GLD Options History — March 2015 In March 2015, GLD traded between $110.21 and $115.65. ATM implied volatility averaged 15.8%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.7% (HV 20d: 13.1%). Max pain ranged from $115.50 to $120.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.80.
Notable Days 2015-03-20 : Highest Volume — 215,004 contracts2015-03-18 : Largest IV drop — 9.1% change2015-03-17 : Highest IV Rank — 66.3%2015-03-17 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $113.16 $110.21 $115.65 $115.65 $113.58 Max Pain $117.25 $115.50 $120.00 $117.00 $115.50 ATM IV 15.8% 13.9% 18.5% 15.0% 14.6% Expected Move 4.5% 3.9% 5.3% 4.5% 4.2% HV 20d 13.1% 10.7% 14.9% 12.7% 14.6% HV 60d 16.8% 15.9% 17.8% 17.3% 15.9% IV Rank 43.1% 26.8% 66.3% 36.2% 32.5% IV Percentile 60.0% 38.1% 85.7% 54.8% 50.4% Term Structure 0.1% -0.4% 0.5% 0.1% 0.1% VWIV 16.1% 13.9% 18.8% 15.9% 14.9% Skew 25d 1.4% 0.4% 2.2% 0.5% 1.7% Skew 10d 2.8% 0.6% 5.1% 0.6% 3.7% Call IV 25d 15.6% 13.6% 17.9% 15.1% 14.2% Put IV 25d 17.0% 14.9% 20.1% 15.6% 15.9% Bid-Ask Spread % 3.59 3.16 4.25 3.16 3.74 Gamma HHI 0.05 0.04 0.08 0.04 0.05 Net GEX 20.7M -98.7M 148.7M 57.6M 63.5M Net DEX 772.5M -584.3M 1.97B 150.9M 355.9M Net VEX -26.3M -28.5M -24.5M -26.2M -26.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.23 2.08 0.67 0.82 Total Volume 107,300.636 40,237 215,004 146,935 89,322 Total OI 1,900,034.136 1,681,753 2,154,580 1,812,686 1,727,874
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 2015-03-02 $115.65 $117.00 15.0% 4.5% 12.7% 36.2% 15.9% 0.5% 0.1% 57.6M 150.9M -26.2M 0.67 3.16 88,111 58,824 1,233,788 578,898 2015-03-03 $115.37 $117.00 15.5% 4.6% 12.7% 40.6% 16.4% 0.4% -0.3% 53.3M 233.3M -26.3M 0.76 3.17 78,672 59,921 1,259,201 587,522 2015-03-04 $115.14 $117.00 15.3% 4.6% 12.3% 39.0% 16.3% 0.8% -0.1% 34.3M 353.8M -26.3M 0.79 3.27 73,111 57,896 1,272,089 596,543 2015-03-05 $115.05 $120.00 15.5% 4.4% 12.0% 40.6% 15.7% 0.8% -0.0% 23.0M 423.9M -26.2M 0.85 3.41 78,758 66,742 1,281,545 609,044 2015-03-06 $111.87 $120.00 16.9% 4.8% 14.9% 52.3% 16.9% 1.4% -0.4% -69.9M 1.75B -24.5M 1.12 3.73 97,146 108,442 1,298,484 623,275 2015-03-09 $111.97 $120.00 16.0% 4.6% 12.8% 44.9% 16.1% 1.5% 0.0% -62.9M 1.55B -24.7M 2.08 3.42 22,329 46,499 1,290,907 624,918 2015-03-10 $111.42 $120.00 17.1% 4.9% 12.5% 54.2% 17.4% 1.8% 0.1% -81.6M 1.74B -24.7M 1.17 3.52 42,096 49,042 1,298,634 640,885 2015-03-11 $110.75 $119.00 18.1% 5.1% 12.5% 62.4% 18.4% 1.9% -0.1% -95.8M 1.97B -25.1M 0.60 3.66 102,717 62,088 1,311,728 659,180 2015-03-12 $110.72 $118.00 17.0% 4.9% 12.1% 53.2% 17.2% 2.0% -0.0% -96.6M 1.96B -25.3M 0.88 3.35 42,573 37,393 1,389,345 677,566 2015-03-13 $110.88 $117.00 16.8% 4.8% 12.1% 51.3% 17.1% 2.1% 0.1% -98.7M 1.89B -25.4M 1.29 3.40 31,827 40,924 1,396,947 684,719 2015-03-16 $110.81 $117.00 17.0% 4.9% 11.8% 53.7% 17.4% 1.9% 0.1% -68.4M 1.78B -25.0M 0.60 3.40 29,486 17,582 1,376,440 666,830 2015-03-17 $110.21 $117.00 18.5% 5.3% 10.7% 66.3% 18.8% 2.2% -0.1% -60.3M 1.92B -25.0M 0.56 3.42 56,412 31,718 1,394,491 670,766 2015-03-18 $112.37 $117.00 16.8% 4.8% 13.2% 51.8% 17.0% 1.6% -0.1% 28.4M 1.03B -26.3M 0.58 4.17 98,048 57,281 1,421,733 680,237 2015-03-19 $112.29 $116.00 15.5% 4.4% 13.2% 40.1% 15.7% 1.6% 0.1% 70.1M 1.03B -25.9M 0.44 3.24 52,492 22,944 1,452,581 698,240 2015-03-20 $113.57 $116.00 15.2% 4.3% 13.8% 37.6% 15.7% 1.3% 0.4% 122.9M 353.3M -26.9M 0.23 3.80 174,453 40,551 1,451,540 703,040 2015-03-23 $114.29 $116.00 15.3% 4.3% 14.0% 38.8% 15.7% 1.2% 0.3% 100.9M -187.7M -28.1M 0.61 4.12 46,311 28,129 1,149,273 532,480 2015-03-24 $114.57 $116.00 15.0% 4.2% 14.1% 36.1% 15.2% 1.1% 0.3% 104.6M -265.8M -28.2M 0.89 3.59 21,272 18,965 1,138,965 543,699 2015-03-25 $114.73 $116.00 14.4% 4.0% 14.0% 30.7% 14.7% 1.1% 0.5% 112.3M -330.9M -28.4M 0.54 3.83 38,877 21,093 1,142,854 553,696 2015-03-26 $115.46 $116.00 14.1% 4.0% 14.2% 28.2% 14.1% 1.0% 0.3% 148.7M -584.3M -28.5M 0.62 3.81 79,299 49,409 1,152,618 563,101 2015-03-27 $115.06 $116.00 13.9% 3.9% 14.2% 26.8% 13.9% 1.3% 0.3% 114.7M -402.3M -28.3M 0.70 4.25 36,933 25,843 1,174,142 575,200 2015-03-30 $113.79 $116.00 14.5% 4.1% 14.6% 31.9% 14.5% 1.7% 0.2% 56.4M 272.3M -26.6M 0.87 3.59 42,230 36,853 1,153,742 561,991 2015-03-31 $113.58 $115.50 14.6% 4.2% 14.6% 32.5% 14.9% 1.7% 0.1% 63.5M 355.9M -26.5M 0.82 3.74 48,979 40,343 1,160,300 567,574
« Feb 2015 | All History | Apr 2015 » Home GLD History March 2015