GLD Options History — October 2016

In October 2016, GLD traded between $119.34 and $125.23. ATM implied volatility averaged 14.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.3% (HV 20d: 13.7%). Max pain ranged from $121.00 to $127.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2016-10-04: Highest Volume — 617,434 contracts
2016-10-04: Largest IV spike — 13.7% change
2016-10-31: Highest IV Rank — 25.5%
2016-10-31: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.75	$119.34	$125.23	$125.23	$121.88
Max Pain	$122.90	$121.00	$127.00	$127.00	$121.00
ATM IV	14.0%	12.3%	15.7%	12.3%	15.7%
Expected Move	4.0%	3.3%	4.8%	3.3%	4.8%
HV 20d	13.7%	10.4%	14.4%	10.4%	14.1%
HV 60d	12.3%	11.1%	13.4%	11.7%	11.1%
IV Rank	13.3%	1.2%	25.5%	1.2%	25.5%
IV Percentile	14.4%	1.2%	46.8%	1.2%	46.8%
Term Structure	0.2%	-0.4%	1.3%	1.3%	-0.1%
VWIV	14.6%	11.7%	17.4%	11.7%	17.4%
Skew 25d	-0.5%	-1.9%	0.3%	-0.9%	-1.9%
Skew 10d	-1.2%	-3.2%	0.6%	-1.8%	-2.2%
Call IV 25d	14.6%	13.3%	17.2%	13.3%	17.2%
Put IV 25d	14.1%	12.4%	15.3%	12.4%	15.3%
Bid-Ask Spread %	2.36	1.97	2.89	2.34	2.47
Gamma HHI	0.06	0.05	0.08	0.08	0.06
Net GEX	381.3M	98.3M	693.6M	693.6M	620.9M
Net DEX	-1.23B	-4.89B	1.22B	-4.89B	-4.38B
Net VEX	-41.8M	-50.4M	-38.8M	-50.4M	-45.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.21	1.42	0.31	0.21
Total Volume	230,368.238	132,072	617,434	372,221	331,280
Total OI	4,346,074.714	3,915,905	4,672,509	4,006,677	4,154,389

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
2016-10-03	$125.23	$127.00	12.3%	3.3%	10.4%	1.2%	11.7%	-0.9%	1.3%	693.6M	-4.89B	-50.4M	0.31	2.34	285,195	87,026	3,149,273	857,404
2016-10-04	$121.17	$127.00	14.0%	4.0%	13.7%	13.0%	14.2%	0.3%	0.9%	261.8M	-411.8M	-43.2M	0.73	2.05	356,641	260,793	3,308,465	893,755
2016-10-05	$120.88	$126.00	13.5%	3.8%	13.7%	9.9%	13.6%	0.3%	0.8%	155.9M	133.4M	-42.6M	1.42	2.08	116,928	166,357	3,323,470	986,936
2016-10-06	$119.52	$125.00	14.5%	4.3%	14.0%	17.2%	15.4%	0.0%	0.7%	98.3M	1.22B	-40.8M	0.66	2.54	196,285	128,707	3,350,355	1,032,999
2016-10-07	$119.69	$125.00	14.3%	4.2%	14.1%	15.7%	15.5%	0.1%	1.0%	209.1M	995.5M	-41.9M	0.64	2.70	174,171	110,874	3,451,397	1,075,049
2016-10-10	$120.11	$124.00	14.7%	4.2%	14.2%	18.0%	15.7%	-0.2%	-0.2%	275.4M	-116.3M	-42.5M	0.71	2.23	84,389	59,757	3,417,048	1,039,856
2016-10-11	$119.61	$124.00	14.7%	4.2%	14.1%	18.5%	15.3%	-0.2%	-0.1%	229.0M	380.0M	-41.2M	0.63	2.50	99,708	63,059	3,413,813	1,049,076
2016-10-12	$119.68	$122.00	14.9%	4.2%	14.0%	19.6%	15.3%	-0.4%	-0.2%	255.7M	150.0M	-41.1M	1.33	2.48	56,584	75,488	3,461,174	1,056,965
2016-10-13	$120.07	$122.00	14.9%	4.2%	14.1%	19.5%	14.8%	-0.5%	-0.2%	326.2M	-324.7M	-42.2M	1.17	2.22	65,215	76,083	3,471,153	1,080,788
2016-10-14	$119.34	$122.00	14.3%	4.0%	14.1%	15.2%	14.7%	-0.4%	-0.2%	159.2M	784.8M	-38.9M	0.87	2.23	109,801	95,141	3,484,045	1,093,288
2016-10-17	$119.65	$122.00	14.3%	4.1%	14.1%	15.8%	15.4%	-0.4%	-0.4%	225.4M	304.2M	-38.8M	0.92	2.16	82,402	76,100	3,451,674	1,058,309
2016-10-18	$120.43	$122.00	13.8%	3.9%	14.4%	12.1%	14.6%	-0.7%	-0.3%	324.7M	-676.7M	-40.7M	0.63	2.12	94,976	60,237	3,486,326	1,065,445
2016-10-19	$121.02	$122.00	13.7%	3.9%	13.3%	11.0%	14.2%	-0.9%	-0.3%	429.4M	-1.52B	-41.5M	0.62	2.34	115,533	72,160	3,522,017	1,066,463
2016-10-20	$120.73	$122.00	13.7%	3.9%	13.2%	11.1%	14.1%	-0.4%	-0.4%	381.8M	-1.04B	-40.4M	0.75	1.97	92,698	69,388	3,569,127	1,077,899
2016-10-21	$120.90	$122.00	13.4%	3.9%	13.2%	9.2%	13.8%	-0.5%	-0.3%	552.9M	-1.20B	-39.9M	0.54	1.97	113,804	61,904	3,583,972	1,088,537
2016-10-24	$120.55	$122.00	13.5%	3.9%	13.2%	9.6%	14.5%	-0.7%	0.4%	489.9M	-2.30B	-40.2M	0.47	2.37	115,567	54,437	3,066,001	849,904
2016-10-25	$121.60	$121.00	13.0%	3.8%	13.7%	6.4%	13.6%	-0.8%	0.3%	576.2M	-3.36B	-40.6M	0.96	2.57	75,689	72,479	3,102,335	868,664
2016-10-26	$120.82	$121.00	12.8%	3.8%	13.8%	5.1%	13.3%	-0.7%	0.4%	533.6M	-2.46B	-39.1M	0.61	2.41	109,070	66,371	3,112,667	888,159
2016-10-27	$121.10	$121.00	13.2%	3.9%	13.9%	7.6%	13.8%	-0.7%	0.4%	561.5M	-2.95B	-41.1M	0.76	2.89	109,547	83,050	3,187,360	909,516
2016-10-28	$121.69	$121.00	14.7%	4.3%	14.1%	18.5%	15.8%	-1.5%	0.4%	646.6M	-4.07B	-44.2M	0.36	2.82	230,085	82,754	3,214,369	948,127
2016-10-31	$121.88	$121.00	15.7%	4.8%	14.1%	25.5%	17.4%	-1.9%	-0.1%	620.9M	-4.38B	-45.8M	0.21	2.47	273,013	58,267	3,263,102	891,287