GLD Options History — September 2015 In September 2015, GLD traded between $105.90 and $110.51. ATM implied volatility averaged 16.0%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.0% (HV 20d: 13.0%). Max pain ranged from $107.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.49.
Notable Days 2015-09-18 : Highest Volume — 276,569 contracts2015-09-24 : Largest IV spike — 11.6% change2015-09-01 : Highest IV Rank — 54.7%2015-09-01 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $107.84 $105.90 $110.51 $109.26 $106.84 Max Pain $107.33 $107.00 $110.00 $110.00 $107.00 ATM IV 16.0% 14.9% 17.4% 17.4% 15.1% Expected Move 4.6% 4.2% 5.2% 5.2% 4.2% HV 20d 13.0% 11.7% 14.0% 12.9% 13.8% HV 60d 12.4% 11.9% 13.3% 12.1% 13.3% IV Rank 42.2% 32.5% 54.7% 54.7% 34.6% IV Percentile 53.1% 38.9% 70.2% 70.2% 40.9% Term Structure 0.1% -0.3% 0.6% 0.2% 0.5% VWIV 16.4% 15.1% 18.9% 18.9% 15.1% Skew 25d 0.5% -1.3% 1.4% 0.5% -0.1% Skew 10d 0.9% -2.6% 3.2% 1.0% -0.5% Call IV 25d 16.3% 15.1% 18.2% 17.8% 15.8% Put IV 25d 16.8% 15.6% 18.3% 18.3% 15.7% Bid-Ask Spread % 3.05 2.27 4.61 2.56 2.45 Gamma HHI 0.05 0.04 0.09 0.04 0.05 Net GEX 207.1M 9.7M 492.4M 307.4M 199.6M Net DEX -16.3M -3.25B 1.76B -631.8M -129.1M Net VEX -32.3M -41.0M -27.4M -33.8M -35.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.25 0.86 0.30 0.57 Total Volume 173,847.048 81,023 276,569 169,832 155,721 Total OI 2,739,376.143 2,477,445 2,957,827 2,738,487 2,750,729
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 2015-09-01 $109.26 $110.00 17.4% 5.2% 12.9% 54.7% 18.9% 0.5% 0.2% 307.4M -631.8M -33.8M 0.30 2.56 130,436 39,396 1,871,608 866,879 2015-09-02 $108.60 $110.00 16.9% 4.9% 13.1% 50.8% 17.5% 0.7% -0.2% 235.6M -19.1M -31.7M 0.41 2.46 97,064 39,924 1,874,444 861,197 2015-09-03 $107.82 $107.00 16.7% 4.8% 13.4% 48.4% 17.1% 0.8% -0.1% 156.7M 595.1M -30.6M 0.52 3.39 98,068 50,735 1,881,888 865,641 2015-09-04 $107.53 $107.00 16.7% 4.8% 13.5% 48.5% 17.0% 1.0% -0.2% 125.9M 772.4M -30.2M 0.81 3.77 72,074 58,362 1,895,592 875,516 2015-09-08 $107.52 $107.00 16.5% 4.7% 13.2% 46.9% 17.0% 0.9% -0.0% 106.2M 930.9M -28.4M 0.36 3.35 72,150 26,320 1,794,922 854,068 2015-09-09 $106.12 $107.00 16.0% 4.6% 14.0% 42.4% 16.3% 1.2% 0.1% 9.7M 1.74B -27.4M 0.61 2.73 147,392 90,323 1,843,907 865,430 2015-09-10 $106.39 $107.00 15.4% 4.4% 13.1% 36.9% 15.4% 1.2% -0.0% 29.4M 1.59B -28.5M 0.43 2.49 145,206 62,591 1,919,305 902,913 2015-09-11 $106.14 $107.00 15.8% 4.5% 12.8% 41.0% 16.2% 1.2% -0.0% 58.0M 1.62B -29.8M 0.86 3.02 78,906 67,868 1,978,356 916,190 2015-09-14 $106.25 $107.00 16.3% 4.6% 12.8% 44.6% 16.3% 1.4% -0.2% 51.1M 1.54B -28.6M 0.51 2.54 80,794 41,489 1,881,379 882,028 2015-09-15 $105.90 $107.00 16.1% 4.6% 12.8% 43.4% 16.6% 1.4% -0.1% 35.1M 1.76B -27.4M 0.45 4.21 55,733 25,290 1,897,648 886,130 2015-09-16 $107.28 $107.00 16.4% 4.7% 13.7% 45.9% 16.7% 1.1% -0.3% 126.5M 746.1M -29.9M 0.30 2.76 162,007 48,448 1,937,924 893,884 2015-09-17 $108.37 $107.00 15.1% 4.3% 13.3% 34.3% 15.6% 0.8% -0.0% 249.9M -93.1M -30.5M 0.47 3.47 187,627 87,831 1,967,157 902,457 2015-09-18 $109.20 $107.00 14.9% 4.3% 12.3% 32.5% 15.4% 0.4% -0.1% 372.5M -903.3M -31.6M 0.40 3.39 197,873 78,696 2,021,686 936,141 2015-09-21 $108.51 $107.00 14.9% 4.3% 12.1% 32.8% 15.6% 0.7% 0.4% 251.8M -596.9M -32.3M 0.29 2.75 154,298 44,810 1,727,983 749,462 2015-09-22 $107.83 $107.00 15.4% 4.4% 12.1% 37.2% 15.8% 0.5% 0.4% 223.9M -341.9M -32.8M 0.25 2.27 145,117 35,806 1,779,477 759,006 2015-09-23 $108.32 $107.00 15.4% 4.4% 11.7% 36.7% 16.1% -0.1% 0.4% 292.4M -1.04B -35.2M 0.37 2.82 113,081 41,734 1,864,979 765,287 2015-09-24 $110.51 $107.00 17.2% 4.9% 12.5% 52.7% 17.8% -0.9% 0.6% 492.4M -3.25B -41.0M 0.48 3.42 172,481 82,469 1,931,283 778,418 2015-09-25 $109.86 $107.50 16.0% 4.5% 12.8% 42.6% 16.8% -1.3% 0.5% 458.8M -2.41B -39.6M 0.45 4.61 125,062 56,305 1,938,773 799,578 2015-09-28 $108.38 $107.50 15.8% 4.5% 13.4% 40.8% 16.2% -0.7% 0.5% 292.3M -1.28B -37.6M 0.71 2.90 84,774 60,522 1,913,793 778,506 2015-09-29 $108.01 $107.00 15.5% 4.3% 13.4% 37.6% 15.5% -0.6% 0.4% 275.0M -932.1M -36.6M 0.64 2.68 83,084 52,921 1,926,695 788,640 2015-09-30 $106.84 $107.00 15.1% 4.2% 13.8% 34.6% 15.1% -0.1% 0.5% 199.6M -129.1M -35.3M 0.57 2.45 99,458 56,263 1,958,337 792,392
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