GLD Options History — June 2016

In June 2016, GLD traded between $115.71 and $126.59. ATM implied volatility averaged 18.9%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.3% (HV 20d: 16.6%). Max pain ranged from $115.50 to $121.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.49.

Notable Days

2016-06-16: Highest Volume — 483,549 contracts
2016-06-24: Largest IV spike — 13.0% change
2016-06-17: Highest IV Rank — 67.9%
2016-06-27: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.94	$115.71	$126.59	$115.91	$126.27
Max Pain	$119.61	$115.50	$121.00	$115.50	$121.00
ATM IV	18.9%	15.0%	21.5%	15.0%	17.3%
Expected Move	5.5%	4.2%	6.5%	4.2%	5.0%
HV 20d	16.6%	12.4%	22.7%	12.4%	22.6%
HV 60d	16.3%	15.2%	18.0%	16.0%	17.8%
IV Rank	49.7%	24.5%	67.9%	24.8%	34.5%
IV Percentile	81.6%	35.7%	94.8%	36.9%	73.8%
Term Structure	-0.3%	-0.7%	0.2%	-0.1%	0.2%
VWIV	19.9%	14.8%	23.5%	14.8%	18.2%
Skew 25d	-2.6%	-3.6%	-0.9%	-0.9%	-2.0%
Skew 10d	-4.9%	-6.8%	-1.7%	-1.7%	-3.7%
Call IV 25d	20.6%	15.8%	24.0%	15.8%	18.7%
Put IV 25d	18.0%	14.8%	20.6%	14.9%	16.7%
Bid-Ask Spread %	2.78	2.13	4.76	2.21	2.13
Gamma HHI	0.10	0.06	0.38	0.06	0.13
Net GEX	1.10B	236.4M	2.07B	291.3M	1.56B
Net DEX	-10.66B	-17.05B	-2.10B	-2.35B	-16.48B
Net VEX	-54.1M	-62.3M	-40.2M	-40.8M	-61.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.28	0.85	0.71	0.36
Total Volume	299,539.818	141,958	483,549	141,958	268,034
Total OI	3,973,809.773	3,376,517	4,553,735	3,619,725	4,238,938

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
2016-06-01	$115.91	$115.50	15.0%	4.2%	12.4%	24.8%	14.8%	-0.9%	-0.1%	291.3M	-2.35B	-40.8M	0.71	2.21	82,977	58,981	2,676,590	943,135
2016-06-02	$115.71	$120.00	15.0%	4.3%	12.4%	24.5%	15.5%	-1.2%	-0.1%	236.4M	-2.10B	-40.2M	0.57	2.17	91,043	52,130	2,702,459	961,400
2016-06-03	$118.81	$118.00	16.5%	4.7%	16.2%	34.6%	17.6%	-2.0%	-0.3%	710.3M	-6.32B	-46.8M	0.54	2.53	195,378	106,315	2,743,524	979,925
2016-06-06	$118.99	$118.00	17.0%	4.8%	15.7%	37.7%	17.1%	-2.0%	-0.1%	694.4M	-6.33B	-46.5M	0.66	2.57	117,832	78,220	2,766,858	995,481
2016-06-07	$118.88	$118.00	16.6%	4.7%	14.0%	35.1%	17.5%	-1.9%	-0.1%	694.7M	-6.13B	-46.1M	0.39	2.45	157,822	62,248	2,803,405	1,021,268
2016-06-08	$120.55	$118.00	17.8%	5.1%	14.9%	43.2%	18.2%	-2.4%	-0.1%	1.06B	-8.91B	-49.7M	0.45	2.29	243,345	109,109	2,897,826	1,038,196
2016-06-09	$121.32	$118.00	19.3%	5.4%	14.7%	52.9%	19.2%	-2.8%	-0.4%	1.21B	-10.59B	-53.9M	0.34	3.08	218,685	73,617	2,999,126	1,074,441
2016-06-10	$121.76	$119.00	19.7%	5.6%	14.5%	55.7%	19.8%	-2.8%	-0.3%	1.29B	-11.77B	-56.6M	0.31	2.61	250,921	78,550	3,126,261	1,096,895
2016-06-13	$122.69	$119.00	20.2%	5.8%	14.7%	59.3%	20.8%	-2.7%	-0.3%	1.40B	-13.13B	-57.5M	0.36	2.80	236,461	86,044	3,167,800	1,051,257
2016-06-14	$122.77	$120.00	19.9%	5.7%	14.7%	57.1%	20.3%	-2.6%	-0.3%	1.47B	-13.45B	-57.7M	0.37	2.28	210,311	77,840	3,286,599	1,078,621
2016-06-15	$123.53	$120.00	19.8%	5.7%	14.8%	56.7%	20.6%	-2.6%	-0.5%	1.59B	-14.56B	-57.0M	0.44	2.76	222,638	96,943	3,281,423	1,105,158
2016-06-16	$122.25	$120.00	20.7%	6.0%	14.4%	62.4%	22.0%	-3.0%	-0.7%	1.44B	-12.41B	-56.5M	0.53	2.49	315,394	168,155	3,354,397	1,139,025
2016-06-17	$124.00	$120.00	21.5%	6.2%	15.1%	67.9%	22.1%	-3.4%	-0.6%	2.07B	-15.33B	-57.7M	0.77	3.75	113,609	87,160	3,355,517	1,198,218
2016-06-20	$123.33	$120.00	19.9%	5.9%	15.3%	57.2%	21.1%	-3.1%	-0.3%	918.5M	-9.66B	-54.6M	0.85	2.73	94,398	80,250	2,600,450	776,067
2016-06-21	$120.90	$121.00	19.6%	5.9%	17.0%	55.2%	21.1%	-2.9%	-0.4%	737.4M	-6.73B	-52.1M	0.40	2.72	337,495	135,977	2,626,489	810,847
2016-06-22	$120.91	$121.00	21.1%	6.4%	15.6%	65.2%	23.0%	-3.3%	-0.5%	852.7M	-7.99B	-56.1M	0.42	3.56	203,008	85,513	2,870,870	868,706
2016-06-23	$120.17	$121.00	18.5%	5.6%	15.8%	48.1%	22.0%	-3.6%	-0.4%	837.5M	-6.88B	-54.9M	0.28	4.76	294,055	82,193	2,942,412	901,215
2016-06-24	$126.02	$121.00	20.9%	6.3%	22.6%	64.0%	23.2%	-3.6%	-0.5%	1.43B	-17.05B	-62.3M	0.42	3.82	320,523	135,185	3,086,405	929,817
2016-06-27	$126.59	$121.00	21.5%	6.5%	22.2%	67.7%	23.5%	-3.4%	-0.6%	1.17B	-16.30B	-61.7M	0.78	2.45	156,528	122,275	2,979,343	871,192
2016-06-28	$125.39	$121.00	19.3%	5.8%	22.7%	48.4%	20.9%	-2.5%	-0.3%	1.23B	-14.62B	-59.9M	0.57	2.56	190,975	108,461	3,052,244	936,912
2016-06-29	$125.96	$121.00	18.4%	5.4%	22.7%	41.8%	19.0%	-2.3%	0.0%	1.28B	-15.42B	-59.9M	0.34	2.49	286,723	96,555	3,097,616	989,487
2016-06-30	$126.27	$121.00	17.3%	5.0%	22.6%	34.5%	18.2%	-2.0%	0.2%	1.56B	-16.48B	-61.4M	0.36	2.13	197,714	70,320	3,194,294	1,044,644