GLD Options History — January 2018

In January 2018, GLD traded between $124.69 and $128.84. ATM implied volatility averaged 10.3%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.1% (HV 20d: 8.2%). Max pain ranged from $120.00 to $124.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2018-01-25: Highest Volume — 315,198 contracts
2018-01-24: Largest IV spike — 14.4% change
2018-01-24: Highest IV Rank — 40.0%
2018-01-30: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.39	$124.69	$128.84	$125.14	$127.68
Max Pain	$122.76	$120.00	$124.00	$120.00	$124.00
ATM IV	10.3%	9.4%	11.4%	10.2%	10.8%
Expected Move	3.0%	2.7%	3.4%	3.0%	3.2%
HV 20d	8.2%	6.4%	9.8%	9.2%	9.2%
HV 60d	9.0%	8.7%	9.3%	9.0%	9.3%
IV Rank	25.0%	13.9%	40.0%	24.5%	31.5%
IV Percentile	34.3%	9.5%	69.4%	30.6%	51.6%
Term Structure	0.1%	-0.2%	0.3%	0.0%	0.2%
VWIV	11.0%	9.8%	13.0%	10.7%	12.0%
Skew 25d	-0.4%	-1.3%	0.3%	-0.3%	-0.3%
Skew 10d	-0.6%	-1.8%	0.7%	0.5%	-0.6%
Call IV 25d	11.0%	9.7%	12.5%	10.9%	11.4%
Put IV 25d	10.5%	9.8%	11.9%	10.6%	11.1%
Bid-Ask Spread %	4.00	1.81	5.44	2.54	4.54
Gamma HHI	0.12	0.07	0.18	0.14	0.07
Net GEX	509.3M	289.6M	713.9M	581.3M	374.7M
Net DEX	-5.59B	-7.68B	-3.74B	-5.74B	-4.63B
Net VEX	-31.6M	-34.9M	-29.8M	-29.8M	-33.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.58	1.51	1.09	0.60
Total Volume	186,511.095	120,522	315,198	217,670	181,620
Total OI	2,754,663.571	2,109,701	3,259,040	2,847,303	2,404,856

Daily Data (21 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
2018-01-02	$125.14	$120.00	10.2%	3.0%	9.2%	24.5%	10.7%	-0.3%	0.0%	581.3M	-5.74B	-29.8M	1.09	2.54	104,205	113,465	1,885,066	962,237
2018-01-03	$124.78	$120.00	10.0%	2.8%	9.2%	21.2%	10.9%	-0.1%	0.1%	550.3M	-5.18B	-30.9M	0.95	1.81	95,901	90,774	1,907,213	1,011,565
2018-01-04	$125.50	$121.00	10.3%	3.0%	8.7%	25.5%	10.9%	-0.6%	0.1%	581.7M	-6.04B	-30.5M	0.82	2.07	104,704	86,178	1,914,830	1,034,270
2018-01-05	$125.30	$122.00	9.8%	2.9%	8.7%	19.1%	10.4%	-0.2%	0.1%	576.5M	-5.78B	-30.3M	1.39	4.50	72,697	101,231	1,938,778	1,062,178
2018-01-08	$125.30	$123.00	9.8%	2.9%	6.5%	18.1%	10.5%	-0.2%	0.2%	534.4M	-5.49B	-30.1M	0.90	3.93	65,937	59,553	1,922,430	1,027,394
2018-01-09	$124.69	$123.00	9.4%	2.7%	7.0%	13.9%	10.7%	0.3%	0.1%	501.8M	-4.77B	-29.8M	0.62	4.03	105,892	65,138	1,934,968	1,032,167
2018-01-10	$125.05	$123.00	9.5%	2.7%	6.5%	14.7%	9.8%	-0.2%	0.0%	541.6M	-5.25B	-30.2M	0.62	4.16	109,996	68,117	1,963,844	1,043,964
2018-01-11	$125.41	$123.00	9.5%	2.8%	6.4%	15.1%	10.1%	-0.0%	0.1%	607.7M	-5.80B	-30.9M	1.06	4.13	86,531	92,099	2,007,385	1,059,439
2018-01-12	$126.98	$123.00	10.1%	2.9%	7.0%	22.3%	10.7%	-0.8%	-0.0%	713.9M	-7.68B	-31.2M	0.74	4.02	117,838	87,125	2,024,338	1,105,122
2018-01-16	$127.09	$123.00	10.4%	3.0%	6.8%	26.9%	11.1%	-0.7%	-0.1%	618.2M	-7.59B	-31.0M	0.83	3.84	79,849	65,910	2,023,256	1,087,551
2018-01-17	$126.08	$123.00	10.3%	2.9%	7.9%	24.9%	11.4%	-0.5%	-0.1%	604.0M	-6.46B	-31.4M	1.17	5.44	91,511	106,665	2,044,162	1,106,616
2018-01-18	$125.89	$123.00	10.4%	3.0%	8.0%	26.8%	11.0%	-0.1%	-0.0%	480.3M	-6.09B	-32.1M	0.95	4.20	90,433	85,531	2,066,898	1,151,798
2018-01-19	$126.46	$123.00	9.8%	2.8%	8.0%	18.8%	10.6%	-0.4%	0.0%	513.7M	-7.00B	-31.2M	0.78	4.16	110,756	86,158	2,082,923	1,176,117
2018-01-22	$126.65	$123.00	9.9%	2.9%	8.1%	20.3%	10.7%	-0.3%	0.1%	406.4M	-4.33B	-31.3M	1.06	4.87	58,493	62,029	1,317,125	792,576
2018-01-23	$127.27	$123.00	10.0%	2.9%	8.1%	20.9%	10.6%	-0.6%	0.1%	451.0M	-4.86B	-31.1M	1.51	4.32	66,444	100,094	1,333,577	810,293
2018-01-24	$128.84	$123.00	11.4%	3.3%	8.7%	40.0%	13.0%	-1.3%	-0.2%	495.8M	-6.09B	-32.0M	0.65	4.61	160,089	104,571	1,344,533	849,011
2018-01-25	$127.90	$123.00	11.0%	3.2%	9.4%	35.1%	11.7%	-0.8%	-0.1%	465.8M	-5.31B	-32.9M	1.11	4.21	149,441	165,757	1,389,048	880,660
2018-01-26	$128.04	$124.00	10.8%	3.2%	9.4%	32.0%	11.2%	-0.9%	0.1%	456.2M	-5.23B	-33.9M	0.81	4.07	115,646	93,628	1,439,820	961,173
2018-01-29	$127.35	$124.00	11.0%	3.2%	9.7%	34.5%	11.8%	-0.4%	0.3%	351.2M	-4.38B	-33.9M	0.58	3.86	114,929	67,077	1,438,713	914,670
2018-01-30	$126.80	$124.00	11.4%	3.4%	9.8%	39.4%	12.3%	-0.1%	0.3%	289.6M	-3.74B	-34.9M	0.65	4.67	80,603	52,118	1,457,249	938,122
2018-01-31	$127.68	$124.00	10.8%	3.2%	9.2%	31.5%	12.0%	-0.3%	0.2%	374.7M	-4.63B	-33.6M	0.60	4.54	113,268	68,352	1,456,104	948,752