GLD Options History — May 2018

In May 2018, GLD traded between $122.25 and $125.23. ATM implied volatility averaged 9.7%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.8% (HV 20d: 8.9%). Max pain ranged from $124.00 to $126.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.87.

Notable Days

2018-05-15: Highest Volume — 267,057 contracts
2018-05-29: Largest IV spike — 18.4% change
2018-05-29: Highest IV Rank — 50.0%
2018-05-29: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$123.57	$122.25	$125.23	$123.73	$123.15
Max Pain	$124.84	$124.00	$126.00	$126.00	$124.00
ATM IV	9.7%	9.1%	10.7%	10.0%	9.4%
Expected Move	2.9%	2.6%	3.3%	2.9%	2.9%
HV 20d	8.9%	7.8%	9.6%	9.4%	8.3%
HV 60d	10.5%	9.9%	11.1%	11.1%	9.9%
IV Rank	28.0%	14.2%	50.0%	33.2%	22.3%
IV Percentile	22.4%	4.0%	67.1%	29.4%	13.1%
Term Structure	0.1%	-0.2%	0.5%	0.1%	-0.1%
VWIV	10.6%	9.7%	12.3%	10.7%	11.0%
Skew 25d	-0.8%	-1.8%	0.0%	-0.8%	-1.7%
Skew 10d	-1.6%	-3.1%	-0.0%	-1.8%	-2.6%
Call IV 25d	10.6%	9.9%	12.3%	10.9%	10.9%
Put IV 25d	9.8%	8.9%	10.7%	10.1%	9.2%
Bid-Ask Spread %	5.36	2.12	7.64	6.17	5.24
Gamma HHI	0.07	0.06	0.08	0.06	0.07
Net GEX	151.2M	-153.3M	381.6M	69.7M	211.8M
Net DEX	-965.9M	-2.14B	730.4M	-550.6M	-1.51B
Net VEX	-26.8M	-29.7M	-24.4M	-28.9M	-26.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.54	1.17	0.94	0.90
Total Volume	150,699.227	89,153	267,057	137,699	113,971
Total OI	2,514,885.727	2,214,141	2,813,533	2,547,882	2,404,191

Daily Data (22 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
2018-05-01	$123.73	$126.00	10.0%	2.9%	9.4%	33.2%	10.7%	-0.8%	0.1%	69.7M	-550.6M	-28.9M	0.94	6.17	71,134	66,565	1,688,936	858,946
2018-05-02	$123.67	$126.00	9.8%	2.9%	9.4%	30.9%	10.6%	-0.5%	0.1%	43.6M	-467.6M	-28.9M	0.95	7.64	65,853	62,884	1,704,218	876,977
2018-05-03	$124.44	$125.00	9.8%	2.9%	9.6%	30.0%	10.6%	-0.9%	0.1%	167.6M	-1.34B	-29.7M	1.03	4.82	54,080	55,596	1,723,558	892,573
2018-05-04	$124.57	$125.00	9.4%	2.8%	9.3%	21.3%	10.4%	-0.6%	0.2%	234.2M	-1.36B	-28.6M	1.00	6.16	58,164	58,108	1,732,007	897,307
2018-05-07	$124.56	$125.00	9.6%	2.9%	9.3%	25.6%	10.6%	-0.8%	0.5%	159.5M	-1.36B	-27.9M	0.96	5.94	45,572	43,581	1,703,628	877,619
2018-05-08	$124.67	$125.00	9.8%	2.9%	9.2%	29.1%	10.8%	-1.1%	0.4%	214.3M	-1.51B	-27.8M	0.67	5.60	73,624	49,332	1,709,082	881,735
2018-05-09	$124.25	$125.00	9.7%	2.9%	8.6%	26.8%	10.3%	-0.9%	0.3%	125.6M	-1.02B	-27.1M	0.71	6.07	62,727	44,343	1,723,326	886,114
2018-05-10	$125.23	$125.00	9.7%	2.9%	8.3%	27.5%	10.5%	-1.0%	0.4%	280.1M	-2.06B	-27.6M	0.80	5.70	67,273	54,039	1,726,918	886,124
2018-05-11	$125.06	$125.00	9.3%	2.8%	7.8%	20.2%	10.9%	-0.9%	0.4%	234.4M	-1.86B	-26.9M	0.66	6.04	93,320	61,507	1,734,781	891,148
2018-05-14	$124.52	$125.00	9.7%	2.8%	7.8%	28.1%	10.2%	-0.8%	-0.1%	110.2M	-1.21B	-25.9M	0.90	5.66	57,476	51,730	1,721,817	883,904
2018-05-15	$122.44	$125.00	10.3%	3.0%	9.6%	40.8%	10.9%	-0.2%	-0.2%	-153.3M	730.4M	-24.4M	0.63	5.60	163,743	103,314	1,727,632	882,658
2018-05-16	$122.36	$125.00	10.0%	2.9%	9.5%	34.0%	10.3%	0.0%	-0.1%	-89.5M	620.9M	-25.1M	0.99	5.21	88,840	87,930	1,796,540	905,190
2018-05-17	$122.25	$125.00	10.1%	2.9%	9.5%	35.6%	11.2%	0.0%	-0.0%	-81.8M	696.8M	-24.8M	0.54	4.83	153,126	82,364	1,820,055	921,164
2018-05-18	$122.53	$125.00	9.5%	2.7%	9.4%	23.1%	9.8%	-0.3%	-0.1%	171.6M	285.5M	-25.2M	1.17	4.81	76,847	90,002	1,897,162	916,371
2018-05-21	$122.47	$125.00	9.9%	2.9%	9.1%	32.2%	10.8%	-0.5%	-0.1%	145.3M	-688.1M	-26.0M	0.90	4.59	77,183	69,752	1,451,186	762,955
2018-05-22	$122.40	$124.50	9.4%	2.7%	8.7%	22.1%	10.2%	-0.5%	0.0%	153.1M	-684.0M	-25.4M	0.99	4.62	81,505	80,460	1,476,910	769,166
2018-05-23	$122.59	$125.00	9.6%	2.8%	8.5%	25.3%	10.4%	-1.0%	0.0%	174.3M	-883.7M	-26.6M	0.76	2.12	87,418	66,271	1,493,657	792,415
2018-05-24	$123.72	$124.00	9.5%	2.8%	9.2%	23.1%	10.5%	-1.2%	0.1%	381.6M	-2.14B	-27.0M	0.81	4.12	112,389	90,541	1,513,830	789,815
2018-05-25	$123.33	$124.00	9.1%	2.6%	9.0%	14.2%	9.7%	-1.0%	-0.1%	298.5M	-1.55B	-26.0M	1.11	6.14	77,838	86,450	1,521,656	806,125
2018-05-29	$123.30	$124.00	10.7%	3.3%	8.8%	50.0%	12.3%	-1.8%	-0.1%	199.6M	-1.66B	-27.0M	0.68	5.40	114,193	77,181	1,506,112	802,282
2018-05-30	$123.40	$124.00	9.4%	2.9%	8.3%	21.2%	10.8%	-1.6%	0.0%	277.0M	-1.71B	-25.7M	1.13	5.38	64,434	72,723	1,555,886	813,810
2018-05-31	$123.15	$124.00	9.4%	2.9%	8.3%	22.3%	11.0%	-1.7%	-0.1%	211.8M	-1.51B	-26.4M	0.90	5.24	59,883	54,088	1,563,819	840,372