GLD Options History — August 2015 In August 2015, GLD traded between $103.90 and $111.10. ATM implied volatility averaged 15.4%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.8% (HV 20d: 12.6%). Max pain ranged from $110.00 to $111.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.66.
Notable Days 2015-08-20 : Highest Volume — 332,932 contracts2015-08-24 : Largest IV spike — 13.0% change2015-08-24 : Highest IV Rank — 66.6%2015-08-24 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $107.23 $103.90 $111.10 $104.10 $108.89 Max Pain $110.10 $110.00 $111.00 $110.00 $110.00 ATM IV 15.4% 13.4% 18.7% 15.6% 16.8% Expected Move 4.5% 4.0% 5.4% 4.5% 5.0% HV 20d 12.6% 10.4% 14.8% 12.6% 12.9% HV 60d 11.3% 10.4% 12.1% 11.3% 12.1% IV Rank 37.5% 19.7% 66.6% 39.5% 50.0% IV Percentile 49.6% 20.2% 89.3% 56.7% 63.5% Term Structure 0.1% -0.4% 0.8% -0.2% 0.2% VWIV 16.4% 14.3% 20.3% 16.0% 18.2% Skew 25d 1.5% 0.2% 3.1% 2.9% 0.6% Skew 10d 3.0% 0.1% 6.1% 5.5% 1.3% Call IV 25d 15.2% 12.8% 19.1% 14.7% 17.3% Put IV 25d 16.8% 14.4% 19.3% 17.6% 17.9% Bid-Ask Spread % 2.48 1.59 4.29 2.85 2.54 Gamma HHI 0.06 0.04 0.29 0.05 0.04 Net GEX 128.4M -127.9M 759.6M -120.3M 240.3M Net DEX 1.05B -2.32B 3.21B 3.12B -126.8M Net VEX -27.6M -35.1M -22.2M -22.2M -32.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.24 1.23 1.23 0.24 Total Volume 190,365.333 65,994 332,932 65,994 310,249 Total OI 2,510,110.381 2,255,792 2,788,767 2,255,792 2,627,999
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 2015-08-03 $104.10 $110.00 15.6% 4.5% 12.6% 39.5% 16.0% 2.9% -0.2% -120.3M 3.12B -22.2M 1.23 2.85 29,552 36,442 1,446,054 809,738 2015-08-04 $104.26 $110.00 15.2% 4.4% 12.4% 35.8% 15.6% 2.8% -0.2% -126.3M 3.09B -22.5M 0.90 1.81 66,605 59,783 1,454,343 822,604 2015-08-05 $103.90 $110.00 15.6% 4.5% 12.3% 39.3% 16.1% 3.1% -0.3% -127.1M 3.21B -22.6M 0.75 1.95 93,788 70,338 1,486,421 833,325 2015-08-06 $104.43 $111.00 15.2% 4.5% 12.5% 35.5% 15.4% 2.9% -0.2% -122.1M 2.96B -23.1M 0.84 2.06 71,300 60,037 1,495,962 852,168 2015-08-07 $104.71 $111.00 14.7% 4.3% 12.6% 30.9% 15.1% 2.7% -0.1% -127.9M 2.87B -23.2M 0.79 2.28 89,284 70,088 1,515,851 864,982 2015-08-10 $105.72 $110.00 14.3% 4.2% 13.4% 28.1% 15.5% 2.4% 0.5% -55.6M 2.33B -23.5M 1.04 1.85 71,767 74,971 1,495,693 840,514 2015-08-11 $106.26 $110.00 14.2% 4.3% 13.6% 26.5% 15.4% 2.1% 0.8% -14.4M 2.01B -24.4M 0.72 3.50 44,420 32,079 1,511,750 863,551 2015-08-12 $107.69 $110.00 14.5% 4.3% 14.6% 29.5% 15.1% 1.7% 0.4% 103.7M 1.03B -26.1M 0.49 2.18 164,187 80,939 1,529,897 876,513 2015-08-13 $106.85 $110.00 13.5% 4.0% 14.8% 20.2% 14.9% 1.8% 0.7% 47.6M 1.61B -25.1M 0.56 1.82 154,408 85,798 1,592,098 883,816 2015-08-14 $106.90 $110.00 13.4% 4.0% 14.4% 19.7% 14.8% 1.6% 0.8% 57.4M 1.56B -25.3M 1.03 1.69 78,776 81,370 1,697,030 908,899 2015-08-17 $107.13 $110.00 13.6% 4.0% 10.4% 21.8% 14.3% 1.4% 0.2% 81.7M 1.42B -25.7M 0.86 1.59 58,669 50,549 1,657,423 893,476 2015-08-18 $107.09 $110.00 14.2% 4.1% 10.4% 26.7% 14.9% 1.8% 0.0% 85.6M 1.44B -25.7M 0.76 1.81 87,289 66,360 1,676,825 898,919 2015-08-19 $108.55 $110.00 14.2% 4.1% 11.0% 26.5% 14.8% 1.2% 0.1% 246.2M 288.8M -28.0M 0.29 3.23 126,643 37,194 1,708,208 917,338 2015-08-20 $110.27 $110.00 15.0% 4.3% 11.7% 33.6% 15.8% 0.6% -0.1% 534.2M -1.50B -31.0M 0.51 2.06 220,260 112,672 1,772,247 926,989 2015-08-21 $111.10 $110.00 16.5% 4.8% 11.4% 47.4% 17.2% 0.5% -0.3% 759.6M -2.32B -33.9M 0.50 2.53 173,206 85,895 1,816,489 972,278 2015-08-24 $110.51 $110.00 18.7% 5.4% 11.5% 66.6% 20.3% 0.2% -0.4% 295.9M -1.42B -35.1M 0.57 4.29 140,575 80,571 1,658,120 839,800 2015-08-25 $109.31 $110.00 17.7% 5.2% 12.4% 58.4% 19.2% 0.4% -0.2% 257.6M -553.4M -33.9M 0.49 3.51 138,764 68,583 1,701,550 855,522 2015-08-26 $107.69 $110.00 17.5% 5.2% 13.8% 56.6% 19.2% 0.4% -0.1% 168.6M 595.1M -31.6M 0.53 2.76 174,632 92,521 1,720,859 860,210 2015-08-27 $107.73 $110.00 16.5% 4.8% 13.3% 47.5% 17.4% 0.7% -0.1% 195.4M 619.6M -31.0M 0.33 2.61 188,304 61,206 1,782,748 877,448 2015-08-28 $108.72 $110.00 16.5% 4.8% 13.4% 47.4% 18.3% 0.6% -0.2% 317.0M -215.8M -33.1M 0.50 3.20 138,623 68,975 1,878,726 887,935 2015-08-31 $108.89 $110.00 16.8% 5.0% 12.9% 50.0% 18.2% 0.6% 0.2% 240.3M -126.8M -32.1M 0.24 2.54 249,923 60,326 1,764,985 863,014
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