GLD Options History — June 2017

In June 2017, GLD traded between $117.98 and $123.02. ATM implied volatility averaged 10.4%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.6% (HV 20d: 9.8%). Max pain ranged from $119.00 to $120.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2017-06-19: Highest Volume — 365,471 contracts
2017-06-27: Largest IV spike — 8.3% change
2017-06-07: Highest IV Rank — 17.0%
2017-06-06: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.84	$117.98	$123.02	$120.61	$117.98
Max Pain	$119.82	$119.00	$120.00	$120.00	$119.50
ATM IV	10.4%	9.2%	11.9%	10.6%	9.3%
Expected Move	3.0%	2.6%	3.4%	3.1%	2.6%
HV 20d	9.8%	8.2%	11.5%	10.7%	8.2%
HV 60d	9.9%	9.7%	10.2%	10.0%	9.9%
IV Rank	7.1%	0.0%	17.0%	6.3%	1.3%
IV Percentile	5.5%	0.0%	19.4%	4.0%	0.4%
Term Structure	0.1%	-0.1%	0.4%	-0.1%	0.4%
VWIV	10.9%	9.4%	12.9%	11.2%	9.4%
Skew 25d	-0.8%	-1.1%	-0.3%	-0.8%	-0.4%
Skew 10d	-1.5%	-2.3%	-0.8%	-1.5%	-1.0%
Call IV 25d	11.1%	9.7%	12.7%	11.4%	9.8%
Put IV 25d	10.4%	9.3%	11.7%	10.6%	9.4%
Bid-Ask Spread %	2.60	1.67	4.94	3.76	1.79
Gamma HHI	0.07	0.05	0.14	0.06	0.14
Net GEX	280.0M	-99.7M	579.7M	420.3M	-99.7M
Net DEX	-2.26B	-5.69B	-452.1M	-3.31B	-452.1M
Net VEX	-37.8M	-40.3M	-34.6M	-37.3M	-37.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.47	0.95	0.73	0.74
Total Volume	226,667.364	161,745	365,471	169,619	194,084
Total OI	3,193,038.091	2,787,994	3,545,725	3,151,204	3,203,934

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
2017-06-01	$120.61	$120.00	10.6%	3.1%	10.7%	6.3%	11.2%	-0.8%	-0.1%	420.3M	-3.31B	-37.3M	0.73	3.76	98,320	71,299	2,236,691	914,513
2017-06-02	$121.66	$120.00	10.8%	3.1%	10.0%	7.9%	11.3%	-0.9%	-0.1%	560.6M	-4.45B	-38.1M	0.67	3.08	130,358	87,724	2,249,947	936,300
2017-06-05	$121.73	$119.00	11.1%	3.2%	10.0%	9.8%	11.6%	-0.8%	0.1%	480.8M	-4.27B	-38.0M	0.73	3.09	93,703	68,042	2,239,984	905,770
2017-06-06	$123.02	$119.00	11.9%	3.4%	10.3%	16.8%	12.7%	-1.1%	0.0%	579.7M	-5.69B	-38.6M	0.63	3.18	163,509	103,641	2,254,840	923,537
2017-06-07	$122.30	$120.00	11.9%	3.4%	10.3%	17.0%	12.6%	-0.9%	0.0%	524.7M	-4.83B	-39.1M	0.70	2.71	103,164	72,066	2,307,850	958,720
2017-06-08	$121.58	$120.00	11.3%	3.3%	10.7%	11.7%	11.8%	-1.0%	0.1%	437.2M	-3.94B	-38.5M	0.88	2.93	122,704	108,029	2,322,774	975,272
2017-06-09	$120.67	$120.00	11.3%	3.3%	11.2%	11.6%	11.4%	-0.8%	0.1%	312.9M	-2.81B	-37.8M	0.78	3.28	122,703	95,089	2,346,961	1,007,207
2017-06-12	$120.40	$120.00	11.4%	3.2%	11.2%	12.4%	11.6%	-1.1%	-0.1%	330.1M	-2.65B	-37.2M	0.77	3.21	107,285	83,067	2,336,024	980,295
2017-06-13	$120.50	$120.00	11.1%	3.1%	11.2%	10.0%	12.9%	-1.1%	-0.1%	345.6M	-2.71B	-36.6M	0.69	3.63	108,264	75,002	2,352,723	993,438
2017-06-14	$119.69	$120.00	10.4%	3.0%	11.5%	4.0%	10.9%	-0.7%	0.1%	219.9M	-1.66B	-35.8M	0.77	4.94	195,627	151,200	2,387,107	1,011,238
2017-06-15	$119.27	$120.00	9.8%	2.8%	9.7%	0.0%	10.4%	-0.6%	0.0%	85.5M	-950.9M	-34.6M	0.68	2.12	154,279	105,133	2,437,222	1,047,916
2017-06-16	$119.30	$120.00	9.2%	2.7%	9.1%	0.0%	9.8%	-0.4%	0.1%	115.5M	-1.05B	-35.2M	0.95	2.97	141,423	134,664	2,485,976	1,059,749
2017-06-19	$118.33	$120.00	9.5%	2.7%	9.3%	2.6%	10.0%	-0.3%	0.2%	74.7M	-533.5M	-35.6M	0.51	1.83	242,771	122,700	1,931,097	856,897
2017-06-20	$118.25	$120.00	9.9%	2.8%	9.1%	5.7%	10.3%	-0.5%	0.2%	102.9M	-705.1M	-37.7M	0.80	1.79	153,892	123,524	2,080,497	863,131
2017-06-21	$118.58	$120.00	9.9%	2.8%	8.9%	6.1%	10.6%	-0.9%	0.1%	137.5M	-1.09B	-38.7M	0.55	1.67	177,111	98,098	2,100,885	879,092
2017-06-22	$118.87	$120.00	9.9%	2.8%	8.8%	5.5%	10.3%	-0.8%	0.2%	228.9M	-1.49B	-39.6M	0.95	1.93	133,488	127,175	2,185,132	880,032
2017-06-23	$119.45	$120.00	9.5%	2.7%	9.0%	2.9%	9.9%	-0.9%	0.2%	368.0M	-2.09B	-40.3M	0.67	1.87	105,918	71,159	2,219,795	907,097
2017-06-26	$118.28	$120.00	9.7%	2.7%	8.9%	4.4%	9.9%	-0.4%	0.2%	139.4M	-800.9M	-38.5M	0.61	1.68	112,287	68,889	2,180,903	885,398
2017-06-27	$118.84	$119.50	10.5%	3.0%	9.1%	10.9%	11.0%	-0.8%	0.2%	282.9M	-1.62B	-39.8M	0.47	1.90	126,001	59,302	2,207,027	889,167
2017-06-28	$118.89	$119.50	9.8%	2.7%	8.8%	5.5%	10.1%	-0.9%	0.3%	304.7M	-1.65B	-39.5M	0.58	1.82	106,132	61,201	2,233,232	896,627
2017-06-29	$118.35	$119.50	9.7%	2.7%	8.9%	4.7%	9.7%	-0.7%	0.3%	208.2M	-1.03B	-38.8M	0.57	1.93	132,009	74,646	2,257,802	917,039
2017-06-30	$117.98	$119.50	9.3%	2.6%	8.2%	1.3%	9.4%	-0.4%	0.4%	-99.7M	-452.1M	-37.0M	0.74	1.79	111,847	82,237	2,269,974	933,960