24.7M -23.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.48 1.39 1.28 1.31 Total Volume 150,191.158 66,960 254,019 176,243 130,399 Total OI 2,642,933.526 2,454,049 2,805,763 2,486,800 2,588,980
Daily Data (19 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 2014-11-03 $112.10 $119.00 18.8% 5.0% 12.4% 82.9% 19.2% 2.8% -0.3% -106.7M 3.96B -24.7M 1.28 10.49 77,302 98,941 1,547,895 938,905 2014-11-04 $112.16 $119.00 18.0% 4.8% 12.3% 75.1% 19.1% 2.5% -0.2% -116.5M 4.07B -23.4M 0.92 9.76 79,084 72,616 1,571,990 959,327 2014-11-05 $109.72 $119.00 21.2% 5.3% 13.4% 100.0% 20.2% 3.5% -0.3% -155.3M 5.02B -22.7M 0.80 8.93 103,135 82,766 1,595,858 980,163 2014-11-06 $109.90 $119.00 20.8% 5.3% 13.5% 96.1% 20.4% 4.0% -0.5% -141.4M 4.84B -23.9M 0.82 9.12 93,668 76,369 1,644,503 996,033 2014-11-07 $113.09 $118.00 19.2% 5.1% 17.6% 80.8% 19.8% 3.2% -0.3% 17.0M 3.02B -26.7M 0.82 8.84 132,992 108,496 1,669,978 1,008,730 2014-11-10 $110.35 $118.00 20.1% 5.2% 18.8% 89.0% 19.7% 3.1% -0.2% -83.5M 4.32B -23.7M 0.92 9.52 83,695 77,195 1,657,807 959,345 2014-11-11 $112.09 $118.00 19.3% 5.0% 20.0% 81.1% 17.7% 3.0% -0.2% -46.7M 3.60B -24.6M 0.77 8.91 80,313 61,491 1,652,424 957,024 2014-11-12 $111.43 $113.00 19.1% 5.1% 19.9% 79.8% 19.0% 2.9% -0.3% -67.0M 3.90B -24.4M 1.00 10.09 54,617 54,596 1,698,436 996,402 2014-11-13 $111.65 $113.00 18.6% 5.0% 19.9% 75.0% 18.7% 3.0% -0.5% -65.7M 3.79B -24.4M 0.73 9.53 67,653 49,728 1,708,861 1,008,282 2014-11-14 $114.47 $113.00 20.8% 5.4% 22.3% 96.2% 19.1% 1.4% -0.2% 80.5M 1.78B -27.9M 0.57 9.76 161,882 92,137 1,723,989 1,019,065 2014-11-17 $114.08 $113.00 20.7% 5.3% 22.0% 94.8% 19.4% 1.4% -0.5% 65.5M 2.08B -28.3M 0.71 10.27 70,922 50,610 1,728,377 1,005,368 2014-11-18 $115.06 $113.00 21.4% 5.4% 22.3% 100.0% 19.6% 1.2% -0.6% 105.5M 1.49B -28.2M 0.79 10.73 73,105 57,545 1,736,393 1,013,248 2014-11-19 $113.68 $113.00 21.4% 5.4% 22.5% 99.9% 19.5% 2.1% -0.5% 16.6M 2.51B -27.2M 1.30 11.71 74,148 96,690 1,739,301 1,032,221 2014-11-20 $114.88 $113.00 19.2% 5.1% 22.9% 78.9% 18.7% 1.6% -0.3% 94.1M 1.88B -26.8M 0.96 9.79 70,408 67,728 1,739,220 1,049,158 2014-11-21 $115.42 $113.00 18.9% 5.0% 23.0% 76.0% 18.0% 1.5% -0.3% 139.2M 1.50B -26.6M 0.83 10.65 81,477 67,676 1,744,452 1,061,311 2014-11-24 $115.11 $113.00 18.4% 5.0% 23.0% 71.8% 20.8% 1.5% -0.3% 54.5M 1.64B -25.5M 1.39 8.90 28,062 38,898 1,562,509 891,540 2014-11-25 $115.36 $113.00 18.2% 4.9% 23.1% 69.5% 19.9% 1.6% -0.1% 68.6M 1.58B -25.4M 0.62 8.50 91,738 56,810 1,576,980 908,627 2014-11-26 $115.16 $113.00 18.9% 5.0% 22.5% 76.0% 17.4% 1.2% -0.3% 79.5M 1.56B -25.9M 0.48 8.44 60,077 28,663 1,615,474 927,561 2014-11-28 $112.11 $114.00 22.4% 5.5% 24.2% 100.0% 20.1% 2.5% -0.6% -79.7M 3.18B -23.9M 1.31 11.73 56,498 73,901 1,650,645 938,335
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