GLD Options History — January 2016

In January 2016, GLD traded between $102.86 and $107.77. ATM implied volatility averaged 15.2%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.1% (HV 20d: 15.1%). Max pain ranged from $100.00 to $104.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.41.

Notable Days

  • 2016-01-26: Highest Volume — 415,708 contracts
  • 2016-01-19: Largest IV drop — 10.4% change
  • 2016-01-26: Highest IV Rank — 56.4%
  • 2016-01-15: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.14$102.86$107.77$102.86$106.92
Max Pain$102.61$100.00$104.00$100.00$104.00
ATM IV15.2%13.7%16.4%14.8%13.7%
Expected Move4.3%3.8%4.6%4.2%3.8%
HV 20d15.1%13.7%17.0%17.0%14.2%
HV 60d14.3%13.8%14.9%14.1%14.8%
IV Rank41.8%27.6%56.4%33.6%32.8%
IV Percentile54.8%24.2%75.8%46.0%24.2%
Term Structure-0.0%-0.5%0.6%-0.0%0.5%
VWIV15.7%13.6%17.8%14.8%13.6%
Skew 25d-0.4%-1.0%0.8%0.7%-0.8%
Skew 10d-0.9%-2.1%1.4%1.3%-1.6%
Call IV 25d15.9%14.2%17.6%15.0%14.4%
Put IV 25d15.5%13.6%16.8%15.7%13.6%
Bid-Ask Spread %2.461.953.202.482.27
Gamma HHI0.060.040.100.050.10
Net GEX354.3M178.9M638.0M196.6M638.0M
Net DEX-1.45B-4.31B497.7M368.6M-3.37B
Net VEX-27.6M-34.5M-21.6M-21.6M-33.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.100.680.440.56
Total Volume189,560.526116,276415,708151,115121,833
Total OI2,563,9452,125,3462,972,7672,513,0542,632,949

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$102.86$100.0014.8%4.2%17.0%33.6%14.8%0.7%-0.0%196.6M368.6M-21.6M0.442.48104,74946,3661,878,443634,611
2016-01-05$103.18$101.0014.1%4.0%15.0%27.6%14.6%0.8%0.0%223.7M260.0M-21.6M0.571.9574,26242,4111,907,480654,471
2016-01-06$104.65$101.0015.2%4.3%15.2%37.4%15.1%0.6%-0.1%332.6M-800.9M-23.9M0.541.96125,71767,2921,905,378662,956
2016-01-07$106.08$102.0016.2%4.5%15.8%47.4%16.6%-0.2%-0.1%423.1M-2.07B-26.3M0.362.75213,17777,6291,927,837690,403
2016-01-08$105.59$102.0016.3%4.6%15.9%48.1%16.5%-0.6%-0.2%385.2M-1.70B-27.1M0.333.20152,97649,8582,012,108747,791
2016-01-11$104.72$103.0015.9%4.5%16.3%44.6%16.2%-0.5%-0.2%319.9M-865.7M-26.3M0.462.5379,74336,5332,061,471740,678
2016-01-12$104.26$103.0015.8%4.4%16.3%43.9%16.0%-0.3%-0.4%289.1M-451.1M-25.5M0.352.49102,13935,2622,085,040739,736
2016-01-13$104.70$103.0016.2%4.6%15.6%47.8%16.5%-0.8%-0.2%309.8M-827.4M-26.3M0.362.18125,98245,0352,083,064742,370
2016-01-14$103.09$103.0015.5%4.4%16.6%40.5%16.0%-0.2%-0.3%178.9M497.7M-24.7M0.312.17166,67552,2622,131,653757,197
2016-01-15$104.12$103.0016.4%4.6%16.5%49.8%17.8%-0.8%-0.5%345.3M-576.8M-27.6M0.412.78190,75077,3282,201,854770,913
2016-01-19$104.02$103.0014.7%4.2%14.4%33.2%15.2%-0.3%0.1%206.4M-690.7M-26.2M0.532.5576,52340,8151,545,485579,861
2016-01-20$105.37$103.0015.1%4.3%14.3%37.0%15.7%-0.8%-0.1%296.3M-1.58B-27.9M0.272.62239,99164,1841,548,601596,315
2016-01-21$105.33$103.0015.3%4.4%13.8%42.4%16.0%-0.9%-0.1%315.3M-1.66B-28.9M0.302.62120,17736,0501,695,488623,812
2016-01-22$105.03$103.0014.5%4.2%13.7%38.2%14.9%-0.6%-0.1%243.7M-1.39B-28.1M0.222.33146,54631,8441,710,476631,030
2016-01-25$106.00$103.0015.4%4.4%13.8%51.9%16.6%-0.9%0.3%387.5M-2.13B-29.5M0.412.5487,79735,9491,697,651609,973
2016-01-26$107.32$103.0015.4%4.5%14.2%56.4%16.0%-0.9%0.3%473.5M-3.25B-31.8M0.102.50379,61036,0981,732,485623,637
2016-01-27$107.77$103.0014.9%4.2%13.8%49.2%15.5%-1.0%0.4%599.1M-4.31B-34.5M0.592.35117,64168,8701,906,642634,735
2016-01-28$106.56$103.5013.7%3.8%14.6%32.9%13.9%-0.7%0.6%567.4M-3.08B-32.9M0.682.4178,46053,1161,938,948671,413
2016-01-29$106.92$104.0013.7%3.8%14.2%32.8%13.6%-0.8%0.5%638.0M-3.37B-33.0M0.562.2778,26443,5691,950,365682,584