GLD Options History — February 2016

In February 2016, GLD traded between $108.05 and $118.82. ATM implied volatility averaged 20.4%, placing in the 74.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.0% (HV 20d: 18.4%). Max pain ranged from $104.00 to $109.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2016-02-11: Highest Volume — 877,402 contracts
  • 2016-02-11: Largest IV spike — 33.7% change
  • 2016-02-09: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.88$108.05$118.82$108.05$118.63
Max Pain$107.25$104.00$109.00$104.00$109.00
ATM IV20.4%14.4%26.3%15.0%20.9%
Expected Move5.9%3.9%7.5%4.2%6.3%
HV 20d18.4%13.2%23.3%14.4%23.1%
HV 60d16.8%14.5%18.7%14.7%18.7%
IV Rank74.8%42.2%100.0%50.3%63.6%
IV Percentile90.2%39.7%100.0%52.4%96.0%
Term Structure-0.2%-0.9%0.5%0.3%0.2%
VWIV22.2%14.0%28.1%15.2%23.4%
Skew 25d-2.9%-4.8%-1.0%-1.1%-2.7%
Skew 10d-5.2%-7.7%-2.1%-2.5%-5.0%
Call IV 25d22.6%15.5%29.6%16.2%22.7%
Put IV 25d19.6%14.4%24.8%15.0%20.0%
Bid-Ask Spread %2.951.935.082.583.07
Gamma HHI0.070.060.090.070.08
Net GEX804.9M564.0M913.1M564.0M895.2M
Net DEX-11.49B-17.40B-4.23B-4.24B-13.64B
Net VEX-49.5M-56.3M-34.8M-34.8M-54.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.210.690.420.64
Total Volume323,979.55117,459877,402164,054271,171
Total OI3,498,179.852,594,7774,109,1532,594,7773,901,072

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$108.05$104.0015.0%4.2%14.4%50.3%15.2%-1.1%0.3%564.0M-4.24B-34.8M0.422.58115,12748,9271,916,801677,976
2016-02-02$108.07$104.0014.4%3.9%13.7%42.2%14.0%-1.0%0.3%587.0M-4.23B-34.8M0.581.9374,49942,9601,956,119687,309
2016-02-03$109.15$104.0015.9%4.4%14.0%62.1%15.7%-2.1%0.3%638.7M-5.50B-37.1M0.212.05364,76776,3491,969,559698,021
2016-02-04$110.58$106.0015.5%4.7%13.9%57.2%18.2%-1.8%0.2%795.5M-7.37B-39.7M0.292.90237,23669,4762,187,385731,670
2016-02-05$112.22$106.0017.6%5.2%14.0%86.1%18.7%-2.1%0.1%805.7M-9.21B-42.9M0.243.91305,13572,3672,275,888754,537
2016-02-08$113.82$107.0018.6%5.4%14.2%98.9%19.5%-2.7%0.4%846.1M-11.03B-44.6M0.252.83415,317104,0392,372,347755,330
2016-02-09$113.81$108.0019.7%5.8%13.6%100.0%21.1%-2.5%0.5%886.3M-10.98B-47.2M0.332.72249,00281,5732,493,899805,487
2016-02-10$114.47$108.0019.7%5.8%13.2%100.0%21.0%-2.2%0.4%913.1M-12.01B-48.5M0.602.92162,14596,5062,612,345852,766
2016-02-11$118.82$108.0026.3%7.5%17.6%100.0%28.1%-4.8%-0.1%845.4M-17.40B-53.9M0.285.08683,287194,1152,696,815894,394
2016-02-12$118.46$108.0022.2%6.5%16.0%72.7%23.7%-3.7%0.5%909.1M-17.40B-55.5M0.673.16178,907119,2832,884,6311,015,994
2016-02-16$114.90$108.0022.8%6.6%20.7%76.6%26.3%-4.1%-0.8%820.6M-12.15B-53.3M0.392.77252,67299,4272,808,045999,953
2016-02-17$115.55$108.0023.0%6.6%20.6%77.8%26.9%-3.6%-0.9%853.3M-13.03B-54.8M0.332.91204,79067,0132,894,6231,020,571
2016-02-18$118.29$108.0024.6%7.1%21.5%88.8%26.8%-4.2%-0.9%887.6M-16.45B-56.1M0.542.95226,972122,0292,951,1511,031,736
2016-02-19$117.51$108.0023.3%6.7%21.8%79.8%25.7%-3.9%-0.7%808.5M-15.60B-56.3M0.683.08169,851116,0103,024,3841,084,769
2016-02-22$115.47$108.0021.6%6.4%23.1%68.3%24.8%-3.1%-0.7%725.6M-10.20B-54.8M0.352.81199,24169,2052,712,485944,679
2016-02-23$117.06$108.0022.0%6.5%23.3%70.9%23.9%-3.4%-0.5%790.0M-11.81B-54.8M0.692.4597,94167,2862,752,286977,369
2016-02-24$117.56$108.0022.6%6.7%23.1%75.0%24.7%-3.7%-0.8%816.1M-12.51B-55.6M0.482.94184,37988,0462,775,704998,280
2016-02-25$118.15$108.0021.8%6.5%23.1%69.5%23.9%-3.4%-0.7%877.4M-13.32B-56.3M0.642.82142,25591,2532,854,3041,035,712
2016-02-26$117.09$109.0019.9%6.0%22.9%57.0%22.0%-2.8%-0.5%832.3M-11.78B-54.7M0.643.14194,987124,0462,883,4451,073,756
2016-02-29$118.63$109.0020.9%6.3%23.1%63.6%23.4%-2.7%0.2%895.2M-13.64B-54.5M0.643.07165,541105,6302,853,4781,047,594