GLD Options History — August 2016

In August 2016, GLD traded between $124.85 and $130.34. ATM implied volatility averaged 15.1%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.2% (HV 20d: 12.9%). Max pain ranged from $124.00 to $125.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.85.

Notable Days

2016-08-26: Highest Volume — 328,934 contracts
2016-08-24: Largest IV spike — 9.1% change
2016-08-24: Highest IV Rank — 29.4%
2016-08-04: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$127.73	$124.85	$130.34	$129.24	$124.85
Max Pain	$124.59	$124.00	$125.00	$124.00	$125.00
ATM IV	15.1%	13.4%	16.8%	15.4%	15.7%
Expected Move	4.2%	3.9%	4.5%	4.3%	4.2%
HV 20d	12.9%	9.7%	15.6%	14.6%	9.7%
HV 60d	17.1%	16.1%	17.7%	17.7%	16.3%
IV Rank	16.9%	4.8%	29.4%	19.1%	21.2%
IV Percentile	27.2%	2.8%	62.3%	31.0%	39.3%
Term Structure	0.3%	-0.3%	1.4%	-0.0%	-0.1%
VWIV	14.9%	13.7%	16.2%	15.2%	15.0%
Skew 25d	-0.9%	-1.4%	-0.5%	-0.9%	-0.9%
Skew 10d	-1.7%	-2.7%	-1.1%	-1.6%	-1.8%
Call IV 25d	15.8%	14.0%	17.7%	16.3%	16.4%
Put IV 25d	15.0%	13.3%	16.5%	15.4%	15.5%
Bid-Ask Spread %	2.09	1.41	4.87	1.79	1.90
Gamma HHI	0.09	0.07	0.13	0.10	0.07
Net GEX	918.1M	479.3M	1.35B	1.03B	534.5M
Net DEX	-11.00B	-15.45B	-4.97B	-13.58B	-4.97B
Net VEX	-61.3M	-64.7M	-56.5M	-62.5M	-56.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.32	1.77	0.64	0.82
Total Volume	233,864.391	123,726	328,934	217,083	309,647
Total OI	4,382,358.478	3,997,889	4,892,712	4,185,513	4,415,913

