GLD Options History — April 2016

In April 2016, GLD traded between $116.14 and $123.56. ATM implied volatility averaged 17.0%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.3% (HV 20d: 17.3%). Max pain ranged from $116.00 to $118.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2016-04-29: Highest Volume — 464,272 contracts
2016-04-29: Largest IV spike — 13.5% change
2016-04-29: Highest IV Rank — 50.9%
2016-04-29: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.73	$116.14	$123.56	$116.84	$123.56
Max Pain	$117.43	$116.00	$118.00	$116.00	$118.00
ATM IV	17.0%	15.3%	18.9%	16.9%	18.9%
Expected Move	4.8%	4.4%	5.5%	4.8%	5.5%
HV 20d	17.3%	14.5%	19.4%	18.0%	16.5%
HV 60d	19.3%	18.9%	19.8%	19.2%	19.8%
IV Rank	37.6%	26.7%	50.9%	37.0%	50.9%
IV Percentile	76.6%	50.0%	90.5%	80.2%	90.5%
Term Structure	-0.0%	-0.2%	0.1%	0.1%	-0.0%
VWIV	18.0%	15.6%	20.6%	17.1%	20.0%
Skew 25d	-1.3%	-2.2%	-0.7%	-0.8%	-2.2%
Skew 10d	-2.5%	-4.1%	-1.4%	-1.7%	-4.1%
Call IV 25d	18.0%	16.2%	20.6%	17.6%	20.6%
Put IV 25d	16.7%	15.2%	18.4%	16.8%	18.4%
Bid-Ask Spread %	2.62	2.11	3.61	2.75	2.11
Gamma HHI	0.09	0.07	0.10	0.08	0.09
Net GEX	711.5M	464.0M	1.00B	576.8M	981.3M
Net DEX	-7.09B	-11.99B	-4.69B	-5.40B	-11.99B
Net VEX	-47.1M	-51.7M	-43.9M	-46.5M	-51.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.23	1.59	0.61	0.40
Total Volume	248,696.619	109,857	464,272	192,140	464,272
Total OI	3,454,282.571	3,229,445	3,950,506	3,350,726	3,442,134

Daily Data (21 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
2016-04-01	$116.84	$116.00	16.9%	4.8%	18.0%	37.0%	17.1%	-0.8%	0.1%	576.8M	-5.40B	-46.5M	0.61	2.75	119,408	72,732	2,421,392	929,334
2016-04-04	$116.14	$117.00	16.8%	4.8%	18.0%	36.6%	17.4%	-0.7%	-0.2%	522.9M	-4.69B	-43.9M	0.56	3.00	84,892	47,842	2,392,174	894,334
2016-04-05	$117.76	$117.00	17.2%	4.9%	18.8%	39.2%	17.6%	-1.0%	-0.2%	661.5M	-6.51B	-45.8M	0.58	3.61	131,245	75,715	2,417,271	906,479
2016-04-06	$116.98	$117.00	16.9%	4.8%	18.8%	37.1%	17.2%	-1.0%	-0.2%	586.1M	-5.59B	-44.9M	0.42	3.31	122,590	51,665	2,445,028	929,524
2016-04-07	$118.62	$117.00	18.1%	5.2%	19.4%	45.2%	19.4%	-1.8%	-0.1%	765.6M	-7.74B	-48.1M	0.26	2.49	244,486	64,322	2,457,863	938,763
2016-04-08	$118.55	$117.00	17.7%	5.1%	18.3%	42.5%	18.9%	-1.6%	-0.0%	706.6M	-7.74B	-48.1M	0.29	2.54	269,617	79,081	2,563,065	963,185
2016-04-11	$120.00	$117.00	18.5%	5.3%	17.9%	47.6%	19.9%	-1.9%	0.0%	944.3M	-9.48B	-50.3M	0.24	2.35	230,096	56,251	2,656,344	952,745
2016-04-12	$120.13	$117.00	18.1%	5.2%	17.8%	45.6%	20.6%	-1.7%	-0.0%	1.00B	-10.03B	-50.6M	0.32	2.82	213,432	68,996	2,750,371	965,349
2016-04-13	$118.64	$117.00	17.1%	4.9%	18.2%	38.7%	18.8%	-1.6%	0.1%	861.6M	-7.84B	-48.7M	0.34	2.11	167,018	56,644	2,834,361	986,539
2016-04-14	$117.02	$117.00	16.9%	4.8%	17.0%	37.3%	19.5%	-1.2%	-0.1%	593.6M	-5.45B	-46.2M	0.43	2.55	203,282	87,865	2,847,344	1,002,369
2016-04-15	$117.93	$117.00	16.5%	4.7%	17.3%	34.8%	17.9%	-1.2%	-0.1%	613.7M	-6.69B	-46.7M	0.54	2.64	153,089	82,874	2,939,790	1,010,716
2016-04-18	$117.69	$118.00	16.3%	4.7%	17.1%	33.5%	17.5%	-1.3%	-0.0%	556.8M	-5.52B	-45.0M	0.74	2.19	95,467	70,256	2,472,273	757,172
2016-04-19	$119.53	$118.00	16.4%	4.7%	17.8%	34.0%	17.9%	-1.5%	0.0%	767.0M	-7.49B	-47.3M	0.39	2.55	218,317	84,456	2,485,684	769,360
2016-04-20	$119.01	$118.00	15.8%	4.5%	17.8%	29.9%	16.5%	-1.1%	0.1%	717.6M	-6.75B	-46.9M	0.66	2.54	139,644	91,944	2,487,327	795,533
2016-04-21	$119.52	$118.00	16.9%	4.8%	15.5%	37.2%	17.4%	-1.1%	-0.1%	773.9M	-7.43B	-48.6M	1.59	2.77	99,755	158,407	2,516,419	821,699
2016-04-22	$117.92	$118.00	16.2%	4.6%	16.4%	32.7%	16.3%	-0.9%	0.1%	464.0M	-5.21B	-46.0M	1.50	2.75	87,458	131,237	2,544,899	896,726
2016-04-25	$118.34	$118.00	16.6%	4.8%	16.4%	35.1%	17.6%	-1.0%	-0.1%	576.5M	-5.72B	-45.5M	0.85	2.33	59,338	50,519	2,467,032	842,679
2016-04-26	$118.71	$118.00	16.3%	4.7%	15.2%	33.1%	17.9%	-1.2%	-0.1%	628.4M	-6.16B	-45.5M	0.45	2.25	151,896	68,045	2,472,756	851,232
2016-04-27	$119.06	$118.00	15.3%	4.4%	14.5%	26.7%	15.6%	-1.0%	0.1%	665.7M	-6.38B	-45.0M	0.80	2.60	99,922	80,065	2,480,231	866,167
2016-04-28	$121.42	$118.00	16.7%	4.7%	15.9%	35.9%	17.2%	-1.5%	-0.0%	977.0M	-9.13B	-47.9M	0.23	2.71	316,538	71,951	2,477,192	889,079
2016-04-29	$123.56	$118.00	18.9%	5.5%	16.5%	50.9%	20.0%	-2.2%	-0.0%	981.3M	-11.99B	-51.7M	0.40	2.11	332,815	131,457	2,541,392	900,742