GLD Options History — March 2016

In March 2016, GLD traded between $116.40 and $121.52. ATM implied volatility averaged 18.9%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.5% (HV 20d: 20.4%). Max pain ranged from $109.50 to $116.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2016-03-08: Highest Volume — 516,856 contracts
2016-03-29: Largest IV spike — 10.6% change
2016-03-03: Highest IV Rank — 71.7%
2016-03-02: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.08	$116.40	$121.52	$117.99	$117.72
Max Pain	$114.36	$109.50	$116.50	$109.50	$116.50
ATM IV	18.9%	16.1%	22.1%	20.3%	17.1%
Expected Move	5.5%	4.6%	6.3%	6.2%	5.1%
HV 20d	20.4%	16.4%	23.9%	23.3%	19.0%
HV 60d	18.4%	17.9%	19.2%	18.4%	19.1%
IV Rank	50.6%	31.7%	71.7%	60.0%	38.5%
IV Percentile	88.2%	73.4%	97.2%	95.6%	81.3%
Term Structure	-0.1%	-0.5%	0.3%	0.2%	0.1%
VWIV	19.7%	16.4%	23.5%	22.2%	17.8%
Skew 25d	-1.7%	-3.0%	-0.6%	-2.5%	-1.1%
Skew 10d	-3.5%	-5.7%	-1.2%	-4.9%	-2.3%
Call IV 25d	20.3%	17.1%	24.3%	22.1%	18.2%
Put IV 25d	18.6%	15.9%	21.3%	19.6%	17.0%
Bid-Ask Spread %	2.55	1.89	3.94	2.51	2.26
Gamma HHI	0.08	0.06	0.19	0.07	0.09
Net GEX	723.7M	319.5M	974.7M	873.9M	592.5M
Net DEX	-10.93B	-16.05B	-4.33B	-12.73B	-6.67B
Net VEX	-50.6M	-54.9M	-45.5M	-53.1M	-47.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.37	1.17	0.68	0.58
Total Volume	264,956.909	127,326	516,856	230,706	269,184
Total OI	3,843,492.136	3,206,870	4,444,300	3,889,034	3,498,525

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
2016-03-01	$117.99	$109.50	20.3%	6.2%	23.3%	60.0%	22.2%	-2.5%	0.2%	873.9M	-12.73B	-53.1M	0.68	2.51	137,678	93,028	2,831,396	1,057,638
2016-03-02	$118.68	$110.00	20.5%	6.3%	23.3%	61.5%	22.0%	-2.7%	-0.3%	921.3M	-13.67B	-52.9M	0.51	2.79	137,031	69,320	2,851,587	1,074,807
2016-03-03	$120.75	$112.00	22.1%	6.1%	23.7%	71.7%	22.7%	-2.9%	-0.5%	954.6M	-16.05B	-53.4M	0.42	3.32	353,217	149,067	2,844,506	1,085,889
2016-03-04	$120.66	$114.00	20.7%	5.9%	23.5%	62.7%	21.7%	-2.8%	0.1%	974.7M	-14.99B	-53.4M	0.53	3.94	199,767	106,547	2,849,037	1,162,214
2016-03-07	$121.20	$114.00	20.6%	5.8%	23.2%	61.6%	21.3%	-3.0%	-0.2%	851.6M	-15.10B	-52.4M	0.71	2.76	126,890	89,824	2,799,555	1,087,201
2016-03-08	$120.53	$114.00	21.6%	6.1%	23.1%	68.8%	23.4%	-2.3%	-0.1%	822.9M	-14.09B	-52.4M	0.56	2.75	332,221	184,635	2,819,140	1,109,479
2016-03-09	$119.53	$114.00	21.0%	5.9%	23.4%	64.6%	21.1%	-1.8%	-0.3%	773.6M	-12.78B	-54.9M	0.93	2.27	141,707	132,141	2,926,372	1,208,003
2016-03-10	$121.52	$114.00	21.8%	6.2%	23.9%	69.8%	23.5%	-2.5%	-0.4%	815.6M	-15.27B	-54.8M	1.17	2.89	127,900	149,442	2,918,567	1,243,897
2016-03-11	$119.44	$114.00	20.6%	5.8%	21.3%	62.0%	20.9%	-1.8%	-0.4%	719.4M	-12.25B	-53.4M	1.02	2.29	102,005	104,240	2,945,263	1,299,701
2016-03-14	$118.75	$115.00	20.2%	5.8%	21.3%	59.4%	19.9%	-1.7%	-0.5%	729.4M	-11.26B	-51.6M	0.65	1.89	161,069	105,049	2,898,814	1,261,038
2016-03-15	$118.01	$115.00	18.5%	5.3%	18.2%	47.8%	19.0%	-1.1%	-0.2%	740.4M	-10.23B	-51.2M	0.86	2.20	122,574	105,353	2,984,371	1,304,791
2016-03-16	$120.55	$115.00	18.8%	5.4%	19.5%	50.2%	19.6%	-1.7%	-0.3%	812.4M	-14.20B	-51.7M	0.65	3.14	231,545	150,856	3,022,260	1,323,607
2016-03-17	$120.87	$115.00	18.1%	5.2%	17.8%	45.6%	18.6%	-1.9%	-0.1%	819.6M	-14.81B	-51.4M	0.68	1.99	94,056	64,122	3,060,049	1,346,919
2016-03-18	$119.92	$115.00	17.0%	4.9%	17.9%	37.8%	17.3%	-1.4%	0.0%	945.4M	-13.67B	-50.1M	0.70	2.22	159,834	112,279	3,081,628	1,362,672
2016-03-21	$118.80	$115.00	16.1%	4.6%	17.0%	31.7%	16.5%	-1.2%	0.3%	599.9M	-7.40B	-47.7M	0.86	2.14	87,406	74,989	2,267,890	938,980
2016-03-22	$119.36	$115.00	16.3%	4.7%	16.4%	33.4%	16.4%	-1.0%	0.2%	642.1M	-8.03B	-48.5M	1.09	2.36	79,785	86,974	2,293,539	960,308
2016-03-23	$116.59	$115.00	16.6%	4.8%	18.5%	35.1%	17.4%	-0.7%	0.2%	463.7M	-4.77B	-46.0M	0.91	2.41	221,002	200,110	2,312,687	990,834
2016-03-24	$116.40	$116.00	16.6%	4.9%	18.4%	35.3%	17.3%	-0.7%	0.2%	319.5M	-4.33B	-47.1M	0.95	2.94	74,923	71,219	2,410,519	1,073,693
2016-03-28	$116.62	$116.00	16.3%	4.7%	18.2%	33.1%	16.8%	-0.6%	0.0%	442.5M	-4.98B	-45.5M	0.83	1.91	69,656	57,670	2,324,220	984,451
2016-03-29	$118.64	$116.00	18.0%	5.3%	18.6%	44.6%	19.7%	-1.2%	-0.0%	570.4M	-7.43B	-47.4M	0.37	2.87	175,540	65,136	2,337,275	990,530
2016-03-30	$117.14	$116.00	17.1%	5.0%	19.1%	38.8%	18.5%	-1.3%	0.2%	535.3M	-5.87B	-47.2M	0.52	2.30	165,574	86,487	2,424,080	988,895
2016-03-31	$117.72	$116.50	17.1%	5.1%	19.0%	38.5%	17.8%	-1.1%	0.1%	592.5M	-6.67B	-47.5M	0.58	2.26	170,588	98,596	2,491,663	1,006,862