GLD Options History — November 2016

In November 2016, GLD traded between $111.70 and $124.39. ATM implied volatility averaged 16.0%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.3% (HV 20d: 12.7%). Max pain ranged from $120.00 to $122.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2016-11-23: Highest Volume — 588,797 contracts
2016-11-11: Largest IV spike — 22.4% change
2016-11-11: Highest IV Rank — 55.7%
2016-11-11: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.81	$111.70	$124.39	$122.94	$111.70
Max Pain	$120.95	$120.00	$122.00	$121.00	$120.00
ATM IV	16.0%	13.6%	20.0%	16.9%	16.0%
Expected Move	4.7%	4.0%	5.8%	5.3%	5.2%
HV 20d	12.7%	7.1%	15.7%	8.3%	15.4%
HV 60d	12.6%	11.2%	13.7%	11.2%	13.1%
IV Rank	27.7%	10.2%	55.7%	34.0%	27.6%
IV Percentile	47.4%	7.1%	88.9%	69.4%	50.8%
Term Structure	-0.2%	-1.1%	0.6%	-0.2%	0.4%
VWIV	17.4%	14.2%	21.2%	20.4%	18.9%
Skew 25d	0.2%	-3.3%	3.4%	-3.3%	2.8%
Skew 10d	0.7%	-6.7%	7.3%	-6.7%	6.1%
Call IV 25d	16.5%	13.2%	21.0%	19.3%	15.3%
Put IV 25d	16.7%	14.7%	21.8%	16.0%	18.0%
Bid-Ask Spread %	2.90	2.34	5.28	2.44	2.46
Gamma HHI	0.05	0.04	0.08	0.06	0.04
Net GEX	261.3M	-100.7M	952.1M	792.0M	-100.7M
Net DEX	-504.3M	-8.87B	3.87B	-6.43B	3.87B
Net VEX	-40.5M	-57.2M	-28.7M	-51.1M	-28.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.22	1.67	0.32	1.12
Total Volume	279,726.619	153,347	588,797	332,299	215,022
Total OI	4,505,132.667	3,985,826	4,939,372	4,269,794	4,245,798

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
2016-11-01	$122.94	$121.00	16.9%	5.3%	8.3%	34.0%	20.4%	-3.3%	-0.2%	792.0M	-6.43B	-51.1M	0.32	2.44	251,308	80,991	3,357,013	912,781
2016-11-02	$123.61	$121.00	17.3%	5.5%	8.3%	36.3%	20.8%	-3.2%	-0.3%	873.2M	-7.41B	-53.5M	0.43	2.34	281,658	120,046	3,451,017	949,057
2016-11-03	$124.32	$122.00	17.9%	4.9%	7.1%	40.7%	18.7%	-3.1%	-0.6%	935.4M	-8.42B	-55.9M	0.22	3.24	334,087	72,953	3,517,542	971,949
2016-11-04	$124.39	$122.00	18.6%	5.1%	7.1%	45.5%	17.7%	-3.3%	-0.8%	952.1M	-8.87B	-57.2M	0.60	3.23	188,959	113,362	3,625,593	993,746
2016-11-07	$122.11	$122.00	16.6%	4.7%	10.1%	31.5%	17.0%	-2.9%	-0.0%	739.3M	-5.12B	-51.4M	0.46	2.95	190,114	87,325	3,581,143	989,262
2016-11-08	$121.61	$122.00	15.9%	4.6%	10.1%	26.8%	17.2%	-3.1%	0.1%	697.0M	-4.49B	-49.2M	0.57	2.93	158,256	90,210	3,625,976	1,023,371
2016-11-09	$121.58	$122.00	15.1%	4.5%	10.1%	21.0%	16.1%	-1.4%	0.6%	585.7M	-3.79B	-47.0M	0.72	2.82	194,104	139,446	3,653,487	1,058,090
2016-11-10	$119.88	$122.00	16.4%	4.8%	11.3%	30.0%	17.4%	0.2%	0.5%	298.7M	-1.31B	-45.3M	0.81	3.48	178,158	144,722	3,676,573	1,089,937
2016-11-11	$116.69	$122.00	20.0%	5.8%	14.7%	55.7%	21.2%	2.1%	0.2%	60.8M	2.06B	-42.1M	1.67	5.28	132,887	222,137	3,707,124	1,135,370
2016-11-14	$116.28	$122.00	18.1%	5.2%	14.7%	42.0%	18.9%	1.3%	-0.7%	24.6M	2.41B	-38.6M	0.92	3.38	132,450	121,963	3,617,930	1,145,062
2016-11-15	$116.99	$122.00	14.6%	4.2%	14.6%	17.5%	14.9%	0.1%	-0.1%	-5.2M	2.13B	-36.8M	0.75	2.75	128,552	95,907	3,663,018	1,168,444
2016-11-16	$116.83	$120.00	14.2%	4.1%	14.5%	14.9%	14.5%	0.1%	-0.1%	-28.6M	2.29B	-35.2M	0.67	2.47	91,689	61,658	3,705,291	1,171,914
2016-11-17	$115.90	$120.00	15.7%	4.5%	14.6%	25.2%	16.3%	1.7%	-0.1%	-35.8M	3.02B	-35.5M	1.08	2.39	120,449	130,300	3,722,518	1,167,899
2016-11-18	$115.15	$120.00	15.3%	4.4%	14.6%	22.6%	16.2%	1.6%	-0.3%	-82.5M	3.80B	-33.4M	0.81	2.51	146,862	118,989	3,745,410	1,193,962
2016-11-21	$115.55	$120.00	14.1%	4.1%	14.8%	13.9%	14.9%	1.7%	-0.5%	26.0M	1.58B	-33.5M	1.10	2.40	77,800	85,725	2,994,669	991,157
2016-11-22	$115.53	$120.00	13.6%	4.0%	14.3%	10.2%	14.2%	1.5%	-0.4%	18.8M	1.69B	-32.0M	0.99	2.64	79,221	78,193	3,012,893	1,003,034
2016-11-23	$113.28	$120.00	15.6%	4.7%	15.5%	24.6%	18.4%	3.4%	-0.4%	-87.8M	3.40B	-29.8M	0.81	2.69	324,809	263,988	3,032,004	1,017,874
2016-11-25	$112.61	$120.00	16.0%	4.9%	15.3%	27.6%	18.4%	3.0%	-1.1%	-94.1M	3.66B	-30.8M	1.11	3.48	128,690	142,883	3,165,113	1,110,123
2016-11-28	$113.65	$120.00	14.6%	4.6%	15.7%	17.3%	17.2%	2.3%	0.5%	-50.9M	2.63B	-31.5M	0.95	2.61	89,270	84,651	3,101,995	1,090,785
2016-11-29	$113.35	$120.00	14.5%	4.5%	15.6%	16.7%	16.6%	2.2%	0.0%	-31.6M	2.71B	-31.9M	0.69	2.35	103,000	71,465	3,121,100	1,100,762
2016-11-30	$111.70	$120.00	16.0%	5.2%	15.4%	27.6%	18.9%	2.8%	0.4%	-100.7M	3.87B	-28.7M	1.12	2.46	101,436	113,586	3,142,926	1,102,872