GLD Options History — December 2015

In December 2015, GLD traded between $100.57 and $103.98. ATM implied volatility averaged 14.7%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 1.0% (HV 20d: 15.7%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.40.

Notable Days

2015-12-11: Highest Volume — 441,326 contracts
2015-12-16: Largest IV drop — 16.8% change
2015-12-14: Highest IV Rank — 60.3%
2015-12-02: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.25	$100.57	$103.98	$102.28	$101.31
Max Pain	$106.50	$105.00	$110.00	$108.00	$105.00
ATM IV	14.7%	13.2%	17.5%	14.8%	13.5%
Expected Move	4.2%	3.7%	5.0%	4.6%	3.7%
HV 20d	15.7%	11.7%	18.0%	11.7%	16.5%
HV 60d	14.1%	13.1%	14.8%	13.1%	13.7%
IV Rank	32.9%	18.1%	60.3%	34.0%	21.7%
IV Percentile	39.2%	11.9%	81.3%	41.3%	19.0%
Term Structure	0.1%	-0.6%	0.6%	-0.1%	0.4%
VWIV	15.3%	13.4%	17.7%	16.6%	13.4%
Skew 25d	0.9%	0.5%	1.5%	1.5%	0.8%
Skew 10d	1.7%	0.8%	2.8%	2.8%	1.4%
Call IV 25d	14.7%	13.2%	17.6%	14.6%	13.6%
Put IV 25d	15.6%	14.0%	18.4%	16.1%	14.3%
Bid-Ask Spread %	2.34	1.65	4.49	3.56	2.00
Gamma HHI	0.06	0.04	0.22	0.05	0.05
Net GEX	134.7M	-42.3M	389.7M	21.9M	76.1M
Net DEX	1.70B	220.4M	3.38B	2.63B	1.35B
Net VEX	-22.8M	-25.3M	-19.6M	-22.3M	-19.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.14	0.60	0.60	0.40
Total Volume	171,438.818	57,493	441,326	57,493	108,945
Total OI	2,886,216.727	2,618,405	3,357,757	2,752,772	2,643,641

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
2015-12-01	$102.28	$108.00	14.8%	4.6%	11.7%	34.0%	16.6%	1.5%	-0.1%	21.9M	2.63B	-22.3M	0.60	3.56	35,992	21,501	1,900,542	852,230
2015-12-02	$100.73	$107.00	15.6%	5.0%	11.7%	41.4%	17.6%	1.5%	0.0%	-42.3M	3.38B	-20.7M	0.55	1.65	116,079	63,368	1,919,404	856,321
2015-12-03	$101.69	$110.00	16.0%	4.5%	12.3%	45.8%	16.3%	1.1%	-0.2%	29.3M	2.69B	-22.4M	0.23	2.32	219,851	50,206	1,963,817	863,081
2015-12-04	$103.98	$107.00	14.3%	4.1%	15.0%	28.8%	14.9%	0.8%	0.1%	223.1M	994.0M	-25.3M	0.41	2.02	176,254	72,264	2,079,220	868,052
2015-12-07	$102.67	$107.00	14.7%	4.2%	14.8%	33.0%	14.9%	0.8%	-0.0%	101.2M	2.08B	-23.1M	0.38	4.49	51,168	19,417	2,063,809	847,554
2015-12-08	$102.83	$107.00	14.6%	4.2%	14.8%	31.9%	15.1%	0.9%	-0.0%	110.7M	1.99B	-23.3M	0.35	2.20	85,393	30,185	2,094,512	854,892
2015-12-09	$102.67	$107.00	15.6%	4.5%	14.8%	42.1%	16.4%	0.6%	-0.1%	113.6M	1.93B	-23.6M	0.45	2.48	101,702	45,426	2,100,766	857,000
2015-12-10	$102.56	$107.00	15.6%	4.4%	14.8%	41.2%	15.8%	0.7%	-0.2%	104.1M	2.05B	-23.3M	0.37	2.11	112,456	41,142	2,104,928	859,449
2015-12-11	$103.07	$107.00	16.5%	4.7%	14.9%	50.6%	16.9%	0.5%	-0.3%	177.9M	1.48B	-24.4M	0.14	2.31	387,436	53,890	2,139,112	861,049
2015-12-14	$101.77	$107.00	17.5%	5.0%	15.5%	60.3%	17.7%	0.8%	-0.6%	143.1M	2.04B	-24.7M	0.38	2.03	174,347	66,902	2,279,621	840,208
2015-12-15	$101.49	$107.00	16.8%	4.8%	15.5%	52.9%	17.3%	0.7%	-0.6%	123.4M	2.36B	-24.1M	0.51	1.97	143,086	72,758	2,354,319	857,773
2015-12-16	$102.70	$107.00	13.9%	4.0%	15.5%	25.6%	15.0%	0.8%	0.0%	186.8M	1.82B	-24.1M	0.31	2.78	207,158	64,063	2,384,262	864,188
2015-12-17	$100.57	$106.00	14.4%	4.1%	17.2%	30.1%	15.1%	1.3%	-0.1%	-19.4M	3.30B	-20.6M	0.44	1.91	205,577	89,584	2,429,053	864,646
2015-12-18	$102.00	$106.00	13.7%	3.9%	17.5%	23.4%	14.1%	1.0%	-0.2%	389.7M	2.29B	-23.0M	0.49	2.61	114,512	56,294	2,482,767	874,990
2015-12-21	$103.19	$106.00	13.7%	4.0%	18.0%	23.1%	14.6%	0.8%	0.5%	242.4M	220.4M	-24.4M	0.37	2.24	95,839	35,582	1,979,492	658,193
2015-12-22	$102.64	$106.00	13.4%	3.9%	17.8%	20.6%	14.8%	0.9%	0.5%	197.9M	656.5M	-23.3M	0.36	2.12	94,143	33,971	1,988,574	668,330
2015-12-23	$102.32	$106.00	13.2%	3.8%	17.7%	18.1%	13.8%	0.9%	0.6%	163.5M	824.0M	-22.2M	0.51	2.29	87,166	44,210	1,990,889	666,206
2015-12-24	$103.05	$105.00	13.3%	3.8%	17.8%	19.9%	13.7%	0.7%	0.5%	238.1M	396.1M	-23.6M	0.34	2.10	83,404	28,756	2,009,618	682,737
2015-12-28	$102.28	$105.00	14.4%	4.2%	17.4%	30.5%	15.2%	0.9%	0.1%	163.6M	837.4M	-21.7M	0.47	2.24	75,985	35,866	1,964,255	654,150
2015-12-29	$102.17	$105.00	13.8%	3.9%	17.3%	24.4%	14.2%	0.8%	0.3%	139.8M	825.5M	-21.8M	0.46	2.13	57,948	26,820	1,977,178	656,631
2015-12-30	$101.47	$105.00	13.7%	3.9%	17.4%	23.6%	13.8%	1.0%	0.4%	78.2M	1.26B	-20.2M	0.37	1.90	61,858	23,150	1,981,176	658,133
2015-12-31	$101.31	$105.00	13.5%	3.7%	16.5%	21.7%	13.4%	0.8%	0.4%	76.1M	1.35B	-19.6M	0.40	2.00	78,053	30,892	1,984,247	659,394