GLD Options History — July 2015

In July 2015, GLD traded between $104.22 and $112.02. ATM implied volatility averaged 14.9%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.6% (HV 20d: 10.3%). Max pain ranged from $110.00 to $114.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2015-07-17: Highest Volume — 338,953 contracts
2015-07-20: Largest IV spike — 19.2% change
2015-07-20: Highest IV Rank — 58.8%
2015-07-27: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.20	$104.22	$112.02	$111.99	$104.99
Max Pain	$112.30	$110.00	$114.00	$113.50	$110.00
ATM IV	14.9%	12.6%	17.8%	13.3%	14.9%
Expected Move	4.3%	3.5%	5.2%	3.9%	4.2%
HV 20d	10.3%	7.5%	12.6%	9.5%	12.6%
HV 60d	11.7%	11.1%	12.7%	12.1%	11.3%
IV Rank	32.7%	12.6%	58.8%	18.6%	32.7%
IV Percentile	44.1%	11.9%	77.0%	27.0%	48.0%
Term Structure	-0.1%	-0.5%	0.5%	-0.2%	0.3%
VWIV	15.4%	12.8%	18.5%	14.1%	15.7%
Skew 25d	2.0%	0.7%	3.4%	0.8%	2.6%
Skew 10d	4.1%	1.2%	7.6%	1.2%	5.8%
Call IV 25d	14.3%	12.4%	16.5%	13.4%	13.9%
Put IV 25d	16.3%	13.5%	19.8%	14.1%	16.5%
Bid-Ask Spread %	3.42	1.92	4.55	3.64	2.17
Gamma HHI	0.05	0.04	0.08	0.04	0.08
Net GEX	-51.7M	-147.2M	44.4M	44.4M	-117.6M
Net DEX	2.11B	782.7M	3.48B	860.8M	2.86B
Net VEX	-25.7M	-28.4M	-23.3M	-28.4M	-23.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.34	1.32	0.86	0.89
Total Volume	177,989.136	115,390	338,953	115,390	172,490
Total OI	2,204,759.273	2,009,690	2,397,402	2,026,144	2,397,402

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
2015-07-01	$111.99	$113.50	13.3%	3.9%	9.5%	18.6%	14.1%	0.8%	-0.2%	44.4M	860.8M	-28.4M	0.86	3.64	62,147	53,243	1,323,952	702,192
2015-07-02	$111.70	$113.50	12.8%	3.7%	9.3%	14.7%	13.3%	0.7%	0.1%	23.6M	1.14B	-27.7M	1.10	3.58	62,565	68,874	1,347,270	713,716
2015-07-06	$112.02	$114.00	12.8%	3.7%	9.2%	14.3%	13.1%	0.7%	0.1%	36.8M	782.7M	-27.8M	0.80	3.60	73,327	58,893	1,316,881	692,809
2015-07-07	$110.87	$114.00	13.6%	3.9%	9.8%	21.4%	14.6%	1.0%	0.0%	-40.4M	1.49B	-26.4M	1.32	3.09	74,861	99,004	1,342,591	708,762
2015-07-08	$111.10	$114.00	14.1%	4.0%	9.8%	26.4%	14.2%	1.1%	-0.1%	-31.4M	1.28B	-27.3M	0.38	3.35	118,210	44,734	1,364,329	740,265
2015-07-09	$111.29	$114.00	13.8%	4.0%	9.2%	23.5%	14.0%	1.0%	-0.1%	1.9M	1.07B	-28.3M	0.34	3.67	134,638	46,451	1,438,879	750,369
2015-07-10	$111.47	$114.00	13.0%	3.7%	9.2%	16.1%	14.0%	1.0%	-0.1%	11.6M	994.0M	-28.0M	0.56	3.82	110,790	61,514	1,469,480	754,538
2015-07-13	$111.01	$114.00	12.9%	3.6%	9.3%	15.5%	13.1%	1.0%	-0.1%	-8.2M	1.31B	-26.7M	0.39	3.82	112,243	43,664	1,412,288	730,891
2015-07-14	$110.74	$114.00	12.6%	3.5%	9.1%	12.6%	12.8%	1.1%	-0.2%	-18.3M	1.37B	-27.1M	0.58	3.90	73,663	42,940	1,473,954	741,134
2015-07-15	$110.16	$114.00	13.1%	3.8%	9.1%	17.4%	13.3%	1.3%	-0.1%	-56.2M	1.72B	-26.3M	0.65	3.75	127,504	83,381	1,480,771	744,676
2015-07-16	$109.77	$112.00	12.9%	3.7%	8.9%	15.0%	13.2%	1.4%	-0.1%	-66.1M	1.96B	-25.8M	0.89	4.01	82,346	73,607	1,527,304	771,931
2015-07-17	$108.63	$112.00	14.9%	4.2%	7.5%	33.2%	15.7%	2.3%	-0.4%	-80.4M	2.59B	-25.2M	0.76	3.72	192,394	146,559	1,529,267	778,963
2015-07-20	$105.69	$112.00	17.8%	5.1%	11.5%	58.8%	17.4%	3.4%	-0.4%	-87.3M	2.92B	-24.1M	0.85	3.71	163,351	139,243	1,354,318	729,543
2015-07-21	$105.41	$111.00	17.3%	5.0%	10.9%	54.9%	17.5%	3.3%	-0.2%	-105.6M	3.05B	-24.0M	1.19	3.97	86,917	103,719	1,395,994	767,440
2015-07-22	$104.82	$111.00	17.6%	5.0%	10.9%	57.1%	18.3%	3.3%	-0.3%	-124.8M	3.27B	-23.7M	1.08	3.60	88,996	96,425	1,417,318	786,182
2015-07-23	$104.23	$111.00	17.5%	5.0%	10.9%	56.3%	18.1%	3.4%	-0.3%	-147.2M	3.48B	-23.4M	1.13	3.60	73,329	83,115	1,438,812	809,542
2015-07-24	$105.38	$111.00	17.3%	5.0%	12.1%	54.4%	18.1%	3.3%	-0.5%	-109.1M	2.93B	-24.9M	0.87	4.55	127,574	110,860	1,449,467	827,737
2015-07-27	$104.87	$110.50	17.7%	5.2%	11.9%	58.3%	18.5%	3.1%	0.0%	-52.6M	2.70B	-24.9M	0.58	3.26	132,629	77,093	1,452,889	784,520
2015-07-28	$104.96	$110.50	16.2%	4.7%	11.8%	44.8%	17.4%	3.0%	0.2%	-46.5M	2.79B	-24.6M	0.83	2.11	76,201	63,180	1,510,448	813,113
2015-07-29	$105.12	$110.50	15.2%	4.5%	11.9%	36.0%	16.5%	2.5%	0.5%	-45.0M	2.72B	-24.5M	0.95	2.31	70,589	66,969	1,524,072	819,609
2015-07-30	$104.22	$110.00	15.4%	4.5%	12.0%	37.7%	15.9%	2.4%	0.2%	-117.9M	3.17B	-23.3M	1.19	1.92	61,857	73,672	1,539,155	829,931
2015-07-31	$104.99	$110.00	14.9%	4.2%	12.6%	32.7%	15.7%	2.6%	0.3%	-117.6M	2.86B	-23.7M	0.89	2.17	91,170	81,320	1,549,448	847,954