GLD Options History — August 2017

In August 2017, GLD traded between $119.52 and $125.81. ATM implied volatility averaged 11.0%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.7% (HV 20d: 9.3%). Max pain ranged from $117.00 to $120.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.72.

Notable Days

2017-08-18: Highest Volume — 272,548 contracts
2017-08-28: Largest IV spike — 14.4% change
2017-08-28: Highest IV Rank — 31.9%
2017-08-28: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$122.10	$119.52	$125.81	$120.86	$125.81
Max Pain	$118.24	$117.00	$120.00	$118.00	$120.00
ATM IV	11.0%	9.6%	12.7%	10.2%	11.9%
Expected Move	3.1%	2.8%	3.6%	2.9%	3.3%
HV 20d	9.3%	7.6%	11.2%	8.1%	11.2%
HV 60d	9.7%	9.5%	10.3%	9.7%	9.9%
IV Rank	16.7%	3.3%	31.9%	9.3%	24.8%
IV Percentile	24.7%	2.0%	49.6%	11.5%	41.7%
Term Structure	0.1%	-0.2%	0.4%	-0.0%	0.1%
VWIV	11.6%	10.1%	13.0%	10.5%	11.9%
Skew 25d	-1.6%	-2.6%	-0.4%	-0.8%	-1.5%
Skew 10d	-3.1%	-4.9%	-0.9%	-1.5%	-2.9%
Call IV 25d	12.3%	10.1%	14.3%	11.0%	13.0%
Put IV 25d	10.6%	9.7%	12.0%	10.2%	11.6%
Bid-Ask Spread %	2.90	2.19	3.98	3.41	3.02
Gamma HHI	0.07	0.06	0.10	0.08	0.10
Net GEX	578.8M	414.4M	757.6M	588.9M	757.6M
Net DEX	-5.14B	-8.26B	-2.71B	-4.29B	-8.26B
Net VEX	-36.4M	-38.0M	-34.9M	-36.2M	-37.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.46	0.98	0.77	0.98
Total Volume	195,421	135,165	272,548	158,047	217,149
Total OI	3,347,746.478	3,223,829	3,538,705	3,223,829	3,496,797

