GLD Options History — December 2014

In December 2014, GLD traded between $112.41 and $118.10. ATM implied volatility averaged 17.8%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 6.1% (HV 20d: 23.9%). Max pain ranged from $113.00 to $115.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.86.

Notable Days

2014-12-01: Highest Volume — 257,139 contracts
2014-12-22: Largest IV spike — 11.8% change
2014-12-01: Highest IV Rank — 75.9%
2014-12-16: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.20	$112.41	$118.10	$116.60	$113.58
Max Pain	$114.55	$113.00	$115.00	$114.00	$115.00
ATM IV	17.8%	16.2%	19.6%	19.6%	18.2%
Expected Move	5.0%	4.8%	5.3%	5.1%	5.1%
HV 20d	23.9%	18.6%	27.4%	26.8%	18.8%
HV 60d	19.2%	18.2%	20.2%	18.2%	20.1%
IV Rank	59.9%	45.9%	75.9%	75.9%	63.5%
IV Percentile	85.7%	75.0%	96.4%	96.4%	89.3%
Term Structure	-0.0%	-0.4%	0.3%	-0.1%	-0.0%
VWIV	18.2%	17.0%	20.8%	18.8%	18.7%
Skew 25d	2.2%	1.4%	2.8%	2.5%	2.4%
Skew 10d	4.2%	2.6%	5.4%	5.1%	4.5%
Call IV 25d	17.3%	15.9%	19.2%	19.2%	17.6%
Put IV 25d	19.5%	17.8%	21.6%	21.6%	20.0%
Bid-Ask Spread %	5.35	4.21	10.80	10.80	4.83
Gamma HHI	0.04	0.04	0.07	0.04	0.05
Net GEX	14.3M	-122.0M	180.1M	111.4M	-71.9M
Net DEX	1.68B	-31.5M	2.76B	830.7M	2.33B
Net VEX	-23.7M	-26.6M	-20.6M	-26.6M	-20.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.41	1.58	0.53	0.82
Total Volume	137,857.636	66,675	257,139	257,139	79,084
Total OI	2,529,419.091	2,227,643	2,705,148	2,529,418	2,310,454

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
2014-12-01	$116.60	$114.00	19.6%	5.1%	26.8%	75.9%	18.8%	2.5%	-0.1%	111.4M	830.7M	-26.6M	0.53	10.80	167,573	89,566	1,622,147	907,271
2014-12-02	$115.15	$114.00	18.9%	5.0%	27.2%	69.3%	17.8%	2.4%	-0.2%	67.0M	1.68B	-25.4M	0.53	9.48	74,076	39,147	1,690,791	937,496
2014-12-03	$116.32	$114.00	18.0%	4.9%	27.4%	62.0%	20.8%	2.6%	0.0%	111.1M	1.03B	-25.9M	0.98	5.52	81,258	79,691	1,674,109	943,628
2014-12-04	$115.88	$113.00	17.7%	4.9%	26.0%	59.5%	17.6%	2.4%	0.1%	74.5M	1.34B	-25.6M	0.71	4.77	39,010	27,665	1,680,890	988,080
2014-12-05	$114.52	$114.00	17.5%	4.8%	26.5%	57.4%	17.2%	2.8%	0.1%	-21.8M	2.22B	-24.4M	1.14	5.42	65,735	74,629	1,698,307	994,290
2014-12-08	$115.75	$114.00	17.2%	4.8%	24.8%	55.2%	17.0%	2.2%	-0.2%	49.0M	1.56B	-24.3M	0.67	4.60	71,288	47,407	1,653,901	956,212
2014-12-09	$118.10	$114.00	17.8%	4.9%	23.7%	59.9%	17.8%	1.6%	-0.4%	166.9M	-31.5M	-26.2M	0.56	4.58	138,907	77,981	1,661,472	964,776
2014-12-10	$118.05	$114.00	17.1%	4.8%	23.3%	53.9%	17.6%	1.8%	-0.2%	180.1M	61.4M	-26.0M	0.53	5.71	95,085	50,554	1,672,059	979,212
2014-12-11	$117.72	$114.00	17.0%	4.8%	23.2%	53.4%	17.3%	1.7%	-0.3%	144.3M	290.1M	-25.0M	0.41	4.81	98,471	40,484	1,673,893	985,608
2014-12-12	$117.48	$115.00	17.3%	4.9%	23.2%	55.6%	18.0%	1.4%	0.0%	148.4M	424.4M	-25.4M	0.46	4.68	113,834	51,903	1,676,611	991,016
2014-12-15	$114.64	$115.00	18.5%	5.1%	23.6%	66.0%	18.2%	1.9%	-0.1%	985.5K	2.25B	-23.6M	0.57	4.66	109,466	62,286	1,666,910	957,489
2014-12-16	$115.00	$115.00	19.5%	5.3%	23.5%	74.8%	19.0%	2.0%	-0.2%	2.9M	2.06B	-24.3M	0.56	4.21	134,928	76,139	1,657,319	966,451
2014-12-17	$114.29	$115.00	18.6%	5.3%	23.4%	66.9%	20.4%	2.3%	-0.1%	-58.7M	2.58B	-23.6M	1.30	5.70	87,906	114,081	1,664,361	980,567
2014-12-18	$115.14	$115.00	16.8%	5.0%	23.2%	51.2%	18.4%	1.9%	0.1%	-31.7M	2.15B	-23.4M	0.72	4.21	87,428	62,720	1,678,275	1,015,478
2014-12-19	$114.77	$115.00	16.2%	4.8%	22.9%	45.9%	17.4%	1.9%	0.1%	-108.7M	2.41B	-22.8M	1.23	4.45	32,517	40,068	1,684,972	1,020,176
2014-12-22	$112.41	$115.00	18.1%	5.2%	24.0%	62.3%	18.4%	2.3%	0.1%	-107.0M	2.76B	-20.9M	1.58	4.56	58,124	92,036	1,376,630	851,013
2014-12-23	$112.71	$115.00	17.5%	5.0%	24.0%	57.8%	17.6%	2.3%	0.2%	-120.2M	2.67B	-21.2M	1.21	6.57	58,819	71,101	1,393,874	880,923
2014-12-24	$112.77	$115.00	17.0%	4.9%	24.0%	53.0%	17.6%	2.4%	0.3%	-122.0M	2.72B	-21.2M	1.15	4.76	35,749	41,183	1,415,768	898,027
2014-12-26	$114.68	$115.00	16.8%	4.8%	24.8%	51.5%	17.6%	2.3%	0.3%	-19.7M	1.79B	-21.7M	0.99	4.27	45,556	44,987	1,419,993	896,856
2014-12-29	$113.69	$115.00	18.2%	5.1%	23.0%	63.9%	18.8%	2.4%	-0.0%	-77.9M	2.27B	-20.9M	1.40	4.34	39,749	55,514	1,402,101	870,448
2014-12-30	$115.20	$115.00	17.7%	4.9%	18.6%	59.1%	17.9%	2.2%	0.0%	-3.5M	1.49B	-21.2M	0.84	4.78	42,931	36,232	1,408,756	878,610
2014-12-31	$113.58	$115.00	18.2%	5.1%	18.8%	63.5%	18.7%	2.4%	-0.0%	-71.9M	2.33B	-20.6M	0.82	4.83	43,360	35,724	1,423,026	887,428