GLD Options History — November 2015

In November 2015, GLD traded between $101.25 and $108.57. ATM implied volatility averaged 15.3%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.8% (HV 20d: 10.5%). Max pain ranged from $108.00 to $110.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2015-11-12: Highest Volume — 175,203 contracts
2015-11-17: Largest IV spike — 10.8% change
2015-11-17: Highest IV Rank — 59.3%
2015-11-17: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.87	$101.25	$108.57	$108.57	$101.92
Max Pain	$109.50	$108.00	$110.00	$110.00	$108.00
ATM IV	15.3%	12.8%	17.9%	12.8%	15.0%
Expected Move	4.6%	3.6%	5.2%	3.6%	4.7%
HV 20d	10.5%	8.4%	12.8%	12.0%	11.5%
HV 60d	13.3%	12.8%	13.8%	13.5%	13.1%
IV Rank	36.1%	13.4%	59.3%	13.4%	33.4%
IV Percentile	47.5%	6.0%	81.7%	6.0%	44.0%
Term Structure	0.1%	-0.7%	1.2%	0.4%	-0.0%
VWIV	16.3%	12.8%	18.2%	12.8%	16.8%
Skew 25d	1.9%	0.7%	3.0%	0.7%	1.7%
Skew 10d	3.8%	1.7%	6.1%	1.7%	3.5%
Call IV 25d	14.9%	13.1%	17.0%	13.1%	14.7%
Put IV 25d	16.8%	13.8%	20.0%	13.8%	16.4%
Bid-Ask Spread %	2.44	1.67	5.43	2.65	2.02
Gamma HHI	0.06	0.05	0.14	0.05	0.05
Net GEX	-15.6M	-106.3M	157.4M	157.4M	-20.9M
Net DEX	2.74B	299.7M	3.62B	299.7M	2.93B
Net VEX	-25.1M	-31.6M	-20.2M	-31.6M	-21.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.29	1.70	1.31	0.55
Total Volume	124,830.65	50,076	175,203	164,420	141,412
Total OI	2,797,321.8	2,624,367	3,013,545	2,683,344	2,669,741

Daily Data (20 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
2015-11-02	$108.57	$110.00	12.8%	3.6%	12.0%	13.4%	12.8%	0.7%	0.4%	157.4M	299.7M	-31.6M	1.31	2.65	71,049	93,371	1,849,757	833,587
2015-11-03	$106.97	$110.00	14.1%	4.1%	12.5%	25.6%	14.6%	1.4%	0.2%	71.2M	1.37B	-30.5M	1.09	2.34	82,235	89,938	1,874,554	854,809
2015-11-04	$105.99	$110.00	15.3%	4.6%	12.8%	36.0%	16.5%	1.5%	0.0%	37.6M	1.96B	-29.1M	1.18	2.77	59,184	69,727	1,896,079	872,886
2015-11-05	$105.59	$110.00	15.4%	4.6%	12.8%	36.9%	17.2%	1.3%	-0.0%	8.9M	2.23B	-28.5M	0.98	2.21	69,904	68,431	1,910,902	888,876
2015-11-06	$104.10	$110.00	14.9%	4.5%	12.0%	32.7%	15.9%	1.4%	0.2%	-64.6M	3.12B	-26.7M	1.70	5.43	43,246	73,425	1,936,099	905,354
2015-11-09	$104.40	$110.00	14.7%	4.6%	11.9%	30.3%	15.7%	1.7%	1.1%	-10.3M	2.70B	-26.1M	0.42	5.22	41,192	17,286	1,889,597	871,564
2015-11-10	$104.13	$110.00	14.5%	4.5%	11.5%	29.1%	15.9%	1.8%	1.1%	-9.2M	2.83B	-25.8M	0.65	2.04	49,461	32,325	1,914,561	876,276
2015-11-11	$104.09	$110.00	14.8%	4.5%	8.4%	31.3%	16.1%	1.7%	0.9%	-16.9M	2.89B	-25.4M	0.62	2.76	47,339	29,190	1,918,736	880,054
2015-11-12	$103.88	$110.00	15.4%	4.7%	8.4%	37.4%	16.7%	2.5%	1.2%	-32.6M	3.01B	-25.5M	0.74	1.95	100,492	74,711	1,929,907	895,697
2015-11-13	$103.58	$110.00	15.5%	4.6%	8.4%	37.9%	17.1%	2.9%	0.9%	-23.9M	3.18B	-25.2M	0.85	1.88	68,120	58,070	1,980,179	923,042
2015-11-16	$103.71	$110.00	16.2%	4.7%	8.6%	43.7%	17.2%	2.7%	-0.2%	-10.1M	2.99B	-24.5M	0.80	1.72	32,137	25,662	1,956,078	906,228
2015-11-17	$102.36	$110.00	17.9%	5.2%	8.5%	59.3%	18.2%	3.0%	-0.7%	-46.2M	3.59B	-23.4M	0.83	2.02	94,928	78,805	1,972,706	916,511
2015-11-18	$102.46	$110.00	17.5%	5.0%	8.7%	56.0%	17.6%	2.9%	-0.7%	-54.7M	3.62B	-23.5M	0.53	1.91	78,040	40,982	2,005,843	944,430
2015-11-19	$103.59	$110.00	16.1%	4.6%	10.2%	43.4%	16.4%	1.9%	-0.3%	25.0M	2.91B	-24.8M	0.59	1.90	79,702	46,965	2,037,603	949,051
2015-11-20	$103.11	$110.00	15.5%	4.5%	10.2%	37.6%	15.4%	2.0%	-0.3%	-106.3M	3.24B	-23.5M	0.86	2.01	88,259	75,867	2,061,385	952,160
2015-11-23	$102.26	$108.00	15.7%	4.7%	10.2%	39.9%	16.9%	2.1%	-0.4%	-41.7M	2.97B	-22.4M	0.29	2.19	91,411	26,670	1,778,974	845,393
2015-11-24	$102.94	$108.00	14.8%	4.4%	10.7%	31.4%	15.8%	1.7%	-0.4%	-10.5M	2.56B	-23.1M	0.71	1.91	29,335	20,741	1,814,999	850,100
2015-11-25	$102.52	$108.00	14.6%	4.4%	10.6%	29.4%	15.7%	1.7%	-0.4%	-69.6M	2.87B	-21.9M	0.39	2.13	95,584	36,920	1,823,422	856,971
2015-11-27	$101.25	$108.00	15.4%	4.7%	10.8%	36.6%	16.7%	1.9%	-0.5%	-93.8M	3.57B	-20.2M	0.37	1.67	127,419	47,078	1,837,988	864,337
2015-11-30	$101.92	$108.00	15.0%	4.7%	11.5%	33.4%	16.8%	1.7%	-0.0%	-20.9M	2.93B	-21.1M	0.55	2.02	91,064	50,348	1,832,370	837,371