GLD Options History — March 2018

In March 2018, GLD traded between $124.29 and $128.28. ATM implied volatility averaged 10.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.5% (HV 20d: 10.6%). Max pain ranged from $125.00 to $126.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2018-03-21: Highest Volume — 284,452 contracts
  • 2018-03-23: Largest IV spike — 16.7% change
  • 2018-03-23: Highest IV Rank — 44.0%
  • 2018-03-23: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.78$124.29$128.28$124.77$125.75
Max Pain$125.71$125.00$126.00$125.00$125.50
ATM IV10.1%8.9%11.7%10.7%9.6%
Expected Move2.9%2.6%3.4%3.2%2.7%
HV 20d10.6%7.6%12.5%12.4%11.6%
HV 60d10.4%9.9%11.3%10.3%11.1%
IV Rank23.0%6.4%44.0%31.2%16.6%
IV Percentile33.6%2.0%82.5%53.2%15.5%
Term Structure0.0%-0.3%0.3%-0.3%0.3%
VWIV10.7%9.3%12.6%11.8%10.1%
Skew 25d-1.0%-2.5%-0.1%-1.1%-1.1%
Skew 10d-1.8%-4.6%0.1%-2.3%-2.4%
Call IV 25d11.1%9.2%13.8%11.9%10.7%
Put IV 25d10.1%9.1%11.3%10.8%9.5%
Bid-Ask Spread %5.364.118.948.944.11
Gamma HHI0.090.060.180.070.07
Net GEX438.0M66.1M964.8M265.6M328.3M
Net DEX-2.97B-5.37B-1.05B-1.91B-2.64B
Net VEX-30.8M-32.7M-28.2M-32.3M-30.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.531.170.761.17
Total Volume177,294.714114,586284,452269,207138,117
Total OI2,399,613.3332,052,8842,611,6162,468,5062,323,055

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$124.77$125.0010.7%3.2%12.4%31.2%11.8%-1.1%-0.3%265.6M-1.91B-32.3M0.768.94153,253115,9541,557,491911,015
2018-03-02$125.38$125.0010.3%3.0%12.5%25.5%10.7%-1.0%-0.0%447.3M-2.79B-32.5M0.806.16100,33280,2911,611,097918,504
2018-03-05$125.14$126.0010.4%3.0%11.3%26.2%10.8%-0.8%-0.1%363.2M-2.44B-31.4M0.655.0475,30248,9261,576,388901,566
2018-03-06$126.48$126.0010.8%3.0%11.8%31.8%11.0%-1.4%-0.1%546.1M-4.16B-32.4M0.574.71140,50579,4281,595,459908,793
2018-03-07$125.69$126.0010.8%3.1%11.2%32.7%11.7%-0.9%-0.1%451.6M-3.13B-32.7M0.714.5187,89262,0051,608,959923,326
2018-03-08$125.40$126.0010.1%2.9%11.1%23.2%10.8%-0.5%-0.0%409.7M-2.69B-31.5M0.585.0783,74948,7221,624,322931,534
2018-03-09$125.50$126.009.7%2.8%11.1%16.9%10.0%-0.7%0.0%461.9M-2.84B-31.1M0.774.4081,99263,4561,632,148936,425
2018-03-12$125.52$126.009.8%2.8%11.1%18.6%10.2%-0.5%0.1%427.7M-2.82B-30.3M0.754.7876,73857,6561,603,674918,355
2018-03-13$125.75$126.009.4%2.7%11.0%13.2%10.5%-0.7%0.1%500.8M-3.21B-29.7M0.996.3668,67168,1061,612,947936,303
2018-03-14$125.67$126.009.2%2.7%10.7%10.8%9.8%-0.8%0.2%512.0M-3.03B-29.1M0.915.5259,98554,6011,615,217947,936
2018-03-15$124.87$126.009.2%2.6%8.8%10.0%9.8%-0.3%0.1%401.4M-1.74B-28.7M0.805.3591,90573,5551,623,488955,325
2018-03-16$124.60$126.008.9%2.6%8.8%6.4%9.3%-0.1%0.1%66.1M-1.05B-28.2M1.085.4297,144105,3461,645,978965,638
2018-03-19$124.88$126.009.8%2.8%8.8%18.4%10.4%-0.7%-0.0%223.3M-1.89B-28.9M0.535.24131,31769,3061,322,025730,859
2018-03-20$124.29$125.509.9%2.8%7.6%19.6%10.1%-0.2%-0.1%211.0M-1.55B-29.1M1.005.3767,02467,1251,378,670742,032
2018-03-21$126.55$125.509.8%2.8%10.0%18.9%10.1%-0.7%-0.1%557.4M-3.64B-29.7M0.916.62148,764135,6881,392,593746,578
2018-03-22$126.03$125.5010.0%2.9%9.9%21.7%10.3%-0.9%-0.1%494.1M-3.20B-31.2M1.014.5987,84888,4401,445,807793,104
2018-03-23$127.64$125.5011.7%3.4%10.9%44.0%12.6%-2.5%-0.2%964.8M-5.21B-32.6M0.816.12154,525125,5331,469,491801,802
2018-03-26$128.28$125.5011.4%3.3%10.9%40.3%12.2%-2.1%-0.1%634.2M-5.37B-31.6M0.874.36104,90291,6911,439,168789,678
2018-03-27$127.50$125.5010.7%3.1%10.4%31.2%11.8%-1.9%0.1%598.7M-4.47B-31.5M0.885.5186,40675,7751,455,554804,516
2018-03-28$125.72$125.5010.3%2.9%11.7%25.2%11.1%-1.5%0.3%332.0M-2.67B-31.5M0.854.4594,93580,2791,479,976815,084
2018-03-29$125.75$125.509.6%2.7%11.6%16.6%10.1%-1.1%0.3%328.3M-2.64B-30.6M1.174.1163,62474,4931,503,861819,194