GLD Options History — July 2017

In July 2017, GLD traded between $115.14 and $120.75. ATM implied volatility averaged 10.1%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.3% (HV 20d: 9.9%). Max pain ranged from $117.00 to $119.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2017-07-05: Highest Volume — 321,933 contracts
2017-07-07: Largest IV spike — 9.9% change
2017-07-07: Highest IV Rank — 17.0%
2017-07-07: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.73	$115.14	$120.75	$116.09	$120.75
Max Pain	$118.08	$117.00	$119.50	$119.50	$118.00
ATM IV	10.1%	9.4%	11.0%	10.2%	10.3%
Expected Move	2.9%	2.7%	3.2%	2.9%	2.9%
HV 20d	9.9%	8.7%	10.6%	9.7%	10.3%
HV 60d	10.2%	9.7%	10.4%	10.4%	9.7%
IV Rank	8.8%	2.3%	17.0%	9.1%	10.2%
IV Percentile	7.7%	0.8%	15.9%	6.3%	12.3%
Term Structure	0.1%	-0.0%	0.4%	0.0%	0.0%
VWIV	10.6%	9.7%	11.5%	10.6%	10.9%
Skew 25d	-0.4%	-1.1%	0.4%	0.1%	-1.1%
Skew 10d	-1.0%	-2.3%	0.3%	0.0%	-1.7%
Call IV 25d	10.8%	10.3%	11.4%	10.5%	11.3%
Put IV 25d	10.3%	9.5%	11.6%	10.7%	10.2%
Bid-Ask Spread %	3.18	2.52	7.36	7.36	3.64
Gamma HHI	0.07	0.05	0.13	0.05	0.07
Net GEX	292.0M	-68.2M	814.3M	-36.9M	568.0M
Net DEX	-1.42B	-4.84B	1.65B	837.9M	-4.25B
Net VEX	-36.0M	-37.7M	-33.7M	-34.8M	-37.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.40	1.01	0.81	0.82
Total Volume	212,991.65	142,974	321,933	205,369	143,151
Total OI	3,265,539.45	3,021,891	3,515,813	3,021,891	3,200,636

Daily Data (20 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
2017-07-03	$116.09	$119.50	10.2%	2.9%	9.7%	9.1%	10.6%	0.1%	0.0%	-36.9M	837.9M	-34.8M	0.81	7.36	113,265	92,104	2,167,519	854,372
2017-07-05	$116.60	$119.00	10.2%	2.9%	8.8%	9.4%	10.5%	0.1%	0.0%	-20.6M	490.8M	-35.0M	0.40	3.43	230,766	91,167	2,179,652	871,734
2017-07-06	$116.49	$119.00	10.0%	3.0%	8.7%	7.8%	10.7%	0.3%	0.1%	3.5M	498.3M	-35.2M	0.69	2.82	109,130	75,001	2,257,147	899,458
2017-07-07	$115.14	$119.00	11.0%	3.2%	9.2%	17.0%	11.5%	0.3%	0.0%	-68.2M	1.65B	-33.7M	0.83	2.75	173,558	143,491	2,285,159	918,591
2017-07-10	$115.48	$119.00	10.7%	3.1%	9.3%	13.7%	11.0%	0.4%	0.0%	-15.6M	1.10B	-33.7M	0.99	2.65	80,905	80,301	2,277,739	921,628
2017-07-11	$115.65	$118.00	10.8%	3.1%	9.4%	14.6%	11.5%	0.2%	0.1%	18.4M	844.8M	-34.6M	0.54	2.62	148,344	79,843	2,300,619	937,184
2017-07-12	$116.13	$118.00	10.2%	2.9%	9.6%	8.9%	10.6%	0.0%	0.1%	89.5M	291.9M	-35.6M	0.91	2.55	91,500	83,223	2,362,448	957,357
2017-07-13	$115.80	$118.00	10.0%	2.9%	9.4%	7.2%	11.4%	0.1%	-0.0%	58.4M	670.0M	-34.6M	0.72	2.84	120,806	86,420	2,375,395	983,353
2017-07-14	$116.82	$118.00	9.7%	2.8%	10.1%	4.8%	10.3%	-0.4%	0.1%	220.5M	-580.8M	-35.9M	0.91	2.52	100,644	91,923	2,398,138	994,319
2017-07-17	$117.36	$118.00	9.7%	2.8%	10.2%	4.5%	10.0%	-0.7%	0.2%	252.3M	-1.18B	-35.9M	1.01	2.96	88,961	89,539	2,375,401	985,243
2017-07-18	$118.07	$117.00	9.7%	2.8%	10.1%	4.5%	10.2%	-0.9%	0.1%	363.4M	-2.13B	-36.4M	0.84	3.17	108,860	91,198	2,390,586	1,008,709
2017-07-19	$118.07	$117.00	9.6%	2.7%	10.1%	3.6%	9.7%	-0.9%	0.1%	349.7M	-2.04B	-36.5M	0.83	2.94	77,915	65,059	2,418,663	1,026,945
2017-07-20	$118.23	$117.00	9.4%	2.7%	10.1%	2.3%	9.9%	-0.9%	0.1%	355.2M	-2.23B	-36.2M	0.58	2.97	142,824	82,778	2,429,143	1,040,086
2017-07-21	$119.34	$117.00	10.0%	2.8%	10.6%	7.5%	10.4%	-1.1%	0.2%	814.3M	-3.85B	-37.6M	0.65	3.01	145,534	94,330	2,462,336	1,053,477
2017-07-24	$119.36	$118.00	10.5%	3.0%	10.5%	11.8%	10.9%	-1.0%	0.2%	531.7M	-3.41B	-37.1M	0.90	2.94	98,381	88,812	2,206,769	897,340
2017-07-25	$118.82	$118.00	10.7%	3.1%	10.0%	14.2%	11.0%	-0.6%	0.2%	445.9M	-2.72B	-37.4M	0.87	2.76	111,402	96,686	2,226,145	928,831
2017-07-26	$119.87	$118.00	10.4%	3.0%	10.3%	10.9%	10.7%	-0.7%	0.2%	567.8M	-3.81B	-37.7M	0.68	3.24	152,318	103,756	2,239,501	959,394
2017-07-27	$119.81	$118.00	9.9%	2.8%	10.3%	6.8%	10.2%	-0.9%	0.4%	625.3M	-3.77B	-37.0M	0.68	3.18	148,442	101,340	2,260,354	975,169
2017-07-28	$120.72	$118.00	10.0%	2.9%	10.4%	7.9%	10.5%	-1.1%	0.2%	717.6M	-4.84B	-37.5M	0.68	3.30	140,462	95,694	2,281,706	1,002,543
2017-07-31	$120.75	$118.00	10.3%	2.9%	10.3%	10.2%	10.9%	-1.1%	0.0%	568.0M	-4.25B	-37.1M	0.82	3.64	78,751	64,400	2,229,500	971,136