GLD Options History — September 2016

In September 2016, GLD traded between $124.92 and $128.69. ATM implied volatility averaged 14.1%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.4% (HV 20d: 10.7%). Max pain ranged from $125.00 to $128.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2016-09-06: Highest Volume — 635,395 contracts
2016-09-02: Largest IV drop — 11.6% change
2016-09-01: Highest IV Rank — 23.5%
2016-09-13: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.55	$124.92	$128.69	$125.40	$125.66
Max Pain	$127.00	$125.00	$128.00	$125.00	$127.00
ATM IV	14.1%	12.1%	16.0%	16.0%	12.2%
Expected Move	4.0%	3.4%	4.4%	4.3%	3.4%
HV 20d	10.7%	8.5%	11.7%	9.9%	10.8%
HV 60d	14.4%	11.8%	16.5%	16.1%	11.8%
IV Rank	10.5%	0.0%	23.5%	23.5%	0.8%
IV Percentile	14.9%	0.0%	46.0%	46.0%	0.8%
Term Structure	0.1%	-0.4%	1.0%	-0.2%	0.8%
VWIV	14.3%	11.8%	16.2%	15.2%	12.3%
Skew 25d	-0.9%	-1.3%	-0.6%	-1.1%	-0.7%
Skew 10d	-1.8%	-2.9%	-1.3%	-2.0%	-1.5%
Call IV 25d	14.9%	12.6%	16.8%	16.8%	12.6%
Put IV 25d	14.0%	11.7%	15.8%	15.8%	11.9%
Bid-Ask Spread %	2.30	1.83	3.38	2.05	2.34
Gamma HHI	0.09	0.07	0.14	0.07	0.08
Net GEX	935.9M	579.8M	1.43B	599.3M	736.7M
Net DEX	-7.49B	-12.10B	-4.09B	-5.88B	-5.75B
Net VEX	-55.3M	-59.8M	-51.0M	-57.6M	-51.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.20	1.10	0.67	0.58
Total Volume	314,320.571	179,933	635,395	349,243	233,868
Total OI	4,472,758.048	3,931,509	4,972,215	4,415,837	4,413,031

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
2016-09-01	$125.40	$125.00	16.0%	4.3%	9.9%	23.5%	15.2%	-1.1%	-0.2%	599.3M	-5.88B	-57.6M	0.67	2.05	208,947	140,296	3,160,233	1,255,604
2016-09-02	$126.46	$125.00	14.1%	3.4%	8.5%	9.8%	11.8%	-1.1%	0.3%	855.9M	-7.73B	-57.2M	1.03	2.13	166,367	170,730	3,234,530	1,275,746
2016-09-06	$128.69	$128.00	14.9%	4.3%	10.6%	16.1%	16.2%	-1.3%	-0.1%	1.19B	-11.96B	-57.7M	0.20	2.38	531,485	103,910	3,218,002	1,227,185
2016-09-07	$128.39	$128.00	14.3%	4.1%	10.6%	11.4%	15.2%	-1.1%	-0.0%	1.30B	-12.10B	-58.3M	0.55	1.83	175,955	96,997	3,434,479	1,232,191
2016-09-08	$127.59	$128.00	14.3%	4.1%	10.7%	11.1%	14.7%	-1.1%	-0.1%	1.11B	-9.93B	-56.5M	0.51	2.23	245,522	125,912	3,422,628	1,250,691
2016-09-09	$126.82	$128.00	14.9%	4.2%	10.6%	15.6%	15.2%	-0.6%	-0.3%	899.5M	-8.18B	-56.9M	0.49	2.48	255,827	125,503	3,481,887	1,282,941
2016-09-12	$126.75	$127.00	14.9%	4.2%	10.5%	15.9%	15.4%	-0.8%	-0.2%	922.1M	-8.32B	-56.9M	0.41	2.50	196,504	81,084	3,530,656	1,256,555
2016-09-13	$125.79	$127.00	15.5%	4.4%	10.7%	20.4%	16.0%	-0.6%	-0.3%	783.1M	-6.48B	-55.7M	0.49	2.16	197,160	96,163	3,586,474	1,261,523
2016-09-14	$126.18	$127.00	15.0%	4.2%	10.6%	16.4%	15.1%	-0.8%	-0.3%	787.5M	-7.37B	-58.0M	0.65	2.00	108,744	71,189	3,675,713	1,296,502
2016-09-15	$125.40	$127.00	14.7%	4.1%	10.8%	14.5%	14.8%	-0.7%	-0.4%	579.8M	-5.40B	-54.0M	0.79	2.22	119,843	94,833	3,623,887	1,300,617
2016-09-16	$124.92	$127.00	14.7%	4.1%	10.6%	13.9%	14.9%	-0.7%	-0.4%	1.02B	-4.09B	-51.3M	0.83	2.06	234,164	194,625	3,622,336	1,306,745
2016-09-19	$125.34	$127.00	15.0%	4.3%	10.4%	16.2%	15.8%	-0.9%	-0.1%	675.3M	-5.14B	-52.8M	1.10	2.24	89,159	98,509	3,034,931	896,578
2016-09-20	$125.43	$127.00	14.9%	4.3%	10.4%	15.8%	14.4%	-0.7%	-0.1%	702.3M	-5.30B	-52.2M	0.87	2.36	126,715	109,732	3,058,611	912,512
2016-09-21	$127.25	$127.00	13.8%	4.0%	11.7%	7.8%	13.8%	-1.1%	-0.1%	1.08B	-8.08B	-53.8M	0.86	3.38	157,257	135,905	3,130,436	957,982
2016-09-22	$127.66	$127.00	12.9%	3.7%	11.1%	1.0%	13.6%	-0.9%	0.1%	1.43B	-8.78B	-53.4M	0.30	2.26	331,697	101,104	3,162,557	955,622
2016-09-23	$127.63	$127.00	13.0%	3.7%	11.1%	1.6%	13.5%	-0.9%	0.2%	1.34B	-8.72B	-56.4M	0.35	1.95	354,693	123,123	3,292,683	967,247
2016-09-26	$127.49	$127.00	13.7%	3.9%	11.1%	7.1%	14.4%	-1.3%	0.6%	1.14B	-8.75B	-59.8M	0.33	2.56	255,984	83,869	3,322,632	904,426
2016-09-27	$126.59	$127.00	13.0%	3.7%	11.4%	1.4%	13.0%	-1.1%	0.8%	946.2M	-7.10B	-55.7M	0.53	2.16	146,250	77,848	3,385,735	924,638
2016-09-28	$126.16	$127.00	12.2%	3.5%	10.8%	0.0%	12.9%	-1.0%	1.0%	799.4M	-6.24B	-53.7M	0.74	2.25	110,803	81,741	3,374,905	946,198
2016-09-29	$125.99	$127.00	12.1%	3.4%	10.9%	0.0%	12.4%	-1.0%	1.0%	752.3M	-6.10B	-52.1M	0.46	2.64	164,868	75,847	3,396,414	953,656
2016-09-30	$125.66	$127.00	12.2%	3.4%	10.8%	0.8%	12.3%	-0.7%	0.8%	736.7M	-5.75B	-51.0M	0.58	2.34	147,962	85,906	3,440,394	972,637