Daily Data (23 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
2016-08-01	$129.24	$124.00	15.4%	4.3%	14.6%	19.1%	15.2%	-0.9%	-0.0%	1.03B	-13.58B	-62.5M	0.64	1.79	132,033	85,050	2,949,693	1,235,820
2016-08-02	$130.34	$124.00	15.8%	4.4%	14.5%	22.1%	15.7%	-0.9%	-0.1%	1.12B	-15.45B	-64.7M	0.82	2.07	102,955	84,073	3,017,510	1,243,451
2016-08-03	$129.73	$124.50	15.5%	4.3%	14.5%	20.3%	15.2%	-0.7%	-0.3%	1.08B	-14.41B	-63.2M	1.31	1.82	53,629	70,097	3,048,748	1,270,089
2016-08-04	$129.87	$124.00	15.4%	4.5%	14.4%	19.4%	15.7%	-0.9%	-0.2%	1.11B	-14.63B	-63.2M	1.28	1.94	74,043	94,931	3,053,793	1,281,964
2016-08-05	$127.55	$124.00	14.9%	4.3%	15.6%	16.0%	15.3%	-0.5%	-0.2%	903.5M	-10.35B	-62.1M	0.60	2.07	175,331	105,633	3,080,182	1,326,763
2016-08-08	$127.45	$124.00	14.6%	4.2%	15.4%	13.4%	15.0%	-0.6%	0.2%	886.5M	-10.78B	-60.3M	0.84	1.88	106,560	89,873	3,041,089	1,200,565
2016-08-09	$127.97	$124.00	13.4%	3.9%	14.4%	4.8%	13.7%	-0.7%	0.3%	1.05B	-12.21B	-59.4M	0.55	1.78	146,892	80,673	3,127,226	1,207,664
2016-08-10	$128.59	$124.00	13.9%	4.0%	14.2%	7.9%	14.2%	-0.7%	0.3%	1.22B	-13.54B	-61.5M	0.83	2.09	86,820	72,231	3,190,825	1,225,852
2016-08-11	$127.65	$124.00	14.2%	4.2%	14.2%	10.7%	14.9%	-0.6%	0.4%	994.0M	-11.72B	-60.5M	0.77	1.94	141,122	109,206	3,188,905	1,252,236
2016-08-12	$127.42	$124.00	14.1%	4.1%	14.1%	9.5%	14.6%	-0.7%	0.4%	907.5M	-11.36B	-60.2M	0.90	1.97	165,008	148,707	3,226,853	1,285,348
2016-08-15	$127.89	$125.00	13.8%	4.0%	14.1%	7.7%	14.5%	-0.7%	1.0%	1.10B	-12.48B	-58.9M	1.77	1.41	96,530	170,643	3,214,924	1,255,954
2016-08-16	$128.51	$125.00	15.1%	4.3%	14.2%	16.8%	15.6%	-0.7%	0.9%	1.15B	-13.46B	-60.8M	0.84	1.88	136,393	114,913	3,235,967	1,332,487
2016-08-17	$128.50	$125.00	14.8%	4.3%	13.1%	15.2%	15.1%	-0.8%	1.1%	1.14B	-13.38B	-61.3M	0.56	2.27	162,000	90,237	3,284,368	1,408,231
2016-08-18	$129.11	$125.00	14.1%	4.0%	12.0%	9.6%	14.5%	-0.7%	1.4%	1.35B	-14.79B	-62.8M	0.32	2.81	208,144	67,388	3,379,494	1,433,227
2016-08-19	$127.95	$125.00	14.6%	4.0%	12.1%	13.4%	14.6%	-0.7%	1.4%	832.5M	-12.26B	-63.3M	0.51	1.87	169,922	86,079	3,434,531	1,458,181
2016-08-22	$127.71	$125.00	15.3%	4.1%	11.8%	18.9%	14.4%	-1.4%	0.2%	841.5M	-9.82B	-62.4M	0.65	2.06	133,495	87,346	2,941,206	1,056,683
2016-08-23	$127.66	$125.00	15.4%	4.0%	11.7%	19.1%	14.4%	-1.4%	0.2%	856.1M	-9.68B	-63.4M	1.02	1.71	104,934	107,357	3,018,652	1,100,688
2016-08-24	$126.34	$125.00	16.8%	4.4%	11.1%	29.4%	15.7%	-1.2%	-0.2%	678.4M	-7.58B	-62.5M	1.07	4.87	117,271	125,609	3,031,804	1,125,992
2016-08-25	$126.21	$125.00	16.5%	4.4%	11.1%	27.6%	16.2%	-1.3%	-0.3%	631.9M	-7.21B	-62.5M	0.87	1.91	118,134	102,764	3,074,725	1,174,293
2016-08-26	$126.09	$125.00	16.1%	4.2%	9.9%	24.6%	14.9%	-0.9%	-0.2%	479.3M	-6.90B	-61.4M	1.13	2.09	154,660	174,274	3,133,534	1,194,162
2016-08-29	$126.25	$125.00	15.6%	4.0%	9.9%	20.5%	14.2%	-0.8%	0.1%	698.1M	-7.27B	-59.5M	0.68	2.14	105,444	71,895	3,115,518	1,181,543
2016-08-30	$124.96	$125.00	15.7%	4.2%	9.8%	21.5%	14.7%	-0.9%	-0.1%	538.8M	-5.16B	-56.6M	0.71	1.91	139,358	99,577	3,143,865	1,193,727
2016-08-31	$124.85	$125.00	15.7%	4.2%	9.7%	21.2%	15.0%	-0.9%	-0.1%	534.5M	-4.97B	-56.5M	0.82	1.90	169,690	139,957	3,194,782	1,221,131