GLD Options History — January 2015

In January 2015, GLD traded between $114.01 and $125.28. ATM implied volatility averaged 18.7%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.0% (HV 20d: 17.7%). Max pain ranged from $115.00 to $118.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.83.

Notable Days

2015-01-15: Highest Volume — 430,899 contracts
2015-01-15: Largest IV spike — 18.7% change
2015-01-20: Highest IV Rank — 93.1%
2015-01-20: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.39	$114.01	$125.28	$114.01	$123.27
Max Pain	$116.30	$115.00	$118.00	$115.00	$118.00
ATM IV	18.7%	16.4%	21.6%	18.4%	18.0%
Expected Move	5.3%	4.6%	6.2%	5.2%	5.2%
HV 20d	17.7%	15.5%	19.3%	18.4%	18.5%
HV 60d	21.0%	20.1%	21.7%	20.1%	21.7%
IV Rank	67.7%	48.4%	93.1%	65.3%	62.0%
IV Percentile	89.2%	77.0%	99.6%	90.9%	83.3%
Term Structure	-0.2%	-0.6%	0.1%	-0.1%	0.1%
VWIV	19.2%	16.3%	22.4%	19.9%	18.6%
Skew 25d	0.3%	-1.5%	2.4%	2.4%	-0.1%
Skew 10d	0.6%	-2.6%	4.8%	4.8%	-0.1%
Call IV 25d	19.1%	16.5%	23.0%	17.9%	18.5%
Put IV 25d	19.4%	17.4%	21.5%	20.3%	18.5%
Bid-Ask Spread %	4.02	2.84	5.91	4.94	3.87
Gamma HHI	0.09	0.04	0.57	0.06	0.09
Net GEX	244.3M	-84.2M	1.28B	-84.2M	130.6M
Net DEX	-1.60B	-4.49B	1.97B	1.97B	-2.97B
Net VEX	-26.4M	-31.7M	-20.6M	-20.6M	-29.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.29	3.16	1.11	0.68
Total Volume	174,900.05	51,481	430,899	156,331	147,043
Total OI	2,054,800.75	1,491,448	2,591,313	2,219,833	1,831,746

Daily Data (20 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
2015-01-02	$114.01	$115.00	18.4%	5.2%	18.4%	65.3%	19.9%	2.4%	-0.1%	-84.2M	1.97B	-20.6M	1.11	4.94	73,937	82,394	1,367,116	852,717
2015-01-05	$115.80	$115.00	19.1%	5.3%	19.3%	71.8%	19.5%	2.1%	-0.0%	22.3M	1.10B	-21.7M	0.48	4.18	114,975	55,264	1,352,150	847,311
2015-01-06	$117.12	$115.00	18.8%	5.3%	19.2%	68.6%	18.9%	1.9%	-0.1%	102.8M	326.8M	-23.4M	0.75	3.78	61,691	46,125	1,424,656	863,226
2015-01-07	$116.43	$115.00	18.7%	5.2%	19.0%	67.8%	21.3%	1.5%	-0.0%	85.3M	685.5M	-22.9M	3.16	3.81	22,949	72,429	1,442,253	869,829
2015-01-08	$116.01	$115.00	17.6%	4.9%	17.5%	58.9%	17.9%	1.6%	-0.2%	53.2M	999.8M	-22.4M	1.09	3.73	98,149	107,145	1,447,235	893,910
2015-01-09	$117.24	$115.00	17.0%	4.8%	18.0%	53.2%	17.0%	1.4%	0.0%	175.0M	258.3M	-22.8M	0.64	3.53	142,162	91,614	1,492,179	875,814
2015-01-12	$118.47	$115.00	16.4%	4.6%	18.4%	48.4%	16.3%	0.8%	-0.3%	243.6M	-462.4M	-23.4M	0.56	3.86	100,879	56,399	1,519,541	847,874
2015-01-13	$118.23	$115.00	16.5%	4.6%	18.4%	48.8%	16.4%	0.9%	-0.3%	251.2M	-402.1M	-24.1M	0.80	3.86	66,417	53,321	1,562,546	854,475
2015-01-14	$118.10	$115.00	17.0%	4.8%	15.9%	53.0%	17.3%	1.1%	-0.2%	251.7M	-286.5M	-24.4M	1.21	3.62	61,198	74,092	1,571,715	864,524
2015-01-15	$120.94	$115.00	20.1%	5.6%	17.7%	80.3%	20.0%	-0.3%	-0.6%	328.4M	-2.45B	-26.6M	0.29	4.73	332,915	97,984	1,581,082	883,851
2015-01-16	$122.52	$116.00	20.9%	5.9%	17.8%	86.9%	20.8%	-1.5%	-0.6%	1.28B	-3.68B	-28.1M	0.35	4.50	203,979	72,139	1,687,157	904,156
2015-01-20	$124.20	$117.00	21.6%	6.2%	18.1%	93.1%	22.4%	-1.4%	-0.5%	306.8M	-3.94B	-29.3M	0.60	4.03	108,254	64,761	999,451	491,997
2015-01-21	$124.23	$117.00	20.7%	5.9%	18.0%	84.9%	21.1%	-1.2%	-0.4%	310.6M	-3.95B	-29.9M	0.61	5.91	101,491	61,643	1,033,770	528,095
2015-01-22	$125.28	$118.00	19.7%	5.7%	15.5%	76.9%	20.2%	-1.1%	-0.1%	319.0M	-4.49B	-30.3M	0.52	3.69	164,046	85,563	1,070,320	557,880
2015-01-23	$124.27	$118.00	19.2%	5.5%	16.2%	72.0%	19.7%	-1.1%	-0.0%	274.9M	-4.10B	-31.7M	0.87	4.50	95,403	82,739	1,146,190	596,863
2015-01-26	$122.99	$118.00	18.4%	5.3%	17.0%	65.6%	19.4%	-0.6%	-0.1%	210.1M	-2.71B	-29.6M	0.71	3.81	36,729	26,009	1,081,730	585,236
2015-01-27	$124.40	$118.00	18.6%	5.4%	16.6%	67.2%	19.3%	-0.7%	-0.0%	271.0M	-3.47B	-29.9M	0.69	3.98	30,461	21,020	1,098,262	593,613
2015-01-28	$123.53	$118.00	18.0%	5.3%	16.4%	62.0%	18.5%	-0.5%	-0.0%	234.7M	-2.96B	-29.2M	0.50	3.27	115,737	57,408	1,098,912	601,475
2015-01-29	$120.81	$118.00	18.6%	5.4%	18.5%	67.5%	19.3%	0.4%	0.1%	116.6M	-1.42B	-28.7M	0.95	2.84	108,320	103,217	1,159,034	616,124
2015-01-30	$123.27	$118.00	18.0%	5.2%	18.5%	62.0%	18.6%	-0.1%	0.1%	130.6M	-2.97B	-29.9M	0.68	3.87	87,575	59,468	1,184,079	647,667