GLD Options History — December 2017

In December 2017, GLD traded between $117.99 and $123.63. ATM implied volatility averaged 9.4%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 0.2% (HV 20d: 9.5%). Max pain ranged from $120.00 to $120.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-12-07: Highest Volume — 355,307 contracts
  • 2017-12-07: Largest IV spike — 14.6% change
  • 2017-12-12: Highest IV Rank — 27.7%
  • 2017-12-07: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.25$117.99$123.63$121.51$123.63
Max Pain$120.00$120.00$120.00$120.00$120.00
ATM IV9.4%8.4%10.9%9.3%9.2%
Expected Move2.7%2.4%3.1%2.9%2.7%
HV 20d9.5%8.1%10.7%10.0%8.3%
HV 60d9.3%8.7%9.8%9.8%8.8%
IV Rank9.0%0.0%27.7%5.4%10.1%
IV Percentile9.0%0.0%45.6%2.8%4.4%
Term Structure0.1%-0.5%0.3%0.1%0.2%
VWIV9.9%9.1%11.2%10.9%9.8%
Skew 25d0.3%-0.5%1.5%-0.4%-0.5%
Skew 10d0.7%-1.1%2.8%-1.0%-1.1%
Call IV 25d9.6%8.4%10.7%10.0%9.8%
Put IV 25d9.9%9.0%12.0%9.5%9.3%
Bid-Ask Spread %4.093.295.265.263.91
Gamma HHI0.080.060.130.090.13
Net GEX141.7M-116.6M537.3M242.8M537.3M
Net DEX-1.11B-4.77B1.12B-1.84B-4.77B
Net VEX-28.8M-30.3M-27.0M-28.1M-29.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.661.440.660.88
Total Volume229,426.5165,201355,307312,462245,713
Total OI3,137,146.62,779,8483,569,9843,134,2322,976,748

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$121.51$120.009.3%2.9%10.0%5.4%10.9%-0.4%0.1%242.8M-1.84B-28.1M0.665.26188,276124,1862,106,7971,027,435
2017-12-04$121.18$120.009.4%2.7%9.9%5.8%9.8%0.1%0.1%163.1M-1.44B-27.0M0.693.80102,81771,2042,117,6611,008,029
2017-12-05$120.33$120.009.9%2.9%9.6%13.3%10.7%0.6%0.2%48.7M-606.0M-27.5M0.814.18145,653117,6822,135,8961,017,703
2017-12-06$120.08$120.009.5%2.7%9.6%7.4%9.7%1.0%0.1%-8.3M-378.0M-27.9M0.704.24133,55893,3672,180,6741,045,747
2017-12-07$118.44$120.0010.9%3.1%10.6%26.2%11.2%1.5%-0.0%-115.1M1.12B-28.5M1.213.77161,077194,2302,223,0071,075,720
2017-12-08$118.53$120.009.9%2.8%10.4%12.6%10.1%0.6%0.0%-116.6M929.9M-28.5M0.973.30113,118109,3342,281,1291,150,463
2017-12-11$117.99$120.0010.0%2.9%10.2%14.7%10.7%0.4%-0.0%-77.3M1.09B-28.1M1.023.2996,57898,6592,260,3151,119,014
2017-12-12$118.15$120.0010.9%3.0%10.2%27.7%10.9%1.3%-0.5%-71.8M1.04B-28.0M1.444.13118,950171,4862,274,9981,136,540
2017-12-13$119.15$120.009.8%2.8%10.7%12.0%9.9%0.4%-0.2%41.3M-177.2M-29.3M0.934.93165,037153,7922,316,3181,193,504
2017-12-14$118.94$120.009.4%2.7%10.7%5.9%9.9%0.0%-0.0%86.9M20.0M-29.2M0.873.51117,235102,3142,353,8301,214,237
2017-12-15$119.21$120.008.6%2.5%10.7%0.0%9.1%0.2%0.0%74.6M-226.9M-28.4M0.944.33122,314114,5332,352,1691,217,815
2017-12-18$119.74$120.008.8%2.5%9.8%2.1%9.2%0.3%0.1%129.0M-876.9M-28.4M0.964.35103,38199,3701,852,981926,867
2017-12-19$119.82$120.009.0%2.6%8.8%5.2%9.6%0.3%0.1%135.1M-1.02B-29.4M1.033.8481,22783,9741,875,779946,961
2017-12-20$120.14$120.008.5%2.4%8.8%0.0%9.4%0.3%0.2%171.9M-1.32B-29.5M1.093.9786,10193,8001,887,078956,232
2017-12-21$120.36$120.008.4%2.4%8.1%0.0%9.4%0.5%0.1%182.5M-1.46B-29.6M1.084.1882,67889,3161,898,631984,041
2017-12-22$120.95$120.008.6%2.4%8.4%2.2%9.2%0.4%0.1%250.3M-2.15B-30.1M0.914.52121,814111,2421,900,5931,000,700
2017-12-26$121.77$120.009.3%2.7%8.6%12.6%9.9%-0.3%0.3%328.8M-2.90B-30.3M0.944.2387,54982,4351,897,509987,031
2017-12-27$122.26$120.008.9%2.6%8.8%7.3%9.6%-0.2%0.2%363.2M-3.30B-29.7M0.694.82114,41579,1441,903,0121,002,279
2017-12-28$122.86$120.009.0%2.6%8.7%8.7%9.6%-0.3%0.3%468.1M-3.90B-29.5M0.933.31109,449101,5221,920,6611,016,828
2017-12-29$123.63$120.009.2%2.7%8.3%10.1%9.8%-0.5%0.2%537.3M-4.77B-29.3M0.883.91130,822114,8911,944,3491,032,399