GLD Options History — April 2017

In April 2017, GLD traded between $119.21 and $122.89. ATM implied volatility averaged 13.1%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 4.6% (HV 20d: 8.5%). Max pain ranged from $117.00 to $119.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2017-04-21: Highest Volume — 440,299 contracts
  • 2017-04-24: Largest IV drop — 19.2% change
  • 2017-04-13: Highest IV Rank — 48.0%
  • 2017-04-17: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.92$119.21$122.89$119.26$120.69
Max Pain$118.00$117.00$119.50$117.00$119.50
ATM IV13.1%10.8%15.9%11.9%10.8%
Expected Move3.7%3.0%4.5%3.1%3.1%
HV 20d8.5%7.6%9.8%9.8%8.9%
HV 60d9.5%9.2%9.9%9.9%9.3%
IV Rank22.3%0.7%48.0%10.5%0.8%
IV Percentile25.8%0.8%66.7%6.0%1.2%
Term Structure-0.1%-0.5%0.5%0.4%-0.1%
VWIV13.3%10.9%16.3%11.0%11.0%
Skew 25d-1.0%-2.4%-0.1%-0.1%-0.2%
Skew 10d-1.9%-4.5%-0.3%-0.5%-1.0%
Call IV 25d13.9%11.1%17.3%12.3%11.1%
Put IV 25d12.9%10.9%15.4%12.1%10.9%
Bid-Ask Spread %2.932.414.083.112.88
Gamma HHI0.080.060.110.090.07
Net GEX658.1M234.7M944.2M629.3M324.3M
Net DEX-5.21B-8.59B-2.24B-4.01B-2.71B
Net VEX-37.0M-41.0M-32.2M-38.2M-32.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.440.820.540.60
Total Volume214,136.05384,827440,299138,275203,439
Total OI3,243,821.1582,901,1893,644,8403,116,8403,071,938

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$119.26$117.0011.9%3.1%9.8%10.5%11.0%-0.1%0.4%629.3M-4.01B-38.2M0.543.1189,96848,3072,283,777833,063
2017-04-04$119.60$117.0011.7%3.0%9.2%9.0%10.9%-0.1%0.5%713.8M-4.45B-37.5M0.823.0777,18863,4102,307,837843,941
2017-04-05$119.49$117.0012.6%3.4%8.9%17.3%12.2%-0.3%0.3%644.1M-4.26B-38.2M0.523.32118,13161,2172,319,466875,446
2017-04-06$119.21$117.0012.1%3.5%8.5%12.8%12.8%-0.4%0.4%658.7M-3.93B-37.2M0.672.4169,64646,7082,334,836880,665
2017-04-07$119.53$117.0012.7%3.7%8.5%18.5%13.4%-0.5%0.3%739.5M-4.34B-37.9M0.582.67164,84094,8082,342,064892,716
2017-04-10$119.40$117.0013.1%3.7%8.5%22.0%13.3%-0.7%-0.2%641.0M-3.96B-36.8M0.642.8083,85853,4622,322,353878,546
2017-04-11$121.17$117.0014.7%4.1%9.2%37.0%14.7%-1.5%-0.5%804.9M-6.36B-38.6M0.733.08182,142133,6262,346,307895,706
2017-04-12$122.07$118.0015.6%4.3%7.7%44.6%15.4%-1.7%-0.5%815.3M-7.41B-40.5M0.772.5887,98268,0922,391,565948,113
2017-04-13$122.52$118.0015.9%4.4%7.6%48.0%15.9%-1.8%-0.5%849.2M-8.11B-41.0M0.552.63155,43785,6392,415,115967,517
2017-04-17$122.71$118.0015.7%4.5%7.6%46.0%16.3%-1.6%-0.4%860.6M-8.20B-39.7M0.632.6352,03332,7942,434,504959,663
2017-04-18$122.89$118.0014.9%4.2%7.6%38.4%14.9%-1.8%-0.3%911.6M-8.59B-39.4M0.612.52133,08981,2212,483,556979,060
2017-04-19$121.88$118.0014.0%4.0%8.0%30.5%14.5%-1.3%-0.3%926.5M-7.07B-37.6M0.552.55160,26787,4882,518,6081,007,417
2017-04-20$121.96$118.0013.9%4.0%8.0%29.0%14.0%-1.9%-0.3%944.2M-7.16B-37.9M0.622.89181,801111,8672,543,0721,039,593
2017-04-21$122.31$119.0014.5%4.2%8.0%34.5%15.2%-2.4%-0.1%810.1M-7.61B-38.3M0.442.74304,912135,3872,548,6091,096,231
2017-04-24$121.44$119.0011.7%3.4%8.6%8.9%11.9%-0.8%-0.1%425.5M-3.60B-33.7M0.664.08149,07098,9762,120,053781,136
2017-04-25$120.23$119.0011.8%3.4%9.3%9.5%12.2%-0.3%-0.1%250.6M-2.29B-32.8M0.683.61132,10389,3432,141,987811,422
2017-04-26$120.78$119.0011.3%3.3%9.2%5.6%11.9%-0.4%-0.1%319.9M-2.77B-32.2M0.643.16143,90891,4762,145,422823,251
2017-04-27$120.25$119.5010.8%3.1%9.3%0.7%11.0%-0.2%-0.2%234.7M-2.24B-32.5M0.562.93124,57970,3712,198,703849,344
2017-04-28$120.69$119.5010.8%3.1%8.9%0.8%11.0%-0.2%-0.1%324.3M-2.71B-32.8M0.602.88127,19476,2452,211,902860,036