GLD Options History — September 2017

In September 2017, GLD traded between $121.68 and $128.16. ATM implied volatility averaged 11.6%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 0.4% (HV 20d: 12.0%). Max pain ranged from $120.00 to $124.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-09-05: Highest Volume — 316,048 contracts
  • 2017-09-05: Largest IV spike — 12.5% change
  • 2017-09-07: Highest IV Rank — 34.5%
  • 2017-09-07: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.94$121.68$128.16$126.04$121.68
Max Pain$123.30$120.00$124.00$120.00$124.00
ATM IV11.6%10.5%12.9%11.3%10.6%
Expected Move3.3%3.0%3.7%3.1%3.1%
HV 20d12.0%10.4%13.3%10.4%12.5%
HV 60d10.5%9.8%11.2%9.8%10.9%
IV Rank21.9%12.1%34.5%19.9%13.3%
IV Percentile36.2%17.1%55.6%32.1%18.7%
Term Structure-0.0%-0.2%0.3%0.3%0.1%
VWIV12.0%11.0%13.2%11.0%11.3%
Skew 25d-0.9%-1.7%-0.2%-1.3%-0.6%
Skew 10d-1.8%-3.4%-0.6%-2.5%-1.2%
Call IV 25d12.4%11.2%14.2%12.4%11.3%
Put IV 25d11.5%10.5%12.8%11.1%10.7%
Bid-Ask Spread %3.282.667.057.053.33
Gamma HHI0.080.060.130.130.06
Net GEX435.9M-27.2M952.9M952.9M78.4M
Net DEX-5.43B-10.27B-845.8M-8.60B-845.8M
Net VEX-37.6M-39.5M-34.8M-36.8M-34.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.581.410.891.11
Total Volume239,526.8169,964316,048210,947185,384
Total OI3,455,293.753,057,7253,928,9533,542,9383,344,832

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$126.04$120.0011.3%3.1%10.4%19.9%11.0%-1.3%0.3%952.9M-8.60B-36.8M0.897.05111,86899,0792,393,5681,149,370
2017-09-05$127.47$122.0012.8%3.6%10.8%33.0%13.2%-1.7%-0.1%772.3M-9.71B-37.5M0.583.08200,075115,9732,351,9011,116,427
2017-09-06$126.78$122.0012.7%3.6%11.1%32.3%13.1%-1.5%-0.1%769.4M-8.83B-37.9M1.142.79119,645136,3982,395,5971,142,658
2017-09-07$128.16$122.0012.9%3.7%10.6%34.5%13.2%-1.5%-0.1%787.8M-10.27B-38.6M0.802.97147,897117,8402,413,9821,208,009
2017-09-08$128.02$123.0012.2%3.5%10.5%28.0%12.6%-1.1%0.0%811.9M-9.99B-38.1M0.973.08150,560145,8992,444,5151,247,311
2017-09-11$126.11$123.0011.8%3.4%12.2%23.9%12.3%-0.9%0.1%623.5M-7.54B-39.2M0.802.78136,817109,7742,463,9821,219,047
2017-09-12$126.57$123.0010.5%3.0%11.8%12.1%11.5%-0.8%0.1%656.2M-8.02B-36.9M0.683.06183,466124,6942,482,4851,231,198
2017-09-13$125.64$123.0010.9%3.1%11.8%15.6%11.0%-0.4%0.1%610.4M-6.95B-38.3M1.022.75141,511144,4212,570,4401,264,725
2017-09-14$126.18$124.0011.1%3.2%11.6%17.7%11.2%-0.5%-0.1%637.3M-7.79B-39.0M1.242.95100,689125,1202,580,6661,298,527
2017-09-15$125.52$124.0011.2%3.2%11.8%18.3%11.4%-0.3%-0.1%229.6M-6.94B-38.7M1.323.61103,168136,2172,607,1601,321,793
2017-09-18$124.38$124.0011.6%3.3%12.3%22.3%12.0%-0.4%-0.1%258.9M-3.37B-37.6M1.412.9096,856136,4652,075,016982,709
2017-09-19$124.60$124.0011.3%3.2%12.2%19.2%11.6%-0.4%-0.1%268.7M-3.61B-38.0M1.242.9477,41495,9742,096,8711,009,002
2017-09-20$123.64$124.0011.2%3.2%12.5%18.6%11.6%-0.2%-0.2%164.9M-2.59B-36.9M1.063.44150,220158,9952,113,0301,025,139
2017-09-21$122.68$124.0011.1%3.2%12.8%17.9%11.4%-0.3%-0.1%-27.2M-1.47B-36.4M0.882.66146,264129,1842,151,7031,067,978
2017-09-22$123.23$124.0011.3%3.2%12.8%19.2%11.9%-0.9%-0.1%242.7M-2.37B-38.4M0.893.26111,94299,8932,199,1301,073,951
2017-09-25$124.58$124.0012.4%3.6%13.3%29.9%13.0%-1.3%0.1%401.6M-4.18B-39.5M0.743.60120,03888,7032,184,9811,034,449
2017-09-26$123.12$124.0011.9%3.4%12.7%25.0%12.9%-1.2%0.0%227.6M-2.49B-37.3M0.803.08103,14282,1672,193,9581,050,450
2017-09-27$122.00$124.0011.8%3.4%13.1%24.1%12.4%-1.1%-0.0%122.8M-1.33B-36.5M0.983.2394,46592,3552,222,9351,064,376
2017-09-28$122.38$124.0010.7%3.0%13.1%13.7%11.0%-1.0%0.1%127.8M-1.64B-36.0M1.012.9584,48085,4842,238,9111,073,093
2017-09-29$121.68$124.0010.6%3.1%12.5%13.3%11.3%-0.6%0.1%78.4M-845.8M-34.8M1.113.3388,06197,3232,253,8781,090,954