GLD Options History — June 2015

In June 2015, GLD traded between $112.29 and $115.30. ATM implied volatility averaged 12.7%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.6% (HV 20d: 10.2%). Max pain ranged from $114.00 to $117.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2015-06-17: Highest Volume — 198,994 contracts
2015-06-29: Largest IV spike — 13.1% change
2015-06-04: Highest IV Rank — 31.1%
2015-06-03: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.36	$112.29	$115.30	$114.13	$112.38
Max Pain	$114.41	$114.00	$117.00	$117.00	$114.00
ATM IV	12.7%	11.3%	14.4%	13.3%	13.8%
Expected Move	3.7%	3.2%	4.2%	4.1%	4.0%
HV 20d	10.2%	8.1%	11.9%	11.9%	9.8%
HV 60d	12.9%	12.1%	14.3%	14.3%	12.1%
IV Rank	15.4%	0.9%	31.1%	21.3%	22.9%
IV Percentile	19.2%	0.8%	46.8%	29.0%	35.7%
Term Structure	0.0%	-0.5%	0.6%	0.3%	-0.1%
VWIV	13.4%	11.6%	15.0%	14.4%	14.2%
Skew 25d	0.8%	0.3%	1.4%	0.9%	0.7%
Skew 10d	1.7%	0.8%	2.6%	2.2%	1.4%
Call IV 25d	12.8%	11.3%	14.4%	13.2%	14.0%
Put IV 25d	13.6%	12.0%	15.8%	14.1%	14.7%
Bid-Ask Spread %	3.70	3.13	4.17	3.13	3.58
Gamma HHI	0.06	0.04	0.10	0.06	0.06
Net GEX	65.3M	-113.2M	317.8M	198.1M	42.1M
Net DEX	883.2M	-430.5M	2.01B	441.3M	794.5M
Net VEX	-29.4M	-30.9M	-27.7M	-30.2M	-28.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.43	1.84	0.70	0.75
Total Volume	140,459.318	85,689	198,994	134,701	168,569
Total OI	2,388,789.182	2,032,616	2,698,266	2,312,835	2,135,725

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
2015-06-01	$114.13	$117.00	13.3%	4.1%	11.9%	21.3%	14.4%	0.9%	0.3%	198.1M	441.3M	-30.2M	0.70	3.13	79,215	55,486	1,566,558	746,277
2015-06-02	$114.46	$117.00	13.5%	4.0%	11.2%	23.2%	14.7%	0.8%	-0.5%	235.0M	245.4M	-30.8M	1.84	4.06	30,123	55,566	1,592,805	762,834
2015-06-03	$113.66	$117.00	13.8%	4.2%	11.5%	26.0%	15.0%	1.0%	-0.5%	103.0M	979.2M	-30.0M	1.05	3.30	56,267	59,084	1,595,735	801,900
2015-06-04	$112.84	$114.00	14.4%	4.0%	11.7%	31.1%	14.8%	1.4%	-0.5%	27.5M	1.39B	-30.6M	0.74	4.17	102,063	76,031	1,634,122	814,628
2015-06-05	$112.29	$114.00	13.5%	3.9%	11.6%	23.3%	13.8%	1.3%	-0.3%	-7.3M	2.01B	-29.7M	0.97	4.07	87,625	84,687	1,670,565	860,312
2015-06-08	$112.58	$114.00	13.5%	3.8%	11.5%	22.9%	14.0%	1.3%	-0.0%	-8.2M	1.63B	-29.3M	0.76	4.11	60,989	46,247	1,638,363	830,190
2015-06-09	$112.85	$114.00	13.2%	3.8%	11.5%	20.3%	13.6%	1.2%	-0.0%	4.4M	1.49B	-28.9M	0.93	3.71	54,395	50,345	1,652,476	836,085
2015-06-10	$113.78	$114.00	12.7%	3.6%	11.5%	16.1%	13.8%	0.8%	0.0%	140.1M	731.9M	-30.6M	0.43	3.46	135,830	58,035	1,669,887	842,184
2015-06-11	$113.29	$114.00	12.6%	3.6%	9.3%	15.1%	14.5%	0.8%	0.1%	73.9M	1.17B	-29.3M	0.62	3.79	94,924	58,502	1,745,824	852,072
2015-06-12	$113.24	$114.00	12.3%	3.6%	9.0%	13.2%	13.8%	0.7%	0.0%	38.3M	1.31B	-28.8M	0.59	3.53	91,276	54,019	1,738,340	859,338
2015-06-15	$113.74	$114.00	12.8%	3.6%	9.1%	16.6%	14.0%	0.8%	-0.0%	76.1M	943.7M	-28.7M	0.53	3.57	101,682	54,122	1,721,283	836,365
2015-06-16	$113.33	$114.00	12.8%	3.7%	9.1%	17.4%	13.0%	0.8%	-0.2%	3.5M	1.30B	-28.8M	0.57	3.53	86,428	49,416	1,740,103	850,790
2015-06-17	$113.81	$114.00	12.0%	3.4%	8.1%	9.8%	12.4%	0.7%	0.2%	40.4M	926.7M	-29.5M	0.64	3.99	121,536	77,458	1,766,787	857,385
2015-06-18	$115.30	$114.00	11.9%	3.4%	9.5%	9.6%	12.3%	0.4%	0.1%	317.8M	-430.5M	-30.9M	0.89	3.56	78,228	69,405	1,812,326	876,904
2015-06-19	$115.09	$114.00	11.7%	3.4%	9.4%	4.9%	12.2%	0.3%	0.0%	274.8M	-181.5M	-30.6M	0.73	3.82	76,418	55,428	1,813,946	884,320
2015-06-22	$113.47	$114.00	12.3%	3.5%	10.6%	10.0%	12.6%	0.7%	0.5%	41.1M	407.7M	-29.3M	0.99	3.64	60,949	60,349	1,336,862	695,754
2015-06-23	$112.90	$114.00	12.2%	3.5%	9.5%	8.7%	12.5%	0.8%	0.6%	-23.5M	798.4M	-28.8M	0.90	3.28	57,368	51,389	1,358,500	714,500
2015-06-24	$112.60	$114.00	12.0%	3.4%	9.5%	7.5%	12.5%	0.9%	0.5%	-52.5M	1.03B	-28.9M	1.28	3.75	48,442	62,227	1,377,317	727,311
2015-06-25	$112.47	$114.00	11.3%	3.2%	9.5%	0.9%	11.6%	0.7%	0.4%	-102.5M	1.09B	-28.2M	1.20	3.60	43,255	51,835	1,377,555	729,095
2015-06-26	$112.65	$114.00	11.5%	3.3%	9.5%	2.5%	11.7%	0.7%	0.5%	-113.2M	970.4M	-27.7M	0.69	4.01	105,640	73,363	1,388,198	738,854
2015-06-29	$113.06	$114.00	13.0%	3.8%	9.6%	15.9%	13.4%	0.6%	-0.2%	127.8M	383.7M	-28.8M	0.52	3.85	96,086	49,803	1,390,077	712,910
2015-06-30	$112.38	$114.00	13.8%	4.0%	9.8%	22.9%	14.2%	0.7%	-0.1%	42.1M	794.5M	-28.6M	0.75	3.58	96,235	72,334	1,412,306	723,419