GLD Options History — March 2017

In March 2017, GLD traded between $114.12 and $119.49. ATM implied volatility averaged 11.7%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.0% (HV 20d: 9.8%). Max pain ranged from $116.00 to $117.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.69.

Notable Days

2017-03-15: Highest Volume — 289,384 contracts
2017-03-30: Largest IV spike — 6.4% change
2017-03-01: Highest IV Rank — 12.5%
2017-03-01: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.27	$114.12	$119.49	$119.00	$118.76
Max Pain	$116.83	$116.00	$117.00	$117.00	$117.00
ATM IV	11.7%	10.7%	13.1%	13.1%	11.7%
Expected Move	3.3%	2.9%	4.1%	4.1%	3.1%
HV 20d	9.8%	7.9%	11.2%	7.9%	10.1%
HV 60d	10.5%	10.2%	10.9%	10.4%	10.3%
IV Rank	4.3%	0.0%	12.5%	12.5%	8.8%
IV Percentile	2.3%	0.0%	10.3%	10.3%	4.8%
Term Structure	0.1%	-0.2%	0.6%	0.0%	0.3%
VWIV	12.1%	10.3%	14.4%	14.4%	10.9%
Skew 25d	-0.6%	-1.2%	0.0%	-1.0%	0.0%
Skew 10d	-1.4%	-2.6%	-0.2%	-2.4%	-0.3%
Call IV 25d	12.3%	11.4%	14.1%	14.1%	11.9%
Put IV 25d	11.8%	10.6%	13.1%	13.1%	11.9%
Bid-Ask Spread %	2.87	2.41	3.19	2.92	2.83
Gamma HHI	0.07	0.05	0.11	0.07	0.08
Net GEX	461.8M	60.9M	746.5M	579.7M	579.1M
Net DEX	-2.70B	-4.90B	237.4M	-4.46B	-3.72B
Net VEX	-37.5M	-40.6M	-33.6M	-40.1M	-38.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.45	0.91	0.61	0.76
Total Volume	189,392.435	111,574	289,384	144,532	162,035
Total OI	3,328,895.696	2,967,768	3,714,913	3,330,170	3,280,873

