GLD Options History — April 2015 In April 2015, GLD traded between $113.10 and $116.65. ATM implied volatility averaged 13.7%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.1% (HV 20d: 13.6%). Max pain ranged from $114.00 to $115.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2015-04-28 : Highest Volume — 251,055 contracts2015-04-13 : Largest IV spike — 5.1% change2015-04-01 : Highest IV Rank — 31.2%2015-04-27 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $115.13 $113.10 $116.65 $115.57 $113.61 Max Pain $114.74 $114.00 $115.50 $115.50 $115.00 ATM IV 13.7% 12.9% 14.4% 14.4% 14.2% Expected Move 4.0% 3.7% 4.3% 4.1% 4.2% HV 20d 13.6% 12.0% 16.0% 15.9% 15.1% HV 60d 15.1% 14.2% 16.0% 16.0% 14.4% IV Rank 25.1% 18.1% 31.2% 31.2% 29.0% IV Percentile 37.3% 23.0% 48.0% 46.8% 44.8% Term Structure 0.1% -0.1% 0.5% 0.2% 0.4% VWIV 14.3% 13.2% 15.3% 14.6% 15.1% Skew 25d 0.8% 0.1% 1.3% 1.3% 0.8% Skew 10d 1.7% 0.2% 2.6% 2.4% 1.8% Call IV 25d 13.8% 12.8% 14.4% 14.3% 14.3% Put IV 25d 14.6% 13.7% 15.5% 15.5% 15.1% Bid-Ask Spread % 3.81 3.38 4.74 3.78 3.70 Gamma HHI 0.05 0.04 0.08 0.05 0.05 Net GEX 143.1M -26.3M 274.4M 146.1M 81.0M Net DEX -374.5M -1.16B 588.9M -587.9M 418.8M Net VEX -28.9M -31.8M -27.5M -28.2M -30.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.29 1.00 0.52 0.95 Total Volume 132,078.19 82,417 251,055 126,002 148,363 Total OI 1,788,632.048 1,636,467 2,019,065 1,680,988 2,019,065
Daily Data (21 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 2015-04-01 $115.57 $115.50 14.4% 4.1% 15.9% 31.2% 14.6% 1.3% 0.2% 146.1M -587.9M -28.2M 0.52 3.78 82,812 43,190 1,135,071 545,917 2015-04-02 $115.30 $114.00 14.3% 4.2% 16.0% 30.1% 15.2% 1.2% 0.2% 148.7M -553.0M -28.6M 0.70 4.02 66,135 46,362 1,160,979 557,805 2015-04-06 $116.65 $114.00 14.3% 4.2% 12.5% 30.3% 14.9% 1.0% 0.1% 204.0M -1.12B -29.0M 0.81 4.74 65,468 52,919 1,166,850 550,256 2015-04-07 $116.14 $114.00 13.7% 4.0% 12.7% 25.1% 14.5% 1.0% 0.2% 189.4M -802.0M -28.6M 0.95 3.67 47,667 45,127 1,173,917 562,976 2015-04-08 $115.47 $114.00 13.4% 3.9% 12.8% 22.5% 13.9% 1.0% 0.3% 156.7M -435.3M -28.0M 0.85 3.77 44,554 37,863 1,179,669 574,224 2015-04-09 $114.70 $114.00 13.6% 3.9% 12.8% 24.0% 13.9% 1.0% 0.1% 103.6M -18.5M -27.5M 0.60 3.82 79,428 47,472 1,194,162 593,440 2015-04-10 $115.91 $114.00 12.9% 3.7% 13.2% 18.1% 13.5% 0.9% 0.2% 195.6M -704.6M -28.2M 0.74 3.82 68,275 50,508 1,222,570 601,636 2015-04-13 $115.19 $115.00 13.6% 3.9% 13.5% 23.8% 14.1% 0.7% 0.1% 138.5M -236.6M -27.8M 0.94 3.38 52,338 49,011 1,209,013 589,210 2015-04-14 $114.46 $115.00 13.9% 4.0% 13.8% 26.2% 14.1% 1.1% -0.0% 77.8M 124.5M -27.7M 0.42 3.61 88,924 37,527 1,219,828 604,474 2015-04-15 $115.42 $115.00 13.2% 3.8% 13.7% 20.5% 13.3% 0.7% 0.1% 169.8M -433.2M -28.6M 0.51 3.61 103,107 52,196 1,262,282 611,749 2015-04-16 $115.06 $115.00 13.1% 3.8% 12.3% 19.8% 13.2% 0.7% 0.1% 127.0M -234.5M -28.7M 0.63 3.41 69,462 43,747 1,287,753 633,477 2015-04-17 $115.53 $115.00 13.0% 3.7% 12.3% 19.1% 13.2% 0.5% 0.2% 160.9M -537.7M -28.9M 0.52 3.71 81,760 42,587 1,296,111 641,918 2015-04-20 $114.72 $115.00 13.6% 3.9% 12.1% 23.9% 14.2% 0.6% -0.1% 124.4M -197.9M -28.1M 0.65 3.97 57,093 37,340 1,090,043 546,424 2015-04-21 $115.24 $115.00 13.4% 3.8% 12.0% 22.6% 13.9% 0.5% -0.1% 165.7M -466.0M -28.4M 0.70 3.78 51,726 36,155 1,106,402 558,629 2015-04-22 $113.84 $115.00 13.9% 4.0% 12.7% 26.4% 14.3% 1.0% -0.0% 63.0M 207.7M -27.7M 0.53 4.01 108,584 57,241 1,113,253 567,558 2015-04-23 $114.60 $115.00 14.1% 4.0% 13.0% 28.4% 14.3% 0.9% -0.1% 116.0M -182.7M -29.7M 0.59 4.01 74,339 43,662 1,159,131 592,583 2015-04-24 $113.10 $115.00 14.4% 4.1% 13.5% 30.7% 14.7% 1.0% -0.1% -26.3M 588.9M -28.8M 1.00 4.09 71,232 70,973 1,170,824 599,958 2015-04-27 $115.35 $115.00 14.0% 4.3% 15.4% 27.7% 15.3% 0.8% 0.3% 153.0M -616.8M -30.4M 0.66 3.68 85,613 56,507 1,149,791 592,446 2015-04-28 $116.28 $115.00 13.7% 4.1% 15.0% 24.7% 14.8% 0.4% 0.5% 235.3M -1.16B -31.3M 0.29 3.73 193,880 57,175 1,181,682 610,061 2015-04-29 $115.55 $115.00 13.5% 4.0% 15.2% 23.5% 14.5% 0.1% 0.5% 274.4M -911.2M -31.8M 0.60 3.72 140,860 84,460 1,300,502 627,634 2015-04-30 $113.61 $115.00 14.2% 4.2% 15.1% 29.0% 15.1% 0.8% 0.4% 81.0M 418.8M -30.9M 0.95 3.70 76,101 72,262 1,356,288 662,777
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