GLD Options History — May 2015 In May 2015, GLD traded between $112.85 and $117.52. ATM implied volatility averaged 13.9%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.1% (HV 20d: 15.0%). Max pain ranged from $115.00 to $118.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.71.
Notable Days 2015-05-28 : Highest Volume — 384,503 contracts2015-05-08 : Largest IV drop — 13.0% change2015-05-07 : Highest IV Rank — 40.4%2015-05-07 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $114.96 $112.85 $117.52 $112.85 $114.12 Max Pain $117.00 $115.00 $118.00 $115.00 $117.00 ATM IV 13.9% 12.3% 15.5% 14.5% 12.4% Expected Move 4.1% 3.7% 4.6% 4.3% 3.7% HV 20d 15.0% 12.1% 16.4% 15.3% 12.1% HV 60d 14.0% 13.6% 14.6% 14.4% 14.3% IV Rank 26.3% 13.1% 40.4% 32.0% 13.4% IV Percentile 37.3% 13.9% 58.7% 50.8% 14.7% Term Structure 0.1% -0.3% 0.6% 0.4% -0.1% VWIV 14.7% 13.0% 16.8% 15.3% 13.0% Skew 25d 0.7% 0.1% 1.3% 1.3% 0.6% Skew 10d 1.5% 0.4% 2.5% 2.5% 1.1% Call IV 25d 14.0% 12.4% 15.5% 14.3% 12.6% Put IV 25d 14.7% 13.2% 16.5% 15.6% 13.2% Bid-Ask Spread % 3.63 2.89 4.75 3.64 3.75 Gamma HHI 0.08 0.05 0.30 0.06 0.07 Net GEX 210.6M 10.1M 846.3M 10.1M 146.0M Net DEX -248.5M -2.40B 876.5M 876.5M 578.4M Net VEX -31.8M -34.6M -28.9M -30.5M -30.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.28 1.21 0.72 0.82 Total Volume 150,606.65 49,853 384,503 160,388 140,579 Total OI 2,126,953.7 1,985,663 2,332,499 2,046,123 2,332,499
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 2015-05-01 $112.85 $115.00 14.5% 4.3% 15.3% 32.0% 15.3% 1.3% 0.4% 10.1M 876.5M -30.5M 0.72 3.64 93,431 66,957 1,363,557 682,566 2015-05-04 $114.10 $117.00 15.0% 4.5% 15.2% 36.2% 16.8% 0.9% 0.1% 136.2M -21.3M -31.8M 1.04 4.12 33,910 35,348 1,343,123 663,877 2015-05-05 $114.46 $117.00 14.7% 4.4% 15.2% 33.6% 16.3% 0.9% 0.1% 174.1M -215.8M -32.0M 0.80 3.87 67,360 53,985 1,353,380 674,872 2015-05-06 $114.32 $117.00 15.1% 4.5% 15.1% 36.9% 16.7% 0.9% 0.1% 147.1M -77.5M -31.9M 0.72 3.29 77,168 55,405 1,361,619 684,449 2015-05-07 $113.50 $117.00 15.5% 4.6% 15.1% 40.4% 16.2% 1.0% -0.0% 79.4M 420.1M -31.8M 0.79 4.75 70,562 55,659 1,392,334 703,177 2015-05-08 $113.97 $117.00 13.5% 4.1% 14.7% 23.1% 14.4% 1.0% 0.2% 111.8M 243.7M -31.1M 0.46 3.93 76,958 35,734 1,404,006 712,411 2015-05-11 $113.53 $116.00 14.0% 4.1% 14.6% 27.6% 14.9% 1.0% 0.4% 79.2M 423.8M -30.6M 0.62 4.09 30,862 18,991 1,378,807 683,508 2015-05-12 $114.44 $116.00 13.6% 4.0% 14.7% 23.9% 14.5% 0.8% 0.5% 144.1M -140.6M -31.0M 0.67 2.89 55,830 37,512 1,393,550 690,471 2015-05-13 $116.54 $116.00 13.8% 4.1% 15.8% 25.8% 14.6% 0.3% 0.5% 385.9M -1.71B -32.8M 0.49 3.33 211,085 102,835 1,401,077 694,520 2015-05-14 $117.14 $117.00 14.2% 4.2% 15.9% 29.5% 15.1% 0.2% 0.6% 486.2M -2.25B -34.6M 0.57 3.13 137,164 77,614 1,473,628 736,354 2015-05-15 $117.47 $117.00 13.7% 4.0% 15.8% 25.1% 14.4% 0.1% 0.5% 846.3M -2.40B -34.4M 0.70 3.53 92,383 64,751 1,483,306 754,463 2015-05-18 $117.52 $117.00 14.2% 4.1% 15.6% 29.4% 15.3% 0.3% -0.1% 334.0M -1.68B -33.9M 0.57 3.72 65,358 37,094 1,326,616 659,047 2015-05-19 $115.89 $118.00 14.4% 4.1% 16.4% 30.6% 14.7% 0.6% -0.2% 218.5M -482.5M -32.6M 0.36 3.52 137,211 49,487 1,370,738 681,770 2015-05-20 $116.06 $118.00 13.8% 4.0% 15.7% 26.0% 14.1% 0.6% -0.1% 258.3M -650.3M -33.1M 0.38 3.59 132,181 50,702 1,465,671 703,594 2015-05-21 $115.74 $118.00 13.2% 3.8% 15.6% 20.8% 13.7% 0.6% -0.3% 218.7M -289.8M -32.1M 1.21 3.23 42,083 50,981 1,467,952 711,193 2015-05-22 $115.63 $118.00 12.8% 3.7% 14.8% 17.5% 13.1% 0.8% -0.1% 192.2M -104.6M -32.8M 0.87 3.36 61,246 53,426 1,487,252 734,778 2015-05-26 $113.95 $118.00 13.5% 4.0% 14.1% 23.3% 14.3% 1.2% -0.1% 86.9M 845.4M -30.3M 1.15 3.82 68,946 78,986 1,459,675 704,841 2015-05-27 $113.90 $117.00 12.3% 3.7% 13.7% 13.1% 13.1% 0.8% -0.1% 69.5M 874.0M -28.9M 1.03 3.35 53,020 54,826 1,471,776 718,504 2015-05-28 $113.98 $117.00 12.8% 3.8% 13.6% 17.2% 13.9% 0.7% -0.0% 88.4M 784.1M -29.2M 0.28 3.66 299,977 84,526 1,487,202 726,911 2015-05-29 $114.12 $117.00 12.4% 3.7% 12.1% 13.4% 13.0% 0.6% -0.1% 146.0M 578.4M -30.1M 0.82 3.75 77,300 63,279 1,564,773 767,726
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