GLD Options History — February 2017

In February 2017, GLD traded between $115.18 and $119.75. ATM implied volatility averaged 12.9%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.8% (HV 20d: 10.1%). Max pain ranged from $114.00 to $117.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.49.

Notable Days

2017-02-14: Highest Volume — 297,873 contracts
2017-02-06: Largest IV spike — 6.0% change
2017-02-28: Highest IV Rank — 11.8%
2017-02-06: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.63	$115.18	$119.75	$115.18	$118.99
Max Pain	$115.21	$114.00	$117.00	$114.00	$117.00
ATM IV	12.9%	11.9%	13.8%	12.8%	13.1%
Expected Move	3.8%	3.4%	4.1%	3.7%	4.0%
HV 20d	10.1%	8.3%	11.8%	11.8%	8.7%
HV 60d	11.9%	10.4%	13.4%	13.3%	10.4%
IV Rank	6.5%	0.0%	11.8%	4.6%	11.8%
IV Percentile	5.8%	0.0%	14.3%	2.0%	8.7%
Term Structure	0.2%	-0.2%	0.6%	0.4%	-0.0%
VWIV	13.9%	12.5%	16.6%	13.4%	14.6%
Skew 25d	-1.1%	-1.7%	-0.5%	-0.5%	-1.1%
Skew 10d	-2.4%	-2.9%	-1.1%	-1.1%	-2.4%
Call IV 25d	13.9%	13.0%	15.3%	13.5%	14.1%
Put IV 25d	12.8%	11.6%	13.6%	13.0%	12.9%
Bid-Ask Spread %	2.86	2.55	3.30	3.30	2.90
Gamma HHI	0.07	0.06	0.10	0.06	0.07
Net GEX	553.4M	362.0M	718.5M	362.0M	595.2M
Net DEX	-4.06B	-5.59B	-1.99B	-1.99B	-4.50B
Net VEX	-35.2M	-39.2M	-29.0M	-29.0M	-38.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.30	0.70	0.51	0.70
Total Volume	201,090.684	129,972	297,873	141,956	207,701
Total OI	3,070,954.474	2,804,489	3,305,502	2,804,489	3,280,134

Daily Data (19 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
2017-02-01	$115.18	$114.00	12.8%	3.7%	11.8%	4.6%	13.4%	-0.5%	0.4%	362.0M	-1.99B	-29.0M	0.51	3.30	93,705	48,251	2,117,209	687,280
2017-02-02	$115.82	$115.00	13.1%	3.9%	11.7%	7.1%	14.8%	-1.0%	0.3%	447.3M	-2.64B	-30.1M	0.38	2.83	154,624	59,009	2,147,492	697,191
2017-02-03	$116.11	$115.00	13.0%	3.9%	10.7%	6.3%	16.6%	-1.2%	0.5%	560.7M	-3.14B	-33.1M	0.30	3.01	201,494	60,467	2,209,857	712,792
2017-02-06	$117.68	$115.00	13.8%	4.1%	10.9%	11.8%	15.1%	-1.7%	0.5%	543.2M	-4.27B	-33.8M	0.57	2.90	114,977	65,124	2,236,318	680,849
2017-02-07	$117.53	$115.00	13.6%	4.0%	10.6%	10.4%	14.8%	-1.3%	0.4%	546.8M	-4.04B	-32.8M	0.48	2.92	87,709	42,263	2,246,746	699,956
2017-02-08	$118.13	$115.00	13.6%	4.0%	10.7%	10.4%	14.7%	-1.2%	0.5%	593.1M	-4.62B	-34.2M	0.36	3.04	182,067	66,407	2,248,265	708,298
2017-02-09	$117.32	$115.00	13.3%	3.9%	11.1%	8.5%	14.3%	-1.1%	0.4%	558.8M	-3.92B	-34.0M	0.50	2.63	105,956	52,973	2,349,029	727,353
2017-02-10	$117.51	$115.00	13.4%	4.0%	11.1%	9.1%	14.1%	-1.1%	0.6%	484.2M	-4.11B	-34.3M	0.57	2.65	133,510	75,560	2,369,767	733,497
2017-02-13	$116.87	$115.00	13.5%	3.9%	11.4%	11.1%	14.0%	-1.0%	-0.2%	497.8M	-3.49B	-33.9M	0.46	2.74	133,704	62,099	2,354,785	700,016
2017-02-14	$116.91	$115.00	13.2%	3.8%	10.2%	8.4%	13.6%	-0.8%	-0.2%	516.6M	-3.69B	-35.9M	0.45	3.01	205,273	92,600	2,411,685	713,237
2017-02-15	$117.44	$115.00	12.6%	3.6%	9.5%	3.6%	12.8%	-1.0%	-0.1%	569.0M	-4.26B	-36.5M	0.40	2.69	155,839	62,266	2,463,882	747,613
2017-02-16	$118.03	$115.00	12.6%	3.6%	9.6%	3.9%	13.0%	-1.2%	-0.1%	644.9M	-5.00B	-37.2M	0.54	2.55	123,705	66,665	2,503,899	762,234
2017-02-17	$117.76	$115.00	12.2%	3.5%	9.7%	0.7%	12.5%	-1.3%	-0.1%	561.8M	-4.59B	-36.7M	0.39	2.72	159,202	61,459	2,531,348	774,154
2017-02-21	$117.73	$115.00	12.3%	3.6%	9.5%	1.6%	12.8%	-1.2%	0.1%	485.7M	-3.66B	-35.8M	0.66	2.87	86,271	56,816	2,428,109	601,083
2017-02-22	$117.96	$115.00	11.9%	3.4%	9.2%	0.0%	12.5%	-1.3%	0.0%	534.3M	-3.92B	-36.8M	0.62	3.00	88,533	55,055	2,460,632	618,029
2017-02-23	$118.98	$116.00	12.2%	3.5%	9.0%	3.3%	12.9%	-1.4%	0.1%	688.0M	-4.92B	-37.8M	0.62	2.99	129,120	80,340	2,476,953	634,644
2017-02-24	$119.75	$116.00	12.2%	3.6%	8.3%	2.9%	13.1%	-1.2%	0.1%	718.5M	-5.59B	-39.2M	0.45	2.95	147,539	66,236	2,503,283	659,710
2017-02-27	$119.21	$116.00	12.7%	3.8%	8.6%	7.9%	13.8%	-1.2%	0.0%	607.6M	-4.84B	-38.3M	0.40	2.57	168,431	67,773	2,507,651	643,155
2017-02-28	$118.99	$117.00	13.1%	4.0%	8.7%	11.8%	14.6%	-1.1%	-0.0%	595.2M	-4.50B	-38.6M	0.70	2.90	121,874	85,827	2,595,950	684,184