GLD Options History — January 2017

In January 2017, GLD traded between $110.26 and $115.85. ATM implied volatility averaged 13.5%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.9% (HV 20d: 11.5%). Max pain ranged from $112.00 to $115.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.50.

Notable Days

2017-01-13: Highest Volume — 257,056 contracts
2017-01-17: Largest IV spike — 6.9% change
2017-01-03: Highest IV Rank — 19.0%
2017-01-03: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.74	$110.26	$115.85	$110.26	$115.38
Max Pain	$113.65	$112.00	$115.00	$115.00	$114.00
ATM IV	13.5%	12.5%	14.8%	14.8%	13.3%
Expected Move	3.9%	3.6%	4.3%	4.3%	3.9%
HV 20d	11.5%	10.1%	13.0%	10.9%	11.7%
HV 60d	13.0%	12.2%	13.4%	12.2%	13.4%
IV Rank	9.6%	2.6%	19.0%	19.0%	8.6%
IV Percentile	7.7%	1.6%	25.8%	25.8%	7.1%
Term Structure	0.0%	-0.1%	0.4%	-0.0%	0.3%
VWIV	13.9%	12.7%	15.3%	15.3%	14.2%
Skew 25d	-0.2%	-0.9%	0.2%	0.1%	-0.9%
Skew 10d	-0.6%	-1.9%	0.5%	-0.4%	-1.9%
Call IV 25d	14.0%	12.7%	15.3%	15.3%	14.2%
Put IV 25d	13.8%	12.8%	15.4%	15.4%	13.4%
Bid-Ask Spread %	2.89	2.47	3.52	2.87	3.52
Gamma HHI	0.06	0.04	0.20	0.04	0.06
Net GEX	233.8M	51.9M	442.8M	57.6M	321.3M
Net DEX	-795.3M	-2.64B	1.41B	1.41B	-2.13B
Net VEX	-27.1M	-31.6M	-22.6M	-22.6M	-29.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.27	0.71	0.39	0.42
Total Volume	183,311.1	124,589	257,056	157,593	210,149
Total OI	3,260,079.7	2,576,317	3,810,347	3,380,236	2,740,328

Daily Data (20 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
2017-01-03	$110.26	$115.00	14.8%	4.3%	10.9%	19.0%	15.3%	0.1%	-0.0%	57.6M	1.41B	-22.6M	0.39	2.87	113,583	44,010	2,534,603	845,633
2017-01-04	$110.93	$115.00	13.8%	3.9%	11.1%	12.0%	14.0%	0.2%	0.1%	131.1M	1.00B	-23.2M	0.38	2.92	124,672	47,263	2,569,026	856,272
2017-01-05	$112.59	$112.00	13.7%	3.9%	12.3%	11.2%	14.3%	-0.2%	0.0%	214.7M	-62.6M	-25.2M	0.38	3.19	161,715	60,781	2,584,321	867,720
2017-01-06	$111.66	$113.00	13.3%	3.8%	12.6%	8.4%	13.9%	0.0%	0.0%	118.2M	677.1M	-23.8M	0.71	3.07	89,881	63,385	2,606,508	887,096
2017-01-09	$112.74	$113.00	13.1%	3.8%	13.0%	7.3%	13.4%	-0.2%	-0.0%	164.4M	112.6M	-25.1M	0.53	2.88	86,953	45,895	2,576,876	879,957
2017-01-10	$113.13	$113.00	13.2%	3.8%	12.4%	7.6%	13.2%	-0.2%	-0.1%	226.3M	-198.3M	-25.7M	0.48	2.89	108,746	52,655	2,600,316	887,879
2017-01-11	$113.47	$113.00	13.8%	3.9%	12.4%	11.6%	14.0%	-0.2%	-0.1%	213.7M	-359.5M	-25.3M	0.45	2.97	139,169	63,197	2,618,980	906,136
2017-01-12	$113.94	$113.00	13.5%	3.9%	12.4%	9.8%	14.1%	-0.0%	-0.0%	321.8M	-867.5M	-26.8M	0.69	2.72	134,004	91,816	2,650,576	927,515
2017-01-13	$114.15	$113.00	13.4%	3.8%	10.8%	9.2%	13.5%	-0.0%	-0.1%	342.1M	-966.2M	-26.8M	0.27	2.63	202,615	54,441	2,683,481	957,879
2017-01-17	$115.85	$113.00	14.3%	4.1%	10.1%	15.8%	14.8%	-0.8%	-0.1%	390.8M	-2.64B	-31.6M	0.55	2.71	157,849	87,068	2,772,692	938,051
2017-01-18	$114.72	$114.00	14.0%	4.0%	11.2%	13.1%	14.2%	-0.4%	-0.1%	318.3M	-1.50B	-30.1M	0.57	2.95	111,732	64,050	2,802,552	965,480
2017-01-19	$114.84	$114.00	13.8%	4.0%	11.2%	11.9%	14.1%	-0.3%	-0.0%	313.4M	-1.48B	-29.6M	0.60	2.47	101,842	61,594	2,822,161	986,703
2017-01-20	$115.08	$114.00	13.4%	3.8%	10.6%	9.0%	13.7%	-0.4%	-0.1%	442.8M	-1.88B	-30.8M	0.46	2.60	164,690	75,290	2,822,006	988,341
2017-01-23	$115.76	$114.00	13.6%	3.9%	10.5%	10.6%	14.0%	-0.5%	0.1%	296.3M	-2.20B	-29.0M	0.61	2.81	77,418	47,171	1,941,221	635,096
2017-01-24	$115.14	$114.00	13.1%	3.8%	10.8%	6.9%	13.3%	-0.4%	0.1%	265.6M	-1.78B	-28.4M	0.59	2.79	87,376	51,652	1,951,461	647,990
2017-01-25	$114.32	$114.00	12.8%	3.7%	11.4%	4.8%	13.3%	-0.2%	0.1%	189.5M	-1.05B	-27.5M	0.68	2.78	82,709	56,457	1,968,800	666,169
2017-01-26	$113.36	$114.00	12.9%	3.7%	12.0%	5.5%	13.5%	0.1%	0.2%	83.8M	-339.4M	-26.4M	0.39	2.59	136,315	52,872	1,985,946	680,546
2017-01-27	$113.46	$114.00	12.5%	3.6%	12.0%	2.6%	12.7%	0.0%	0.3%	51.9M	-521.3M	-26.8M	0.48	2.90	126,077	60,503	2,056,756	691,934
2017-01-30	$114.00	$114.00	13.2%	3.8%	11.4%	7.6%	14.1%	-0.5%	0.4%	212.3M	-1.13B	-28.5M	0.44	3.44	117,154	51,473	2,033,487	663,100
2017-01-31	$115.38	$114.00	13.3%	3.9%	11.7%	8.6%	14.2%	-0.9%	0.3%	321.3M	-2.13B	-29.0M	0.42	3.52	148,189	61,960	2,061,027	679,301