GLD Options History — December 2016

In December 2016, GLD traded between $107.48 and $112.05. ATM implied volatility averaged 15.0%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.6% (HV 20d: 12.4%). Max pain ranged from $115.00 to $119.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.53.

Notable Days

2016-12-13: Highest Volume — 359,636 contracts
2016-12-09: Largest IV spike — 13.7% change
2016-12-01: Highest IV Rank — 30.8%
2016-12-01: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.66	$107.48	$112.05	$111.66	$109.65
Max Pain	$116.55	$115.00	$119.50	$119.50	$115.00
ATM IV	15.0%	13.8%	16.5%	16.5%	14.5%
Expected Move	4.3%	3.9%	5.3%	5.3%	4.2%
HV 20d	12.4%	10.5%	15.0%	15.0%	10.8%
HV 60d	13.1%	12.2%	13.5%	13.1%	12.2%
IV Rank	20.5%	11.9%	30.8%	30.8%	16.7%
IV Percentile	30.5%	9.5%	58.3%	58.3%	17.9%
Term Structure	0.2%	-0.3%	0.6%	0.3%	0.4%
VWIV	15.9%	14.4%	20.4%	20.4%	15.1%
Skew 25d	1.1%	0.0%	2.3%	2.3%	0.0%
Skew 10d	1.9%	-0.3%	4.4%	4.4%	-0.3%
Call IV 25d	15.0%	13.6%	16.0%	15.9%	14.9%
Put IV 25d	16.1%	14.5%	18.2%	18.2%	14.9%
Bid-Ask Spread %	2.84	2.24	4.51	2.51	2.79
Gamma HHI	0.05	0.04	0.13	0.04	0.04
Net GEX	-91.3M	-224.0M	86.1M	-89.9M	18.2M
Net DEX	3.60B	1.33B	6.26B	3.73B	1.81B
Net VEX	-25.5M	-32.9M	-21.6M	-29.5M	-23.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.28	0.79	0.77	0.41
Total Volume	250,442.095	157,501	359,636	311,645	175,984
Total OI	4,074,293.524	3,431,306	4,660,134	4,290,181	3,572,498

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
2016-12-01	$111.66	$119.50	16.5%	5.3%	15.0%	30.8%	20.4%	2.3%	0.3%	-89.9M	3.73B	-29.5M	0.77	2.51	175,855	135,790	3,170,396	1,119,785
2016-12-02	$112.05	$119.00	15.9%	5.0%	14.8%	26.8%	17.8%	1.4%	0.4%	-53.7M	3.24B	-32.9M	0.71	2.45	143,592	101,791	3,263,411	1,133,903
2016-12-05	$111.44	$118.00	15.3%	4.4%	14.7%	22.1%	16.8%	1.0%	0.2%	-76.4M	3.54B	-29.6M	0.56	3.22	200,547	111,389	3,231,039	1,100,832
2016-12-06	$111.36	$118.00	14.8%	4.3%	13.9%	19.0%	15.8%	1.0%	0.1%	-70.0M	3.79B	-27.8M	0.43	3.27	170,340	73,951	3,324,453	1,121,125
2016-12-07	$111.87	$118.00	14.7%	4.2%	14.3%	18.1%	15.8%	0.9%	0.2%	-9.3M	3.25B	-30.2M	0.32	3.25	199,206	64,172	3,389,264	1,133,511
2016-12-08	$111.56	$118.00	14.3%	4.1%	14.2%	15.6%	14.9%	0.8%	0.1%	-76.1M	3.81B	-27.4M	0.51	2.58	219,914	112,077	3,398,183	1,148,732
2016-12-09	$110.46	$118.00	16.3%	4.6%	13.9%	29.4%	16.4%	1.9%	-0.2%	-216.8M	4.71B	-27.1M	0.55	2.96	231,846	127,082	3,389,448	1,196,886
2016-12-12	$110.71	$117.00	15.3%	4.3%	11.1%	22.2%	16.1%	1.2%	-0.3%	-75.0M	4.14B	-26.6M	0.38	2.58	153,227	58,441	3,392,041	1,133,759
2016-12-13	$110.46	$117.00	14.5%	4.1%	11.1%	17.1%	15.6%	0.8%	-0.0%	-87.9M	4.32B	-25.9M	0.64	3.17	219,815	139,821	3,420,998	1,132,144
2016-12-14	$108.85	$116.00	15.7%	4.4%	11.4%	25.0%	16.0%	1.1%	-0.2%	-172.2M	5.48B	-24.3M	0.54	4.51	188,722	102,006	3,414,964	1,185,177
2016-12-15	$107.48	$116.00	16.2%	4.6%	11.8%	28.6%	16.3%	2.0%	-0.1%	-224.0M	6.26B	-22.7M	0.60	2.57	209,764	125,328	3,452,500	1,187,900
2016-12-16	$108.01	$116.00	16.0%	4.5%	12.2%	27.1%	16.6%	1.3%	-0.2%	-192.4M	5.66B	-23.5M	0.79	2.93	184,001	144,628	3,476,815	1,183,319
2016-12-19	$108.58	$116.00	14.6%	4.2%	12.5%	17.8%	14.9%	1.0%	0.3%	-61.0M	2.73B	-24.9M	0.59	2.88	130,201	77,070	2,540,379	890,927
2016-12-20	$107.84	$115.00	15.0%	4.3%	12.3%	20.2%	15.7%	1.4%	0.3%	-114.4M	3.13B	-23.1M	0.58	2.64	130,550	75,654	2,545,736	894,053
2016-12-21	$107.82	$115.00	14.1%	4.0%	12.3%	14.0%	15.1%	1.3%	0.4%	-128.2M	3.20B	-22.4M	0.52	2.56	120,090	62,239	2,570,377	905,650
2016-12-22	$107.52	$116.00	13.8%	3.9%	10.7%	11.9%	14.4%	1.2%	0.4%	-161.9M	3.47B	-21.6M	0.53	2.40	122,920	65,601	2,591,449	925,139
2016-12-23	$107.87	$115.00	14.7%	4.2%	10.8%	18.2%	15.3%	0.9%	0.4%	-98.4M	3.05B	-22.8M	0.66	2.51	105,135	69,693	2,612,740	922,522
2016-12-27	$108.56	$115.00	15.0%	4.3%	10.5%	20.3%	15.7%	1.0%	0.4%	-63.1M	2.53B	-23.6M	0.47	2.24	108,577	51,069	2,569,368	890,577
2016-12-28	$108.85	$115.00	14.3%	4.0%	10.6%	15.7%	14.5%	0.8%	0.5%	-51.3M	2.41B	-22.5M	0.28	2.73	123,413	34,088	2,591,634	901,584
2016-12-29	$110.20	$115.00	14.1%	4.0%	10.7%	13.7%	14.7%	0.3%	0.6%	86.1M	1.33B	-23.9M	0.36	2.79	157,241	56,454	2,630,499	904,447
2016-12-30	$109.65	$115.00	14.5%	4.2%	10.8%	16.7%	15.1%	0.0%	0.4%	18.2M	1.81B	-23.1M	0.41	2.79	125,027	50,957	2,656,798	915,700