GLD Options History — May 2016

In May 2016, GLD traded between $115.63 and $123.35. ATM implied volatility averaged 16.5%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.1% (HV 20d: 15.4%). Max pain ranged from $113.00 to $119.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2016-05-18: Highest Volume — 422,947 contracts
2016-05-05: Largest IV drop — 5.0% change
2016-05-04: Highest IV Rank — 43.7%
2016-05-04: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.25	$115.63	$123.35	$123.35	$116.06
Max Pain	$115.19	$113.00	$119.00	$118.00	$115.00
ATM IV	16.5%	14.6%	17.9%	17.7%	14.9%
Expected Move	4.7%	4.0%	5.3%	5.1%	4.2%
HV 20d	15.4%	12.2%	16.9%	16.2%	12.4%
HV 60d	17.4%	16.0%	19.7%	19.7%	16.0%
IV Rank	34.5%	21.7%	43.7%	42.7%	24.0%
IV Percentile	65.1%	28.6%	86.1%	84.9%	33.7%
Term Structure	0.3%	-0.1%	0.7%	0.2%	0.1%
VWIV	17.1%	14.2%	18.6%	18.2%	15.0%
Skew 25d	-1.3%	-2.2%	-0.6%	-2.2%	-0.9%
Skew 10d	-2.7%	-4.3%	-1.3%	-4.3%	-1.7%
Call IV 25d	17.5%	15.0%	19.4%	19.4%	15.7%
Put IV 25d	16.2%	14.5%	17.3%	17.1%	14.8%
Bid-Ask Spread %	2.42	2.03	3.06	2.05	2.33
Gamma HHI	0.09	0.06	0.11	0.10	0.06
Net GEX	670.8M	239.5M	982.7M	969.0M	296.1M
Net DEX	-7.00B	-11.24B	-1.73B	-11.24B	-2.45B
Net VEX	-47.5M	-51.0M	-40.9M	-51.0M	-41.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.21	0.95	0.50	0.74
Total Volume	223,082.19	91,267	422,947	232,564	118,037
Total OI	3,724,963.667	3,338,425	4,300,593	3,470,649	3,601,426

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
2016-05-02	$123.35	$118.00	17.7%	5.1%	16.2%	42.7%	18.2%	-2.2%	0.2%	969.0M	-11.24B	-51.0M	0.50	2.05	155,168	77,396	2,586,081	884,568
2016-05-03	$123.00	$118.50	17.1%	4.9%	15.8%	38.4%	17.7%	-2.0%	0.3%	982.7M	-10.82B	-50.4M	0.41	2.32	181,747	73,883	2,595,342	903,383
2016-05-04	$122.30	$119.00	17.9%	5.3%	15.8%	43.7%	18.4%	-2.1%	0.1%	878.5M	-9.78B	-49.7M	0.95	2.56	178,996	169,418	2,569,414	924,485
2016-05-05	$122.05	$113.00	17.0%	5.0%	15.2%	37.7%	18.4%	-1.7%	0.1%	781.7M	-9.05B	-49.9M	0.51	3.06	96,149	49,170	2,642,066	1,030,184
2016-05-06	$123.16	$114.00	17.1%	5.0%	15.4%	38.5%	18.3%	-1.7%	0.2%	861.7M	-10.64B	-50.1M	0.43	2.15	188,565	80,468	2,646,406	1,038,712
2016-05-09	$120.63	$114.00	17.0%	5.0%	16.9%	38.2%	18.5%	-1.4%	0.5%	661.4M	-6.95B	-47.6M	0.38	2.06	141,892	54,445	2,661,216	1,016,000
2016-05-10	$120.98	$114.00	16.4%	4.9%	16.9%	34.2%	17.4%	-1.5%	0.5%	696.3M	-7.43B	-46.7M	0.30	2.45	139,791	42,089	2,691,672	1,023,508
2016-05-11	$122.10	$114.00	16.9%	5.0%	16.5%	37.0%	18.6%	-1.5%	0.5%	866.9M	-9.17B	-48.7M	0.21	2.41	225,403	47,646	2,740,281	1,029,429
2016-05-12	$121.11	$114.00	16.4%	4.8%	15.9%	33.9%	17.2%	-1.5%	0.5%	715.6M	-7.73B	-48.9M	0.44	2.14	128,412	55,878	2,849,857	1,042,277
2016-05-13	$121.68	$114.00	16.9%	5.0%	15.8%	37.2%	17.9%	-1.6%	0.7%	757.0M	-8.60B	-50.5M	0.52	2.38	168,395	87,234	2,882,418	1,057,122
2016-05-16	$121.83	$115.00	17.4%	5.0%	15.7%	40.6%	17.9%	-1.7%	0.4%	919.9M	-9.07B	-49.8M	0.60	2.47	121,492	72,712	2,911,655	1,024,837
2016-05-17	$121.77	$115.00	17.3%	5.0%	14.9%	40.1%	18.6%	-1.7%	0.5%	943.9M	-8.96B	-49.7M	0.73	2.75	52,873	38,394	2,931,260	1,037,691
2016-05-18	$120.10	$115.00	17.1%	4.9%	15.7%	38.5%	17.8%	-0.7%	0.6%	646.9M	-6.42B	-47.7M	0.43	2.65	295,538	127,409	2,963,240	1,050,923
2016-05-19	$119.80	$115.00	16.8%	4.8%	15.6%	36.6%	17.3%	-0.9%	0.5%	586.2M	-6.17B	-48.1M	0.78	2.03	182,751	141,771	3,092,111	1,100,701
2016-05-20	$119.61	$115.00	16.0%	4.5%	14.8%	31.1%	16.5%	-0.6%	0.6%	602.0M	-5.82B	-48.5M	0.69	2.54	108,034	74,996	3,151,445	1,149,148
2016-05-23	$119.35	$115.00	15.9%	4.4%	14.8%	30.9%	15.8%	-1.0%	-0.0%	584.5M	-5.65B	-47.3M	0.50	2.55	122,560	61,109	2,474,787	863,638
2016-05-24	$117.28	$115.00	15.9%	4.4%	16.1%	30.6%	15.7%	-0.8%	-0.1%	396.7M	-3.49B	-43.8M	0.68	2.59	145,492	98,269	2,521,511	875,161
2016-05-25	$116.99	$115.50	15.2%	4.3%	16.0%	26.2%	15.6%	-0.7%	0.0%	376.4M	-3.18B	-43.9M	0.56	2.41	129,610	72,589	2,585,129	908,674
2016-05-26	$116.57	$116.00	14.6%	4.0%	14.1%	22.2%	14.2%	-0.6%	0.2%	324.8M	-2.62B	-42.2M	0.41	2.10	99,121	40,718	2,645,742	922,432
2016-05-27	$115.63	$115.00	14.6%	4.0%	12.2%	21.7%	14.5%	-0.6%	0.1%	239.5M	-1.73B	-40.9M	0.92	2.77	124,451	114,655	2,667,350	930,955
2016-05-31	$116.06	$115.00	14.9%	4.2%	12.4%	24.0%	15.0%	-0.9%	0.1%	296.1M	-2.45B	-41.1M	0.74	2.33	67,880	50,157	2,656,390	945,036