Daily Data (23 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
2017-03-01	$119.00	$117.00	13.1%	4.1%	7.9%	12.5%	14.4%	-1.0%	0.0%	579.7M	-4.46B	-40.1M	0.61	2.92	89,944	54,588	2,617,504	712,666
2017-03-02	$117.59	$117.00	12.8%	3.9%	9.2%	8.8%	13.9%	-0.5%	-0.0%	393.4M	-2.92B	-37.6M	0.85	3.07	121,755	103,467	2,631,656	723,791
2017-03-03	$117.57	$117.00	12.6%	3.8%	9.1%	7.4%	13.7%	-0.5%	-0.0%	413.6M	-2.89B	-37.7M	0.72	2.68	106,040	76,355	2,649,871	739,030
2017-03-06	$116.78	$117.00	12.2%	3.5%	9.4%	3.5%	12.4%	-0.3%	-0.1%	342.6M	-2.10B	-35.2M	0.90	3.02	86,164	77,272	2,574,353	706,542
2017-03-07	$115.82	$117.00	12.2%	3.4%	8.5%	3.0%	13.1%	-0.4%	-0.1%	213.3M	-1.11B	-34.1M	0.56	2.92	135,627	75,407	2,588,594	738,447
2017-03-08	$115.15	$117.00	12.4%	3.5%	8.7%	5.9%	12.9%	-0.3%	-0.1%	168.1M	-524.7M	-33.6M	0.91	2.97	128,740	117,261	2,633,240	755,175
2017-03-09	$114.42	$117.00	12.5%	3.5%	8.6%	6.4%	12.8%	0.0%	-0.1%	120.2M	89.4M	-35.4M	0.51	3.00	139,534	71,729	2,676,996	788,443
2017-03-10	$114.57	$117.00	11.9%	3.4%	8.4%	0.3%	12.3%	-0.1%	-0.1%	60.9M	-32.8M	-35.9M	0.64	2.98	122,199	78,500	2,729,399	811,228
2017-03-13	$114.67	$117.00	11.8%	3.3%	8.4%	0.0%	11.9%	-0.4%	-0.1%	193.5M	-379.7M	-36.3M	0.65	2.96	94,894	61,407	2,693,565	797,279
2017-03-14	$114.12	$116.00	11.8%	3.4%	8.3%	0.0%	12.6%	-0.4%	-0.1%	126.6M	237.4M	-35.1M	0.63	2.74	104,879	65,625	2,728,605	819,536
2017-03-15	$116.15	$116.00	11.4%	3.2%	10.7%	0.0%	11.9%	-0.6%	-0.2%	438.0M	-1.93B	-37.5M	0.80	3.14	160,382	129,002	2,764,959	831,802
2017-03-16	$116.76	$116.00	11.2%	3.2%	10.7%	0.0%	11.7%	-0.7%	-0.1%	614.4M	-2.65B	-37.3M	0.66	3.19	142,764	94,716	2,819,333	855,731
2017-03-17	$117.01	$116.00	10.8%	3.1%	10.6%	0.0%	11.1%	-0.7%	-0.0%	602.1M	-2.74B	-37.9M	0.71	3.01	124,488	88,345	2,832,473	882,440
2017-03-20	$117.56	$117.00	10.8%	3.1%	10.7%	0.6%	11.2%	-0.6%	0.6%	511.3M	-2.95B	-37.6M	0.87	2.60	59,670	51,904	2,227,698	740,070
2017-03-21	$118.62	$117.00	11.5%	3.3%	11.2%	6.6%	11.9%	-1.1%	0.5%	596.5M	-4.11B	-39.0M	0.72	2.50	135,725	97,289	2,236,759	748,704
2017-03-22	$118.79	$117.00	11.3%	3.2%	11.2%	5.0%	11.7%	-1.0%	0.6%	638.9M	-4.29B	-39.7M	0.45	2.41	138,968	62,770	2,287,929	801,124
2017-03-23	$118.77	$117.00	11.6%	3.3%	10.7%	7.6%	11.7%	-0.9%	0.4%	658.4M	-4.33B	-40.6M	0.54	2.88	97,188	52,068	2,329,660	820,099
2017-03-24	$118.87	$117.00	11.1%	3.2%	10.5%	3.7%	11.3%	-1.0%	0.4%	746.5M	-4.42B	-39.6M	0.64	3.08	104,411	67,182	2,354,731	834,607
2017-03-27	$119.49	$117.00	11.5%	3.2%	10.5%	6.8%	11.4%	-1.1%	0.4%	718.7M	-4.90B	-39.7M	0.46	2.60	130,616	59,931	2,333,508	821,021
2017-03-28	$118.97	$117.00	11.3%	3.1%	10.6%	5.5%	11.4%	-1.2%	0.4%	647.0M	-4.17B	-38.7M	0.69	2.90	87,219	60,571	2,346,512	843,151
2017-03-29	$119.33	$117.00	10.7%	2.9%	10.7%	0.0%	10.3%	-0.7%	0.5%	706.0M	-4.49B	-38.0M	0.64	2.93	84,982	54,194	2,351,323	856,400
2017-03-30	$118.44	$117.00	11.4%	3.1%	10.1%	6.4%	10.9%	-0.0%	0.2%	551.5M	-3.31B	-37.6M	0.86	2.69	106,716	91,503	2,375,107	872,667
2017-03-31	$118.76	$117.00	11.7%	3.1%	10.1%	8.8%	10.9%	0.0%	0.3%	579.1M	-3.72B	-38.6M	0.76	2.83	92,106	69,929	2,388,061	892,812