GLD Options History — May 2017

In May 2017, GLD traded between $116.00 and $120.75. ATM implied volatility averaged 10.7%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.2% (HV 20d: 10.6%). Max pain ranged from $119.00 to $120.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.76.

Notable Days

2017-05-17: Highest Volume — 284,745 contracts
2017-05-17: Largest IV spike — 15.2% change
2017-05-18: Highest IV Rank — 16.4%
2017-05-18: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.49	$116.00	$120.75	$119.62	$120.75
Max Pain	$119.89	$119.00	$120.00	$119.50	$120.00
ATM IV	10.7%	9.9%	11.8%	11.4%	10.6%
Expected Move	3.1%	2.9%	3.4%	3.4%	3.1%
HV 20d	10.6%	8.8%	11.8%	9.6%	11.5%
HV 60d	9.8%	9.3%	10.3%	9.4%	10.1%
IV Rank	4.9%	0.0%	16.4%	6.5%	5.6%
IV Percentile	3.2%	0.0%	13.1%	4.4%	3.6%
Term Structure	0.1%	-0.1%	0.4%	0.1%	-0.1%
VWIV	11.3%	10.3%	12.8%	12.4%	11.1%
Skew 25d	-0.6%	-1.4%	0.2%	-0.4%	-1.1%
Skew 10d	-1.2%	-2.6%	0.0%	-1.1%	-2.0%
Call IV 25d	11.3%	10.2%	12.9%	11.8%	11.5%
Put IV 25d	10.7%	9.9%	11.6%	11.4%	10.3%
Bid-Ask Spread %	3.59	2.71	5.14	4.66	3.66
Gamma HHI	0.07	0.05	0.12	0.06	0.06
Net GEX	236.7M	-40.2M	516.0M	239.7M	439.7M
Net DEX	-1.36B	-3.81B	1.17B	-1.78B	-3.56B
Net VEX	-33.7M	-38.0M	-29.2M	-32.3M	-37.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.54	1.36	0.68	0.62
Total Volume	193,589.955	114,093	284,745	209,558	176,204
Total OI	3,081,868.727	2,904,299	3,340,163	2,904,354	3,123,473

Daily Data (22 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
2017-05-01	$119.62	$119.50	11.4%	3.4%	9.6%	6.5%	12.4%	-0.4%	0.1%	239.7M	-1.78B	-32.3M	0.68	4.66	124,667	84,891	2,087,898	816,456
2017-05-02	$119.63	$119.50	11.4%	3.4%	9.4%	5.9%	12.1%	-0.4%	0.1%	247.1M	-1.77B	-33.1M	0.74	3.78	65,446	48,647	2,129,143	839,422
2017-05-03	$118.31	$119.50	11.3%	3.4%	10.2%	5.7%	12.1%	-0.2%	0.1%	81.9M	-477.3M	-32.0M	0.77	3.50	126,619	98,012	2,137,999	844,412
2017-05-04	$116.98	$120.00	11.4%	3.3%	10.9%	6.2%	11.9%	-0.1%	0.1%	-40.2M	698.6M	-31.3M	1.36	3.15	102,625	139,480	2,196,126	867,850
2017-05-05	$117.01	$120.00	10.8%	3.2%	10.9%	0.8%	11.6%	-0.3%	0.1%	33.9M	512.4M	-31.0M	0.82	3.66	98,579	80,479	2,222,164	897,825
2017-05-08	$116.84	$120.00	10.7%	3.2%	10.8%	0.0%	11.6%	-0.2%	0.4%	72.7M	348.2M	-30.1M	0.69	3.41	91,447	63,231	2,189,531	844,594
2017-05-09	$116.15	$120.00	10.7%	3.2%	10.9%	0.1%	11.5%	0.2%	0.4%	-6.8M	1.02B	-30.5M	1.08	3.45	87,031	94,346	2,209,642	870,216
2017-05-10	$116.00	$120.00	10.0%	3.0%	9.1%	0.0%	10.8%	0.0%	0.4%	-32.8M	1.17B	-29.2M	0.70	3.44	88,270	61,881	2,225,852	881,323
2017-05-11	$116.61	$120.00	10.1%	3.0%	8.9%	0.6%	10.7%	-0.4%	0.4%	59.8M	478.2M	-30.9M	0.63	3.73	118,627	74,959	2,257,075	895,657
2017-05-12	$116.91	$120.00	9.9%	2.9%	8.8%	0.0%	10.5%	-0.4%	0.4%	199.7M	86.0M	-31.4M	0.89	3.42	94,098	83,701	2,270,722	910,623
2017-05-15	$117.08	$120.00	10.3%	3.0%	8.8%	3.2%	10.8%	-0.6%	0.1%	181.7M	-279.4M	-31.3M	0.86	3.68	75,384	64,551	2,229,436	875,229
2017-05-16	$117.75	$119.00	10.2%	2.9%	9.1%	2.3%	10.6%	-0.4%	0.1%	279.0M	-899.8M	-31.6M	0.71	3.81	88,473	62,621	2,259,247	887,305
2017-05-17	$119.86	$120.00	11.7%	3.4%	11.2%	15.6%	12.0%	-1.0%	-0.0%	516.0M	-3.38B	-35.0M	0.62	3.86	175,543	109,202	2,271,107	897,088
2017-05-18	$118.79	$120.00	11.8%	3.4%	11.6%	16.4%	12.8%	-1.4%	-0.1%	406.9M	-2.24B	-35.2M	0.63	3.49	155,321	97,453	2,321,071	927,357
2017-05-19	$119.50	$120.00	11.1%	3.2%	11.8%	9.9%	11.6%	-1.2%	0.1%	324.9M	-2.90B	-36.8M	0.54	3.18	166,656	90,498	2,372,829	967,334
2017-05-22	$119.99	$120.00	11.2%	3.2%	11.7%	11.4%	11.6%	-1.0%	-0.0%	367.1M	-3.08B	-37.8M	0.59	3.27	105,646	62,711	2,090,387	813,912
2017-05-23	$119.12	$120.00	10.7%	3.1%	11.4%	6.3%	11.0%	-0.7%	0.1%	288.9M	-2.16B	-36.3M	0.77	3.70	111,894	85,757	2,108,736	834,575
2017-05-24	$119.59	$120.00	10.4%	3.1%	11.4%	4.5%	10.8%	-0.5%	0.1%	345.5M	-2.59B	-37.0M	1.06	5.14	91,622	97,226	2,137,796	862,338
2017-05-25	$119.48	$120.00	10.0%	2.9%	11.3%	0.3%	10.3%	-0.5%	0.1%	345.3M	-2.43B	-36.1M	0.54	2.71	147,013	80,031	2,149,544	883,696
2017-05-26	$120.60	$120.00	10.4%	3.0%	11.8%	3.9%	10.5%	-1.2%	0.2%	498.7M	-3.81B	-38.0M	0.73	2.77	128,195	93,489	2,218,068	907,342
2017-05-30	$120.15	$120.00	10.2%	3.0%	11.4%	2.1%	10.8%	-0.9%	-0.0%	358.9M	-2.96B	-37.1M	0.67	3.49	99,538	66,915	2,192,721	875,991
2017-05-31	$120.75	$120.00	10.6%	3.1%	11.5%	5.6%	11.1%	-1.1%	-0.1%	439.7M	-3.56B	-37.6M	0.62	3.66	108,464	67,740	2,224,122	899,351