GLD Options History — February 2015 In February 2015, GLD traded between $115.26 and $122.42. ATM implied volatility averaged 17.6%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.0% (HV 20d: 18.6%). Max pain ranged from $117.00 to $119.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.86.
Notable Days 2015-02-06 : Highest Volume — 248,715 contracts2015-02-25 : Largest IV drop — 7.3% change2015-02-03 : Highest IV Rank — 67.6%2015-02-02 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $117.78 $115.26 $122.42 $122.42 $116.27 Max Pain $118.55 $117.00 $119.00 $118.50 $117.00 ATM IV 17.6% 14.6% 18.6% 18.5% 14.6% Expected Move 5.1% 4.3% 5.4% 5.4% 4.3% HV 20d 18.6% 15.2% 20.8% 18.9% 15.2% HV 60d 20.2% 17.4% 21.8% 21.8% 17.4% IV Rank 58.2% 32.3% 67.6% 66.3% 32.3% IV Percentile 77.6% 50.4% 89.3% 87.3% 50.4% Term Structure -0.1% -0.5% 0.5% -0.1% -0.2% VWIV 18.3% 15.2% 19.5% 19.5% 15.2% Skew 25d 0.5% -0.1% 1.0% -0.1% 0.2% Skew 10d 0.7% -0.6% 1.6% -0.5% 0.2% Call IV 25d 17.9% 15.0% 19.3% 19.1% 15.0% Put IV 25d 18.3% 15.2% 19.4% 19.0% 15.2% Bid-Ask Spread % 3.43 3.03 3.91 3.26 3.12 Gamma HHI 0.05 0.04 0.09 0.06 0.04 Net GEX 102.4M -44.3M 267.7M 241.9M 76.8M Net DEX -528.6M -2.53B 764.9M -2.53B -148.2M Net VEX -28.6M -30.7M -26.4M -29.6M -27.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.40 1.39 0.54 0.68 Total Volume 139,198.158 61,034 248,715 61,034 177,968 Total OI 1,865,665.053 1,705,877 2,006,675 1,719,652 1,873,141
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 2015-02-02 $122.42 $118.50 18.5% 5.4% 18.9% 66.3% 19.5% -0.1% -0.1% 241.9M -2.53B -29.6M 0.54 3.26 39,586 21,448 1,120,651 599,001 2015-02-03 $121.04 $119.00 18.6% 5.4% 19.0% 67.6% 19.2% -0.1% -0.2% 200.3M -1.88B -29.1M 0.68 3.29 99,854 67,818 1,138,027 607,099 2015-02-04 $121.67 $119.00 18.6% 5.4% 18.7% 66.8% 19.3% 0.1% 0.0% 246.6M -2.29B -30.1M 0.40 3.52 105,785 42,407 1,185,123 622,655 2015-02-05 $121.61 $119.00 18.2% 5.3% 18.5% 63.6% 19.2% 0.1% 0.1% 267.7M -2.33B -30.6M 0.50 3.77 105,017 52,912 1,231,829 630,643 2015-02-06 $118.61 $119.00 18.6% 5.4% 20.8% 67.5% 19.5% 0.2% -0.0% 131.7M -651.1M -29.6M 0.84 3.83 135,333 113,382 1,266,522 641,273 2015-02-09 $119.16 $119.00 18.6% 5.4% 20.6% 66.6% 19.3% 0.4% 0.1% 179.2M -1.18B -30.7M 0.83 3.38 65,142 54,118 1,243,455 633,602 2015-02-10 $118.57 $119.00 18.0% 5.2% 20.3% 62.1% 18.7% 0.4% 0.1% 144.6M -777.4M -30.1M 0.97 3.36 46,837 45,578 1,260,963 643,647 2015-02-11 $117.14 $119.00 18.2% 5.3% 20.8% 63.7% 18.8% 0.9% 0.2% 72.5M -117.1M -29.3M 0.82 3.81 74,222 60,974 1,272,056 649,406 2015-02-12 $117.36 $119.00 17.6% 5.2% 20.8% 58.8% 18.6% 0.7% 0.5% 84.6M -227.3M -29.2M 1.10 3.67 65,443 72,047 1,295,276 654,754 2015-02-13 $117.95 $119.00 16.9% 4.9% 18.9% 52.0% 17.5% 0.5% 0.4% 154.4M -480.6M -30.3M 0.76 3.36 60,112 45,577 1,321,984 684,691 2015-02-17 $116.03 $119.00 18.0% 5.2% 18.9% 61.9% 18.4% 0.6% -0.5% -10.5M 465.2M -28.0M 0.83 3.12 68,275 56,535 1,266,819 670,169 2015-02-18 $116.32 $119.00 18.0% 5.2% 18.0% 62.2% 18.6% 0.8% -0.5% -5.5M 278.9M -28.2M 1.36 3.73 67,022 91,141 1,287,090 682,172 2015-02-19 $115.94 $118.00 17.0% 4.9% 17.9% 53.1% 17.7% 0.6% -0.1% -44.3M 470.8M -27.2M 0.97 3.38 47,302 45,853 1,295,507 655,865 2015-02-20 $115.28 $118.00 17.7% 5.1% 17.4% 59.1% 18.4% 1.0% -0.3% -26.3M 764.9M -26.7M 1.22 3.91 59,939 73,095 1,312,426 657,844 2015-02-23 $115.45 $118.00 17.8% 5.2% 17.4% 60.3% 19.2% 0.7% -0.3% 53.8M 177.6M -27.0M 0.75 3.45 85,991 64,650 1,162,618 543,259 2015-02-24 $115.26 $118.00 17.4% 5.0% 17.3% 56.5% 18.1% 0.8% -0.2% 47.2M 241.9M -26.6M 1.16 3.13 57,179 66,474 1,182,125 562,422 2015-02-25 $115.70 $118.00 16.1% 4.6% 16.6% 45.5% 16.5% 0.6% -0.3% 56.7M 122.2M -26.4M 1.39 3.03 47,477 66,204 1,200,097 577,468 2015-02-26 $115.96 $118.00 15.3% 4.5% 16.7% 39.1% 16.0% 0.4% -0.2% 74.5M 42.5M -26.9M 0.51 3.08 130,125 65,943 1,216,326 599,631 2015-02-27 $116.27 $117.00 14.6% 4.3% 15.2% 32.3% 15.2% 0.2% -0.2% 76.8M -148.2M -27.0M 0.68 3.12 105,693 72,275 1,272,319 600,822
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