GLD Options History — June 2018

In June 2018, GLD traded between $118.19 and $123.51. ATM implied volatility averaged 9.2%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.6% (HV 20d: 7.6%). Max pain ranged from $122.00 to $124.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2018-06-15: Highest Volume — 382,050 contracts
  • 2018-06-19: Largest IV spike — 9.2% change
  • 2018-06-28: Highest IV Rank — 28.9%
  • 2018-06-28: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.33$118.19$123.51$122.54$118.57
Max Pain$122.24$122.00$124.00$124.00$122.00
ATM IV9.2%8.6%9.8%9.2%9.4%
Expected Move2.7%2.5%2.8%2.8%2.7%
HV 20d7.6%4.8%8.3%8.1%7.8%
HV 60d9.4%8.4%9.9%9.9%8.4%
IV Rank17.9%4.2%28.9%17.0%21.3%
IV Percentile12.0%1.2%31.3%6.3%15.9%
Term Structure0.0%-0.1%0.3%-0.1%0.2%
VWIV10.0%8.8%11.3%10.1%9.6%
Skew 25d-0.9%-2.0%0.2%-0.9%-0.2%
Skew 10d-1.9%-4.0%0.3%-2.1%-0.4%
Call IV 25d10.2%9.5%10.8%10.1%9.7%
Put IV 25d9.2%8.1%10.2%9.1%9.5%
Bid-Ask Spread %4.533.816.054.263.84
Gamma HHI0.070.050.140.070.06
Net GEX164.4M-148.4M464.8M147.6M90.8M
Net DEX-492.8M-1.81B764.6M-677.0M308.2M
Net VEX-24.0M-25.6M-22.7M-24.8M-25.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.341.080.920.43
Total Volume176,836.28698,724382,050137,880230,796
Total OI2,329,159.7141,899,2292,662,8492,424,3682,388,509

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$122.54$124.009.2%2.8%8.1%17.0%10.1%-0.9%-0.1%147.6M-677.0M-24.8M0.924.2671,76666,1141,577,315847,053
2018-06-04$122.41$122.009.0%2.6%8.1%13.3%9.5%-1.1%0.0%141.3M-716.9M-24.4M0.864.3953,01645,7081,561,711829,173
2018-06-05$122.90$122.009.0%2.6%8.3%12.3%10.5%-1.3%0.1%244.3M-1.23B-24.2M0.474.68113,34353,4091,581,391833,759
2018-06-06$122.89$122.008.8%2.5%8.3%8.1%9.3%-1.4%0.1%261.1M-1.25B-24.8M0.465.05111,20051,3461,633,871838,701
2018-06-07$122.90$122.008.9%2.6%8.2%11.8%9.8%-1.8%0.1%279.4M-1.24B-24.6M0.584.8096,85156,3181,686,079841,661
2018-06-08$123.08$122.009.2%2.6%7.7%16.7%9.6%-1.8%0.1%385.5M-1.51B-25.2M1.084.8757,66462,4111,727,592849,724
2018-06-11$123.17$122.009.2%2.7%7.7%17.5%10.0%-1.6%0.1%330.9M-1.58B-24.8M0.784.4368,84754,0261,709,840840,551
2018-06-12$122.78$122.009.3%2.7%7.6%19.0%9.6%-1.4%0.0%256.6M-1.08B-24.0M0.896.0572,93964,9531,738,752846,915
2018-06-13$123.25$122.009.2%2.6%4.8%17.0%9.5%-1.8%-0.0%304.1M-1.39B-24.0M0.795.2885,81668,1481,752,972847,724
2018-06-14$123.51$123.008.6%2.5%4.8%4.2%8.8%-2.0%0.3%464.8M-1.81B-24.1M0.974.1480,81578,0901,771,298861,876
2018-06-15$121.28$123.009.2%2.6%8.2%16.2%10.2%-0.8%0.1%-148.4M420.1M-22.8M0.863.81205,040177,0101,784,282878,567
2018-06-18$121.11$123.008.7%2.5%8.2%7.1%10.4%-0.7%0.0%150.1M-357.1M-22.8M0.513.89113,39758,0121,390,478508,751
2018-06-19$120.87$122.009.5%2.7%8.2%24.2%10.1%-0.8%-0.0%145.0M-325.9M-23.3M0.813.8179,29963,9411,422,867519,190
2018-06-20$120.24$122.009.6%2.7%8.3%24.9%11.3%-0.8%-0.1%96.4M6.7M-23.4M0.664.8492,07260,9581,453,860532,329
2018-06-21$120.12$122.009.6%2.8%8.3%26.2%10.4%-0.5%-0.1%87.7M83.7M-23.3M1.043.9388,78392,7271,490,844535,665
2018-06-22$120.33$122.009.3%2.7%7.5%18.8%9.7%-0.5%-0.0%66.7M12.6M-23.4M0.674.2484,58056,7711,510,502565,727
2018-06-25$119.91$122.009.5%2.7%7.5%24.1%10.2%-0.3%0.1%69.8M153.4M-22.7M0.483.95123,38959,6971,501,529544,707
2018-06-26$119.23$122.009.5%2.7%7.6%23.5%10.5%-0.3%0.1%33.9M402.2M-23.5M0.344.02186,00162,7301,564,176555,781
2018-06-27$118.60$122.009.5%2.8%7.6%24.4%9.9%0.2%0.1%27.3M660.3M-24.2M0.405.18192,85077,6261,667,271564,621
2018-06-28$118.19$122.009.8%2.8%7.7%28.9%10.0%0.1%0.1%16.7M764.6M-24.5M0.695.63115,53779,5661,786,851567,889
2018-06-29$118.57$122.009.4%2.7%7.8%21.3%9.6%-0.2%0.2%90.8M308.2M-25.6M0.433.84161,67569,1211,811,545576,964