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
2017-08-01	$120.86	$118.00	10.2%	2.9%	8.1%	9.3%	10.5%	-0.8%	-0.0%	588.9M	-4.29B	-36.2M	0.77	3.41	89,475	68,572	2,247,340	976,489
2017-08-02	$120.39	$118.50	10.1%	2.9%	8.3%	8.3%	10.2%	-0.9%	0.1%	529.6M	-3.81B	-37.2M	0.90	3.30	71,237	63,928	2,255,475	991,104
2017-08-03	$120.72	$117.00	10.1%	3.0%	8.2%	8.8%	11.1%	-0.9%	0.0%	573.0M	-4.14B	-36.6M	0.76	3.16	85,267	64,391	2,260,523	999,840
2017-08-04	$119.68	$117.00	9.7%	2.9%	7.6%	4.8%	10.3%	-0.6%	0.1%	422.8M	-2.84B	-35.7M	0.86	2.96	105,326	90,387	2,281,352	1,005,815
2017-08-07	$119.56	$117.00	9.6%	2.8%	7.7%	3.3%	10.1%	-0.4%	0.2%	414.4M	-2.74B	-35.1M	0.84	2.95	78,875	66,342	2,268,385	977,174
2017-08-08	$119.52	$117.00	9.8%	2.9%	7.7%	5.3%	10.2%	-0.5%	0.3%	430.0M	-2.71B	-35.2M	0.66	2.74	88,526	58,613	2,284,808	991,680
2017-08-09	$121.31	$117.00	10.8%	3.1%	9.0%	15.3%	12.2%	-1.6%	-0.0%	685.8M	-5.02B	-37.0M	0.46	2.83	184,467	84,322	2,292,544	998,330
2017-08-10	$122.27	$117.00	11.8%	3.3%	9.0%	24.4%	12.4%	-2.6%	-0.2%	724.2M	-6.14B	-37.6M	0.54	2.68	167,522	91,291	2,331,131	1,014,827
2017-08-11	$122.69	$118.00	11.9%	3.5%	8.7%	24.8%	12.6%	-2.5%	0.3%	747.6M	-6.61B	-38.0M	0.54	3.17	129,549	70,280	2,366,342	1,037,660
2017-08-14	$121.83	$118.00	10.7%	3.1%	9.3%	14.0%	11.0%	-1.8%	0.2%	614.5M	-5.29B	-36.0M	0.82	2.19	94,188	77,002	2,340,630	1,025,900
2017-08-15	$120.92	$118.00	10.5%	3.0%	9.7%	12.2%	11.0%	-1.8%	0.3%	506.2M	-4.14B	-34.9M	0.65	2.37	125,586	82,072	2,355,422	1,050,524
2017-08-16	$121.84	$118.00	11.0%	3.2%	10.0%	16.9%	11.9%	-2.1%	0.3%	602.8M	-5.32B	-35.7M	0.61	3.07	122,168	75,089	2,385,515	1,062,653
2017-08-17	$122.52	$118.00	11.6%	3.3%	10.1%	22.3%	12.2%	-2.6%	-0.1%	680.2M	-6.16B	-36.5M	0.54	3.11	149,632	81,068	2,404,041	1,080,114
2017-08-18	$122.27	$118.00	11.1%	3.1%	9.8%	17.4%	12.0%	-2.0%	0.4%	561.8M	-5.86B	-35.9M	0.61	2.93	169,081	103,467	2,428,536	1,110,169
2017-08-21	$122.77	$119.00	11.6%	3.3%	9.8%	22.2%	12.2%	-2.4%	0.0%	508.6M	-5.26B	-36.3M	0.57	2.44	122,912	69,876	2,225,773	1,005,790
2017-08-22	$122.21	$119.00	11.0%	3.1%	9.8%	16.7%	12.0%	-1.7%	0.1%	446.7M	-4.62B	-36.2M	0.57	2.53	90,328	51,450	2,261,172	1,024,720
2017-08-23	$122.66	$119.00	11.2%	3.2%	9.5%	18.9%	12.3%	-1.6%	0.1%	516.6M	-5.06B	-36.4M	0.76	2.61	77,326	59,081	2,268,934	1,029,982
2017-08-24	$122.27	$119.00	11.3%	3.2%	9.6%	19.6%	11.9%	-1.5%	-0.1%	469.5M	-4.59B	-36.1M	0.74	2.89	95,392	70,946	2,285,088	1,042,978
2017-08-25	$122.75	$119.00	11.1%	3.1%	9.3%	17.3%	11.5%	-1.7%	0.2%	580.8M	-5.05B	-36.4M	0.98	2.97	116,241	113,786	2,299,662	1,061,285
2017-08-28	$124.70	$119.00	12.7%	3.6%	10.7%	31.9%	13.0%	-2.3%	-0.1%	643.0M	-7.01B	-37.0M	0.58	3.98	170,339	97,961	2,288,738	1,031,597
2017-08-29	$124.37	$119.00	12.0%	3.4%	10.8%	26.3%	12.4%	-1.7%	0.3%	655.4M	-6.71B	-37.4M	0.93	2.93	127,109	117,970	2,338,073	1,066,398
2017-08-30	$124.43	$120.00	11.3%	3.2%	10.6%	19.0%	11.4%	-1.8%	0.4%	651.9M	-6.65B	-36.7M	0.94	2.51	81,934	77,160	2,347,476	1,099,383
2017-08-31	$125.81	$120.00	11.9%	3.3%	11.2%	24.8%	11.9%	-1.5%	0.1%	757.6M	-8.26B	-37.5M	0.98	3.02	109,863	107,286	2,371,211	1,125,586