GLD Options History — November 2017

In November 2017, GLD traded between $120.59 and $122.91. ATM implied volatility averaged 9.7%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.0% (HV 20d: 8.6%). Max pain ranged from $120.00 to $123.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2017-11-17: Highest Volume — 315,334 contracts
  • 2017-11-02: Largest IV drop — 6.6% change
  • 2017-11-15: Highest IV Rank — 18.2%
  • 2017-11-09: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.71$120.59$122.91$121.11$121.09
Max Pain$120.14$120.00$123.00$123.00$120.00
ATM IV9.7%8.9%10.4%10.1%9.5%
Expected Move2.9%2.7%3.0%3.0%2.9%
HV 20d8.6%7.3%9.9%8.4%9.9%
HV 60d10.4%10.0%10.9%10.9%10.1%
IV Rank6.8%0.0%18.2%8.0%7.1%
IV Percentile7.6%0.0%24.6%11.9%4.4%
Term Structure0.1%-0.2%0.5%0.2%0.1%
VWIV10.4%9.6%11.1%11.1%11.0%
Skew 25d-0.7%-1.1%0.6%-0.6%0.6%
Skew 10d-1.2%-2.1%1.2%-1.3%1.2%
Call IV 25d10.4%9.5%11.3%10.8%9.6%
Put IV 25d9.7%9.0%10.4%10.2%10.2%
Bid-Ask Spread %3.302.844.363.614.36
Gamma HHI0.100.070.250.070.09
Net GEX310.5M79.0M881.4M199.0M131.0M
Net DEX-1.91B-3.20B-502.8M-1.27B-1.21B
Net VEX-28.9M-30.8M-27.7M-30.8M-27.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.641.350.741.35
Total Volume175,616.857115,420315,334179,625222,416
Total OI3,042,827.3332,932,9323,184,1563,010,1633,060,513

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$121.11$123.0010.1%3.0%8.4%8.0%11.1%-0.6%0.2%199.0M-1.27B-30.8M0.743.61103,00976,6162,061,354948,809
2017-11-02$121.19$120.009.4%2.9%8.1%1.9%10.6%-0.5%0.3%188.8M-1.23B-29.6M0.772.88101,98078,6902,078,961963,003
2017-11-03$120.59$120.009.1%2.8%8.1%0.0%10.3%-0.3%0.2%79.0M-502.8M-28.5M1.072.99100,705107,5532,088,409973,819
2017-11-06$121.66$120.009.4%2.8%8.3%3.2%10.3%-0.7%0.4%258.2M-1.69B-29.4M0.803.30103,00982,8962,042,235944,536
2017-11-07$121.21$120.009.4%2.8%8.3%3.1%10.4%-0.8%0.4%213.9M-1.25B-28.7M1.123.3370,34578,8872,068,166957,605
2017-11-08$121.60$120.009.7%2.9%8.3%5.8%10.7%-0.6%0.5%276.8M-1.67B-29.2M0.913.2291,48783,5882,075,940965,432
2017-11-09$122.14$120.0010.2%3.0%8.4%9.8%10.9%-1.1%0.4%374.0M-2.29B-30.1M0.723.06105,31875,4002,085,701980,281
2017-11-10$121.17$120.0010.0%3.0%8.3%8.1%11.0%-1.0%0.5%170.4M-1.22B-29.5M0.972.84108,161104,6572,103,087983,066
2017-11-13$121.33$120.0010.2%2.9%8.0%9.9%10.6%-0.8%-0.0%213.4M-1.38B-28.2M0.673.2298,11665,4882,085,214968,354
2017-11-14$121.58$120.0010.3%3.0%7.7%14.0%10.7%-1.0%-0.2%284.8M-1.76B-28.9M0.773.5093,45572,0812,125,879973,608
2017-11-15$121.42$120.0010.4%3.0%7.7%18.2%10.8%-0.9%-0.0%256.3M-1.62B-28.9M0.792.9795,18375,1152,152,193982,946
2017-11-16$121.43$120.009.8%2.8%7.3%10.0%10.2%-0.7%0.0%248.3M-1.59B-28.4M0.933.1372,65767,4382,176,925996,080
2017-11-17$122.91$120.009.6%2.7%8.2%6.7%10.0%-0.9%0.1%881.4M-3.19B-29.1M1.073.18152,243163,0912,181,6431,002,513
2017-11-20$121.31$120.0010.1%2.9%9.5%13.3%10.4%-0.8%-0.2%251.2M-1.76B-28.5M0.723.67105,80576,0052,011,141921,791
2017-11-21$121.55$120.009.7%2.8%9.4%8.3%10.2%-0.7%-0.1%296.2M-2.02B-28.6M0.643.1986,28555,4302,041,900929,025
2017-11-22$122.62$120.009.6%2.8%9.9%6.4%9.8%-0.7%-0.1%470.4M-3.16B-29.4M0.813.5578,25463,4702,063,993936,749
2017-11-24$122.32$120.009.3%2.7%9.4%3.1%9.7%-0.7%-0.2%442.8M-2.79B-29.1M0.843.5162,72952,6912,072,919946,962
2017-11-27$122.83$120.009.3%2.7%9.3%2.2%9.9%-0.8%0.1%486.0M-3.20B-28.0M0.933.2870,60765,8372,026,210914,574
2017-11-28$122.79$120.008.9%2.7%9.3%0.0%9.6%-0.5%0.3%461.2M-3.10B-28.0M0.743.1095,59870,5962,042,945934,480
2017-11-29$122.05$120.009.1%2.8%9.5%2.7%10.5%-0.2%0.1%336.7M-2.27B-28.1M0.943.5180,13074,9332,072,266958,147
2017-11-30$121.09$120.009.5%2.9%9.9%7.1%11.0%0.6%0.1%131.0M-1.21B-27.7M1.354.3694,492127,9242,086,959973,554