GLD Options History — October 2015

In October 2015, GLD traded between $106.82 and $113.83. ATM implied volatility averaged 15.0%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.1% (HV 20d: 14.9%). Max pain ranged from $107.00 to $110.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.72.

Notable Days

2015-10-14: Highest Volume — 262,364 contracts
2015-10-14: Largest IV spike — 7.3% change
2015-10-14: Highest IV Rank — 54.3%
2015-10-14: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.87	$106.82	$113.83	$106.82	$109.25
Max Pain	$109.05	$107.00	$110.00	$107.00	$110.00
ATM IV	15.0%	13.1%	17.3%	14.7%	13.1%
Expected Move	4.3%	3.8%	4.9%	3.9%	3.8%
HV 20d	14.9%	11.8%	16.2%	13.7%	11.8%
HV 60d	13.6%	13.0%	14.4%	13.3%	13.4%
IV Rank	33.1%	16.2%	54.3%	30.8%	16.2%
IV Percentile	39.2%	10.3%	69.4%	36.1%	10.3%
Term Structure	0.1%	-0.3%	0.7%	0.5%	0.5%
VWIV	15.5%	13.4%	17.7%	14.0%	13.4%
Skew 25d	-0.7%	-1.4%	0.5%	-0.2%	0.5%
Skew 10d	-1.2%	-2.3%	1.1%	-0.6%	1.1%
Call IV 25d	15.8%	13.1%	18.7%	15.3%	13.1%
Put IV 25d	15.1%	13.6%	17.3%	15.1%	13.6%
Bid-Ask Spread %	2.90	2.22	4.21	2.22	2.95
Gamma HHI	0.06	0.05	0.08	0.05	0.05
Net GEX	399.1M	193.1M	574.0M	193.3M	193.6M
Net DEX	-2.65B	-5.76B	-160.4M	-214.8M	-160.4M
Net VEX	-38.3M	-42.4M	-33.9M	-35.4M	-33.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.30	1.53	0.50	1.05
Total Volume	149,277.864	88,180	262,364	132,266	137,552
Total OI	2,761,497.682	2,629,806	2,952,555	2,714,256	2,737,424

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
2015-10-01	$106.82	$107.00	14.7%	3.9%	13.7%	30.8%	14.0%	-0.2%	0.5%	193.3M	-214.8M	-35.4M	0.50	2.22	88,113	44,153	1,942,851	771,405
2015-10-02	$109.02	$107.00	14.4%	3.8%	15.4%	28.1%	13.7%	-0.8%	0.6%	395.8M	-1.84B	-37.7M	0.40	2.40	137,680	55,247	1,941,395	779,297
2015-10-05	$108.77	$108.00	14.5%	4.3%	15.4%	29.3%	15.2%	-0.3%	0.1%	342.6M	-1.47B	-36.2M	0.30	4.21	67,797	20,383	1,927,564	777,462
2015-10-06	$109.78	$108.00	15.3%	4.5%	15.7%	36.0%	15.8%	-1.3%	0.2%	448.1M	-2.44B	-37.6M	0.35	3.44	157,146	54,790	1,967,393	787,313
2015-10-07	$109.73	$108.00	15.1%	4.4%	14.8%	34.4%	15.9%	-1.0%	0.1%	468.7M	-2.47B	-38.8M	0.63	3.18	70,380	44,402	2,036,747	806,161
2015-10-08	$109.19	$108.00	15.2%	4.4%	15.0%	34.7%	16.6%	-0.9%	0.0%	406.8M	-1.84B	-37.8M	0.44	3.36	98,174	43,243	2,047,172	819,785
2015-10-09	$110.80	$108.00	15.3%	4.4%	15.6%	36.0%	15.9%	-0.7%	-0.1%	539.3M	-3.39B	-39.5M	0.59	2.94	99,544	59,092	2,040,933	826,244
2015-10-12	$111.30	$108.00	15.5%	4.4%	15.6%	38.1%	17.2%	-0.9%	-0.1%	508.4M	-3.54B	-39.5M	0.34	2.72	140,150	48,316	2,006,876	814,634
2015-10-13	$111.79	$109.00	16.2%	4.7%	15.5%	43.8%	16.8%	-1.0%	0.1%	531.7M	-3.95B	-40.0M	0.33	3.33	113,234	37,672	1,992,014	831,216
2015-10-14	$113.83	$109.00	17.3%	4.9%	16.1%	54.3%	17.7%	-1.4%	-0.1%	574.0M	-5.76B	-41.4M	0.35	2.93	194,276	68,088	1,991,602	837,471
2015-10-15	$113.29	$109.00	17.1%	4.9%	16.1%	52.2%	17.1%	-1.1%	-0.2%	568.4M	-5.38B	-42.4M	0.52	2.95	126,845	66,198	2,073,673	860,330
2015-10-16	$112.76	$110.00	15.9%	4.5%	16.1%	41.4%	16.3%	-1.1%	-0.1%	419.0M	-4.62B	-40.9M	0.65	2.80	103,046	67,356	2,063,014	889,541
2015-10-19	$111.93	$110.00	15.9%	4.5%	16.2%	41.1%	16.3%	-0.9%	-0.2%	388.4M	-3.01B	-39.9M	0.99	2.96	60,700	60,106	1,854,224	789,963
2015-10-20	$112.52	$110.00	15.8%	4.5%	16.0%	40.2%	16.3%	-0.8%	-0.3%	441.6M	-3.45B	-40.3M	0.96	2.77	60,949	58,590	1,868,449	805,218
2015-10-21	$111.75	$110.00	14.8%	4.2%	16.2%	31.1%	15.1%	-0.6%	-0.2%	396.3M	-2.75B	-39.1M	1.04	2.70	51,502	53,391	1,890,403	813,548
2015-10-22	$111.64	$110.00	14.3%	4.1%	14.7%	27.5%	14.7%	-0.8%	-0.2%	385.8M	-2.60B	-38.3M	0.64	2.60	79,769	51,377	1,903,195	823,917
2015-10-23	$111.47	$110.00	14.3%	4.1%	14.5%	27.0%	15.2%	-0.8%	-0.2%	387.6M	-2.46B	-38.0M	1.03	2.57	59,845	61,709	1,925,215	832,742
2015-10-26	$111.35	$110.00	14.1%	4.1%	13.5%	25.4%	14.5%	-0.6%	0.2%	340.2M	-2.23B	-37.2M	1.11	2.61	52,373	58,167	1,818,804	811,002
2015-10-27	$111.62	$110.00	13.4%	3.9%	13.4%	19.2%	15.0%	-0.5%	0.5%	358.3M	-2.40B	-37.0M	1.08	2.96	56,070	60,547	1,824,992	825,587
2015-10-28	$110.76	$110.00	13.6%	4.0%	13.1%	20.7%	14.6%	-0.2%	0.7%	299.4M	-1.67B	-36.1M	1.01	2.87	88,585	89,401	1,846,790	830,903
2015-10-29	$109.69	$110.00	13.6%	3.9%	13.7%	20.3%	14.4%	0.3%	0.5%	193.1M	-701.6M	-35.3M	1.53	2.25	54,559	83,596	1,869,775	848,705
2015-10-30	$109.25	$110.00	13.1%	3.8%	11.8%	16.2%	13.4%	0.5%	0.5%	193.6M	-160.4M	-33.9M	1.05	2.95	67,051	70,501	1,869,410	868,014