GLD Options History — July 2018

In July 2018, GLD traded between $115.70 and $119.18. ATM implied volatility averaged 9.9%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.3% (HV 20d: 8.6%). Max pain ranged from $118.00 to $122.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2018-07-11: Highest Volume — 266,615 contracts
2018-07-06: Largest IV drop — 5.9% change
2018-07-19: Highest IV Rank — 55.7%
2018-07-19: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$117.13	$115.70	$119.18	$117.60	$116.01
Max Pain	$119.29	$118.00	$122.00	$122.00	$118.00
ATM IV	9.9%	9.2%	11.0%	10.3%	9.5%
Expected Move	2.9%	2.6%	3.2%	3.0%	2.8%
HV 20d	8.6%	7.3%	9.5%	8.1%	8.3%
HV 60d	8.3%	8.0%	8.7%	8.5%	8.1%
IV Rank	32.5%	16.0%	55.7%	40.5%	24.4%
IV Percentile	38.5%	7.9%	77.4%	54.0%	24.2%
Term Structure	-0.0%	-0.1%	0.1%	0.0%	-0.1%
VWIV	10.5%	9.8%	11.5%	10.7%	10.0%
Skew 25d	-0.3%	-1.0%	0.4%	-0.1%	-0.4%
Skew 10d	-0.9%	-2.0%	0.5%	0.2%	-1.1%
Call IV 25d	10.6%	10.1%	11.4%	10.9%	10.1%
Put IV 25d	10.2%	9.2%	11.7%	10.8%	9.7%
Bid-Ask Spread %	3.37	2.28	4.24	3.17	3.01
Gamma HHI	0.05	0.05	0.08	0.06	0.05
Net GEX	185.6M	-5.8M	279.4M	99.9M	244.6M
Net DEX	28.5M	-1.06B	1.12B	453.2M	82.0M
Net VEX	-25.7M	-29.0M	-23.5M	-25.6M	-24.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.29	0.82	0.52	0.40
Total Volume	183,072.19	118,500	266,615	206,671	192,063
Total OI	2,556,940.143	2,339,354	2,805,704	2,339,354	2,685,184

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
2018-07-02	$117.60	$122.00	10.3%	3.0%	8.1%	40.5%	10.7%	-0.1%	0.0%	99.9M	453.2M	-25.6M	0.52	3.17	136,227	70,444	1,811,613	527,741
2018-07-03	$118.65	$122.00	10.0%	2.8%	8.8%	34.6%	10.4%	-0.8%	0.1%	215.2M	-587.2M	-27.9M	0.50	4.07	115,551	57,567	1,875,828	539,276
2018-07-05	$119.05	$120.00	9.9%	2.9%	8.9%	32.4%	11.0%	-1.0%	0.1%	263.6M	-1.05B	-29.0M	0.49	4.24	101,315	49,901	1,909,180	543,276
2018-07-06	$118.86	$120.00	9.3%	2.7%	8.9%	19.8%	10.3%	-0.9%	0.1%	276.9M	-918.1M	-28.2M	0.54	2.28	91,901	49,977	1,964,729	547,463
2018-07-09	$119.18	$120.00	9.2%	2.6%	9.0%	16.0%	10.0%	-1.0%	0.0%	251.3M	-1.06B	-27.1M	0.60	3.20	74,369	44,957	1,930,486	534,841
2018-07-10	$118.96	$120.00	9.3%	2.7%	8.9%	19.9%	10.0%	-0.8%	0.1%	213.0M	-806.1M	-26.8M	0.62	3.38	73,357	45,143	1,937,826	541,183
2018-07-11	$117.67	$120.00	9.9%	2.8%	9.5%	31.1%	10.6%	-0.1%	0.0%	108.3M	227.0M	-25.3M	0.40	3.88	190,036	76,579	1,948,750	540,997
2018-07-12	$118.07	$120.00	9.5%	2.7%	9.5%	24.1%	9.8%	-0.5%	0.1%	135.6M	-198.6M	-26.3M	0.53	2.62	109,436	57,907	2,015,261	556,757
2018-07-13	$117.57	$120.00	9.7%	2.8%	9.4%	27.7%	9.9%	-0.0%	-0.1%	-5.8M	262.3M	-25.5M	0.60	2.97	116,061	69,643	2,027,993	561,914
2018-07-16	$117.53	$120.00	10.0%	2.9%	7.3%	33.9%	10.6%	-0.1%	-0.0%	96.1M	240.8M	-24.9M	0.81	3.24	90,084	73,156	2,039,346	559,599
2018-07-17	$116.28	$120.00	10.2%	2.9%	8.0%	38.9%	10.8%	0.3%	-0.0%	77.2M	1.12B	-23.5M	0.82	2.85	102,288	84,297	2,060,813	570,626
2018-07-18	$116.24	$119.00	10.7%	3.1%	8.0%	48.5%	10.8%	0.4%	-0.1%	70.0M	1.06B	-23.9M	0.51	3.39	148,196	75,029	2,086,565	577,391
2018-07-19	$115.76	$118.00	11.0%	3.2%	8.0%	55.7%	11.5%	0.3%	-0.1%	153.2M	1.00B	-24.3M	0.60	4.10	153,953	92,636	2,151,705	582,242
2018-07-20	$116.48	$118.00	10.6%	3.1%	8.5%	47.8%	11.2%	-0.2%	-0.1%	268.4M	304.5M	-25.9M	0.57	3.58	134,281	76,818	2,204,578	601,126
2018-07-23	$115.98	$118.00	10.6%	3.0%	8.4%	46.2%	11.3%	-0.1%	-0.1%	251.5M	-75.6M	-25.5M	0.54	2.59	135,117	73,009	1,889,533	519,016
2018-07-24	$115.98	$118.00	10.1%	2.9%	8.4%	36.3%	10.4%	-0.3%	-0.1%	236.9M	134.1M	-24.9M	0.66	3.40	90,489	59,851	1,954,424	546,318
2018-07-25	$116.62	$118.00	10.0%	2.9%	8.7%	33.4%	10.4%	-0.7%	-0.1%	279.4M	-423.6M	-25.5M	0.46	4.14	103,436	47,787	1,966,886	556,788
2018-07-26	$115.77	$118.00	9.7%	2.8%	8.8%	26.9%	10.3%	-0.3%	-0.0%	224.4M	265.0M	-24.8M	0.53	3.03	122,031	64,561	1,993,408	561,739
2018-07-27	$115.84	$118.00	9.5%	2.8%	8.8%	23.2%	10.1%	-0.4%	-0.1%	224.5M	246.5M	-25.0M	0.29	3.49	175,595	51,348	2,039,821	581,141
2018-07-30	$115.70	$118.00	9.4%	2.8%	8.6%	21.6%	10.3%	-0.5%	0.0%	212.8M	314.2M	-24.3M	0.32	4.19	127,640	40,480	2,074,660	577,720
2018-07-31	$116.01	$118.00	9.5%	2.8%	8.3%	24.4%	10.0%	-0.4%	-0.1%	244.6M	82.0M	-24.8M	0.40	3.01	137,022	55,041	2,103,385	581,799