GLD Options History — October 2017

In October 2017, GLD traded between $120.31 and $123.82. ATM implied volatility averaged 10.4%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.3% (HV 20d: 10.2%). Max pain ranged from $123.00 to $125.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2017-10-06: Highest Volume — 283,881 contracts
2017-10-17: Largest IV drop — 5.1% change
2017-10-10: Highest IV Rank — 16.4%
2017-10-10: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.67	$120.31	$123.82	$120.76	$120.70
Max Pain	$123.86	$123.00	$125.00	$124.00	$123.00
ATM IV	10.4%	9.9%	11.0%	10.7%	10.0%
Expected Move	3.0%	2.9%	3.1%	3.1%	2.9%
HV 20d	10.2%	8.2%	12.6%	12.6%	8.4%
HV 60d	10.8%	10.7%	11.0%	10.8%	10.9%
IV Rank	11.4%	6.2%	16.4%	13.5%	7.2%
IV Percentile	17.8%	6.7%	28.6%	19.8%	9.9%
Term Structure	0.0%	-0.2%	0.3%	-0.1%	0.3%
VWIV	11.0%	10.5%	11.5%	11.1%	10.6%
Skew 25d	-0.7%	-1.1%	-0.3%	-0.9%	-0.6%
Skew 10d	-1.5%	-2.4%	-0.6%	-1.9%	-1.2%
Call IV 25d	11.2%	10.4%	12.0%	11.4%	10.7%
Put IV 25d	10.5%	10.1%	10.9%	10.5%	10.1%
Bid-Ask Spread %	3.09	2.15	4.10	4.10	2.93
Gamma HHI	0.07	0.05	0.09	0.05	0.07
Net GEX	208.5M	19.6M	505.4M	21.7M	143.4M
Net DEX	-1.39B	-3.81B	183.3M	183.3M	-844.3M
Net VEX	-33.0M	-35.2M	-30.2M	-33.8M	-30.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.63	1.35	1.35	0.63
Total Volume	195,611.955	140,268	283,881	230,880	167,450
Total OI	3,120,267.318	2,814,249	3,336,774	3,114,497	2,974,060

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
2017-10-02	$120.76	$124.00	10.7%	3.1%	12.6%	13.5%	11.1%	-0.9%	-0.1%	21.7M	183.3M	-33.8M	1.35	4.10	98,293	132,587	2,118,744	995,753
2017-10-03	$120.79	$123.00	10.4%	2.9%	11.6%	11.2%	10.6%	-0.7%	-0.0%	47.2M	-130.3M	-34.4M	0.85	3.92	91,624	77,845	2,148,608	986,422
2017-10-04	$121.17	$123.00	10.4%	2.9%	11.7%	11.7%	10.6%	-0.5%	-0.1%	82.6M	-518.2M	-34.2M	0.69	3.03	91,308	62,543	2,149,622	991,199
2017-10-05	$120.49	$124.00	10.5%	3.0%	10.7%	12.6%	11.4%	-0.6%	-0.1%	19.6M	140.5M	-32.9M	0.73	3.34	113,206	82,599	2,162,241	994,842
2017-10-06	$121.09	$125.00	10.3%	3.0%	11.0%	10.5%	11.3%	-0.8%	0.1%	103.7M	-445.8M	-33.7M	0.81	3.13	156,814	127,067	2,185,529	1,010,910
2017-10-09	$122.06	$124.00	10.8%	3.1%	10.7%	14.9%	11.3%	-1.0%	0.0%	248.8M	-1.76B	-34.5M	0.87	2.96	87,042	75,850	2,177,907	989,597
2017-10-10	$122.37	$124.00	11.0%	3.1%	10.6%	16.4%	11.5%	-1.1%	-0.0%	315.0M	-2.22B	-35.1M	0.89	2.84	102,286	90,754	2,197,344	1,000,521
2017-10-11	$122.81	$124.00	10.9%	3.1%	10.5%	15.6%	11.5%	-1.1%	0.1%	366.5M	-2.64B	-35.0M	0.87	3.14	100,424	87,124	2,216,686	1,006,063
2017-10-12	$122.88	$124.00	10.5%	3.0%	10.4%	12.0%	11.2%	-0.8%	0.1%	396.2M	-2.71B	-34.9M	0.86	2.97	75,292	64,976	2,225,919	1,015,169
2017-10-13	$123.82	$124.00	10.4%	3.0%	10.7%	11.0%	10.8%	-1.0%	0.1%	505.4M	-3.81B	-35.2M	0.68	2.99	115,053	77,963	2,237,054	1,018,629
2017-10-16	$122.95	$124.00	10.8%	3.1%	10.5%	15.1%	11.1%	-0.9%	-0.2%	357.1M	-2.65B	-34.0M	1.01	3.42	108,562	109,696	2,216,490	983,702
2017-10-17	$122.11	$124.00	10.3%	2.9%	10.7%	10.0%	11.0%	-0.6%	-0.0%	214.6M	-1.54B	-33.3M	0.81	2.76	120,144	97,145	2,233,504	1,027,799
2017-10-18	$121.68	$125.00	10.5%	3.0%	10.5%	12.1%	11.5%	-0.7%	-0.1%	148.0M	-1.08B	-33.0M	0.79	2.89	110,445	87,156	2,245,861	1,045,212
2017-10-19	$122.46	$125.00	10.5%	3.0%	10.4%	12.0%	10.9%	-0.9%	-0.0%	276.2M	-2.00B	-33.5M	1.01	3.31	83,532	84,176	2,269,540	1,049,288
2017-10-20	$121.75	$125.00	10.2%	2.9%	10.5%	9.1%	10.6%	-0.6%	-0.1%	195.6M	-1.09B	-32.2M	1.09	3.03	114,375	125,091	2,284,129	1,052,645
2017-10-23	$121.86	$124.00	10.3%	3.0%	9.6%	10.5%	10.7%	-0.8%	0.0%	227.5M	-1.74B	-31.6M	0.73	2.15	121,381	89,128	1,938,861	875,388
2017-10-24	$121.36	$124.00	10.4%	3.0%	8.8%	10.9%	11.0%	-0.7%	-0.0%	209.2M	-1.48B	-31.4M	1.22	3.14	69,631	85,144	1,982,994	895,703
2017-10-25	$121.38	$123.00	10.5%	3.1%	8.2%	12.0%	11.3%	-0.9%	-0.0%	218.5M	-1.55B	-31.6M	0.80	2.95	103,297	82,795	1,993,380	914,039
2017-10-26	$120.31	$123.00	10.3%	3.0%	8.6%	10.0%	10.9%	-0.3%	0.0%	139.1M	-517.3M	-30.2M	0.87	2.95	120,040	104,330	2,027,283	919,256
2017-10-27	$120.89	$123.00	9.9%	2.9%	8.7%	6.2%	10.5%	-0.4%	0.1%	143.3M	-937.8M	-30.3M	0.95	2.94	112,871	107,010	2,022,365	937,375
2017-10-30	$121.15	$123.00	10.0%	2.9%	8.3%	7.1%	11.1%	-0.5%	0.2%	207.8M	-1.27B	-30.9M	0.76	3.20	107,420	81,994	2,004,925	923,323
2017-10-31	$120.70	$123.00	10.0%	2.9%	8.4%	7.2%	10.6%	-0.6%	0.3%	143.4M	-844.3M	-30.3M	0.63	2.93	102,689	64,761	2,030,371	943,689