GLD Options History — February 2018

In February 2018, GLD traded between $124.72 and $128.36. ATM implied volatility averaged 11.8%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.0% (HV 20d: 11.8%). Max pain ranged from $125.00 to $125.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.73.

Notable Days

2018-02-14: Highest Volume — 249,755 contracts
2018-02-23: Largest IV drop — 12.5% change
2018-02-14: Highest IV Rank — 62.4%
2018-02-14: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.20	$124.72	$128.36	$128.13	$124.98
Max Pain	$125.00	$125.00	$125.00	$125.00	$125.00
ATM IV	11.8%	10.3%	13.1%	10.4%	10.3%
Expected Move	3.4%	2.9%	3.8%	3.1%	3.0%
HV 20d	11.8%	9.1%	13.2%	9.1%	12.7%
HV 60d	10.1%	9.3%	10.6%	9.3%	10.3%
IV Rank	45.9%	25.1%	62.4%	27.1%	25.1%
IV Percentile	74.0%	36.5%	95.6%	41.7%	36.5%
Term Structure	0.1%	-0.2%	0.4%	0.4%	-0.1%
VWIV	12.6%	10.9%	14.2%	11.4%	11.1%
Skew 25d	-0.9%	-1.6%	0.1%	-0.4%	-0.6%
Skew 10d	-1.7%	-3.3%	-0.0%	-0.8%	-1.2%
Call IV 25d	12.8%	11.0%	14.4%	11.0%	11.0%
Put IV 25d	11.9%	10.2%	13.2%	10.6%	10.4%
Bid-Ask Spread %	3.95	3.06	6.31	3.22	3.69
Gamma HHI	0.08	0.06	0.24	0.08	0.08
Net GEX	355.9M	125.6M	913.8M	467.9M	277.6M
Net DEX	-3.46B	-6.51B	-1.62B	-5.25B	-2.05B
Net VEX	-34.4M	-36.0M	-32.1M	-33.9M	-32.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.43	1.15	0.77	0.65
Total Volume	184,729.316	136,502	249,755	136,502	142,562
Total OI	2,499,606.211	2,353,214	2,725,232	2,457,090	2,442,896

Daily Data (19 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
2018-02-01	$128.13	$125.00	10.4%	3.1%	9.1%	27.1%	11.4%	-0.4%	0.4%	467.9M	-5.25B	-33.9M	0.77	3.22	76,981	59,521	1,494,050	963,040
2018-02-02	$126.20	$125.00	11.1%	3.2%	10.6%	36.5%	11.8%	0.1%	0.2%	189.7M	-3.04B	-34.4M	0.82	3.52	125,644	103,240	1,491,140	969,267
2018-02-05	$126.85	$125.00	12.4%	3.5%	10.7%	53.0%	13.3%	-0.9%	-0.1%	297.3M	-3.89B	-34.6M	0.43	6.31	136,518	58,220	1,465,946	939,273
2018-02-06	$125.37	$125.00	11.9%	3.4%	11.6%	46.5%	12.8%	-0.7%	-0.1%	203.9M	-2.37B	-34.2M	0.58	3.99	116,786	67,252	1,510,274	951,502
2018-02-07	$124.77	$125.00	12.0%	3.4%	11.6%	47.8%	12.3%	-0.2%	-0.1%	125.6M	-1.62B	-34.2M	0.96	3.51	85,403	81,957	1,533,293	965,236
2018-02-08	$125.01	$125.00	13.1%	3.7%	11.6%	62.4%	14.1%	-1.0%	-0.2%	165.5M	-2.03B	-35.4M	0.49	5.03	143,049	69,423	1,540,299	974,335
2018-02-09	$124.72	$125.00	12.9%	3.7%	11.6%	60.5%	13.4%	-1.3%	0.1%	162.6M	-1.75B	-34.9M	0.74	4.16	121,847	89,995	1,592,424	978,379
2018-02-12	$125.37	$125.00	12.5%	3.6%	10.8%	54.5%	13.5%	-1.1%	0.2%	289.8M	-2.83B	-34.6M	0.63	3.06	128,409	80,970	1,583,632	950,413
2018-02-13	$126.11	$125.00	12.4%	3.6%	11.0%	53.4%	13.2%	-1.0%	0.1%	433.1M	-3.80B	-35.4M	0.51	3.32	121,952	62,787	1,651,578	958,868
2018-02-14	$128.29	$125.00	13.1%	3.8%	12.2%	62.4%	13.5%	-1.4%	0.2%	672.9M	-6.50B	-35.9M	0.49	4.14	168,154	81,601	1,680,536	970,797
2018-02-15	$128.36	$125.00	13.0%	3.7%	12.2%	61.8%	14.2%	-1.6%	0.3%	736.9M	-6.51B	-35.8M	0.45	4.02	119,395	53,959	1,718,263	990,078
2018-02-16	$127.95	$125.00	12.3%	3.5%	12.2%	52.4%	13.2%	-1.3%	0.4%	913.8M	-6.04B	-36.0M	0.84	4.10	115,181	96,852	1,720,470	1,004,762
2018-02-20	$126.20	$125.00	12.6%	3.6%	13.2%	55.7%	12.9%	-0.8%	-0.1%	283.7M	-3.23B	-35.0M	1.15	3.31	75,309	86,977	1,484,908	868,306
2018-02-21	$125.59	$125.00	12.3%	3.5%	13.2%	51.5%	13.1%	-0.7%	0.0%	198.5M	-2.59B	-34.4M	0.89	3.21	84,275	75,412	1,497,523	895,345
2018-02-22	$126.28	$125.00	11.8%	3.3%	12.5%	45.0%	12.0%	-0.7%	-0.1%	305.9M	-3.28B	-34.5M	0.62	3.75	103,578	64,260	1,522,322	906,500
2018-02-23	$126.09	$125.00	10.3%	2.9%	12.3%	25.5%	11.3%	-0.7%	-0.0%	349.1M	-3.20B	-33.4M	1.05	4.55	84,464	88,899	1,558,890	913,861
2018-02-26	$126.46	$125.00	10.3%	3.0%	12.3%	25.2%	11.2%	-1.3%	0.0%	416.5M	-3.64B	-32.7M	0.84	4.30	96,526	81,160	1,508,175	874,381
2018-02-27	$125.09	$125.00	10.3%	3.0%	12.8%	25.6%	10.9%	-0.7%	-0.1%	271.7M	-2.15B	-32.1M	0.87	3.86	86,428	74,911	1,527,819	893,737
2018-02-28	$124.98	$125.00	10.3%	3.0%	12.7%	25.1%	11.1%	-0.6%	-0.1%	277.6M	-2.05B	-32.1M	0.65	3.69	86,330	56,232	1,538,542	904,354