GLD Options History — July 2016

In July 2016, GLD traded between $125.37 and $130.41. ATM implied volatility averaged 17.0%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 3.3% (HV 20d: 20.2%). Max pain ranged from $121.00 to $124.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.82.

Notable Days

2016-07-06: Highest Volume — 708,105 contracts
2016-07-05: Largest IV spike — 9.4% change
2016-07-06: Highest IV Rank — 54.6%
2016-07-06: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$127.84	$125.37	$130.41	$128.35	$129.34
Max Pain	$123.55	$121.00	$124.00	$121.00	$124.00
ATM IV	17.0%	15.0%	20.1%	17.3%	15.0%
Expected Move	4.8%	4.2%	5.7%	4.8%	4.2%
HV 20d	20.2%	14.6%	23.0%	21.5%	15.6%
HV 60d	17.7%	17.4%	18.0%	17.9%	17.7%
IV Rank	31.2%	16.2%	54.6%	34.6%	16.2%
IV Percentile	59.8%	23.4%	89.3%	74.2%	23.4%
Term Structure	-0.1%	-0.4%	0.4%	0.3%	0.4%
VWIV	17.2%	15.1%	20.2%	17.2%	15.1%
Skew 25d	-1.3%	-2.6%	-0.7%	-2.1%	-0.9%
Skew 10d	-2.5%	-4.8%	-1.2%	-3.9%	-1.8%
Call IV 25d	17.9%	15.6%	22.0%	18.8%	15.6%
Put IV 25d	16.6%	14.7%	19.3%	16.7%	14.7%
Bid-Ask Spread %	2.27	1.81	3.22	2.67	1.81
Gamma HHI	0.08	0.07	0.10	0.07	0.10
Net GEX	838.0M	515.6M	1.13B	1.08B	1.02B
Net DEX	-12.52B	-18.64B	-7.17B	-18.07B	-13.96B
Net VEX	-64.9M	-68.1M	-61.2M	-61.8M	-63.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.28	1.62	0.49	0.83
Total Volume	285,175.75	105,815	708,105	264,237	342,673
Total OI	4,148,895.6	3,754,897	4,526,262	3,960,617	4,286,327

Daily Data (20 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
2016-07-01	$128.35	$121.00	17.3%	4.8%	21.5%	34.6%	17.2%	-2.1%	0.3%	1.08B	-18.07B	-61.8M	0.49	2.67	177,552	86,685	2,975,831	984,786
2016-07-05	$129.45	$121.00	19.0%	5.4%	21.5%	46.5%	18.8%	-2.4%	-0.1%	1.10B	-17.24B	-61.2M	0.36	2.80	300,267	108,345	2,809,732	945,165
2016-07-06	$130.23	$122.00	20.1%	5.7%	21.5%	54.6%	20.2%	-2.6%	-0.4%	1.13B	-18.64B	-65.4M	0.52	3.22	465,358	242,747	2,969,125	1,014,541
2016-07-07	$129.75	$123.00	19.5%	5.5%	21.4%	50.0%	19.1%	-2.1%	-0.3%	1.05B	-17.22B	-67.0M	0.65	2.31	231,079	149,750	3,000,871	1,142,351
2016-07-08	$130.41	$124.00	17.8%	5.1%	21.3%	37.6%	18.3%	-2.0%	0.0%	1.11B	-18.52B	-68.1M	0.48	2.61	266,331	126,639	3,129,229	1,195,089
2016-07-11	$129.32	$124.00	18.0%	5.1%	21.8%	39.1%	17.7%	-1.9%	-0.2%	1.05B	-15.49B	-68.1M	1.37	2.27	93,662	128,753	3,070,933	1,156,915
2016-07-12	$127.25	$124.00	17.0%	4.8%	22.7%	31.8%	16.9%	-1.4%	-0.1%	872.9M	-12.03B	-66.0M	1.10	2.17	195,019	214,382	3,094,016	1,224,450
2016-07-13	$128.27	$124.00	16.7%	4.7%	22.8%	29.6%	16.7%	-1.2%	-0.2%	839.8M	-13.38B	-67.3M	0.72	1.94	106,759	76,739	3,121,384	1,333,378
2016-07-14	$127.32	$124.00	16.3%	4.6%	23.0%	26.0%	16.4%	-0.9%	-0.1%	728.2M	-11.72B	-65.7M	0.78	1.83	134,069	104,987	3,133,490	1,337,313
2016-07-15	$126.81	$124.00	16.0%	4.6%	22.7%	23.9%	16.6%	-0.8%	-0.1%	728.4M	-10.77B	-65.0M	0.82	2.03	158,414	129,721	3,163,131	1,363,131
2016-07-18	$127.09	$124.00	16.2%	4.6%	22.2%	25.3%	16.6%	-0.9%	-0.1%	689.5M	-9.63B	-64.4M	1.62	2.15	71,146	115,262	2,777,310	1,105,244
2016-07-19	$127.22	$124.00	15.9%	4.6%	22.1%	23.2%	16.4%	-1.0%	-0.2%	684.4M	-9.69B	-64.3M	0.88	2.14	56,276	49,539	2,802,335	1,156,941
2016-07-20	$125.37	$124.00	16.4%	4.7%	21.5%	27.1%	17.0%	-0.7%	-0.4%	515.6M	-7.17B	-63.4M	0.47	1.98	176,485	82,657	2,824,435	1,161,110
2016-07-21	$127.36	$124.00	16.9%	4.9%	22.0%	30.1%	17.3%	-1.1%	-0.4%	724.7M	-10.22B	-66.4M	0.54	2.09	113,019	60,763	2,834,948	1,193,300
2016-07-22	$126.35	$124.00	16.7%	4.8%	22.1%	29.1%	16.7%	-1.0%	-0.2%	684.2M	-9.00B	-66.0M	1.22	2.13	95,782	116,745	2,900,179	1,194,933
2016-07-25	$125.43	$124.00	16.8%	4.9%	14.6%	29.5%	17.2%	-0.8%	0.1%	618.6M	-7.59B	-63.1M	1.62	2.56	100,607	162,926	2,864,249	1,157,296
2016-07-26	$126.00	$124.00	16.5%	4.8%	14.6%	27.2%	17.5%	-0.8%	0.1%	560.2M	-7.97B	-63.6M	0.28	2.21	179,700	49,849	2,895,723	1,260,889
2016-07-27	$127.84	$124.00	15.9%	4.6%	15.0%	23.3%	16.3%	-0.8%	0.3%	804.5M	-11.13B	-64.1M	0.94	2.52	122,131	115,059	2,919,334	1,256,017
2016-07-28	$127.68	$124.00	15.4%	4.4%	15.0%	19.1%	15.8%	-0.7%	0.3%	753.7M	-10.90B	-63.3M	0.73	1.99	113,026	82,612	2,926,176	1,296,305
2016-07-29	$129.34	$124.00	15.0%	4.2%	15.6%	16.2%	15.1%	-0.9%	0.4%	1.02B	-13.96B	-63.4M	0.83	1.81	186,747	155,926	2,969,159	1,317,168