GLD Options History — August 2018

In August 2018, GLD traded between $111.15 and $115.18. ATM implied volatility averaged 10.2%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.7% (HV 20d: 9.6%). Max pain ranged from $115.00 to $118.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.60.

Notable Days

2018-08-15: Highest Volume — 265,234 contracts
2018-08-15: Largest IV spike — 9.3% change
2018-08-16: Highest IV Rank — 68.9%
2018-08-16: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$113.61	$111.15	$115.18	$115.18	$113.56
Max Pain	$116.30	$115.00	$118.00	$118.00	$115.00
ATM IV	10.2%	9.2%	11.6%	9.4%	9.7%
Expected Move	2.9%	2.6%	3.3%	2.7%	2.7%
HV 20d	9.6%	7.2%	12.3%	7.8%	12.0%
HV 60d	8.6%	7.5%	9.7%	8.2%	9.7%
IV Rank	38.9%	17.5%	68.9%	20.7%	27.5%
IV Percentile	50.3%	10.7%	88.1%	15.5%	32.1%
Term Structure	0.1%	-0.1%	0.2%	0.0%	0.1%
VWIV	10.8%	9.4%	12.2%	9.6%	10.0%
Skew 25d	-0.1%	-0.8%	0.5%	0.1%	0.1%
Skew 10d	-0.3%	-1.6%	0.8%	-0.0%	0.0%
Call IV 25d	10.7%	9.6%	12.0%	9.7%	10.0%
Put IV 25d	10.6%	9.6%	12.3%	9.8%	10.0%
Bid-Ask Spread %	3.06	1.26	5.24	4.58	2.81
Gamma HHI	0.05	0.04	0.05	0.05	0.05
Net GEX	140.3M	-27.6M	302.3M	171.1M	179.4M
Net DEX	815.1M	-979.7M	2.90B	777.2M	-71.8M
Net VEX	-23.0M	-25.6M	-18.6M	-24.0M	-25.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.25	1.04	0.30	1.04
Total Volume	193,328.783	128,873	265,234	228,022	128,873
Total OI	2,764,736.304	2,530,923	3,066,749	2,735,651	2,773,639

Daily Data (23 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
2018-08-01	$115.18	$118.00	9.4%	2.7%	7.8%	20.7%	9.6%	0.1%	0.0%	171.1M	777.2M	-24.0M	0.30	4.58	174,973	53,049	2,148,790	586,861
2018-08-02	$114.52	$118.00	9.6%	2.8%	7.7%	26.4%	10.0%	0.4%	0.0%	87.7M	1.36B	-22.4M	0.32	3.33	191,957	60,697	2,189,033	596,156
2018-08-03	$114.94	$118.00	9.2%	2.6%	8.0%	17.5%	9.4%	-0.0%	0.1%	198.9M	923.4M	-24.0M	0.36	3.38	151,877	54,650	2,200,607	605,803
2018-08-06	$114.33	$117.00	9.5%	2.8%	7.9%	23.3%	10.1%	0.1%	0.1%	86.4M	1.47B	-21.7M	0.32	3.83	166,410	53,183	2,182,123	595,042
2018-08-07	$114.56	$117.00	9.6%	2.8%	8.1%	25.2%	10.7%	-0.1%	0.1%	135.8M	1.20B	-22.8M	0.25	5.24	192,914	48,685	2,218,410	599,337
2018-08-08	$114.93	$117.00	9.7%	2.8%	7.5%	27.9%	10.2%	-0.3%	0.1%	191.4M	764.2M	-24.0M	0.31	3.50	140,537	43,159	2,233,512	603,365
2018-08-09	$114.80	$117.00	9.5%	2.8%	7.3%	22.6%	10.4%	-0.4%	0.2%	167.7M	845.9M	-23.7M	0.41	1.26	117,222	48,474	2,233,772	602,241
2018-08-10	$114.68	$117.00	10.2%	3.0%	7.2%	37.4%	11.0%	-0.8%	0.1%	162.7M	850.1M	-23.8M	0.38	3.94	142,066	53,352	2,246,954	609,709
2018-08-13	$113.11	$117.00	10.7%	3.0%	8.5%	48.0%	10.9%	-0.2%	-0.1%	45.1M	1.96B	-21.0M	0.55	1.42	143,212	78,912	2,236,980	599,007
2018-08-14	$113.08	$117.00	10.4%	3.0%	7.8%	43.3%	10.8%	-0.2%	-0.0%	45.1M	1.93B	-21.1M	0.44	3.37	106,029	47,058	2,272,419	616,480
2018-08-15	$111.15	$117.00	11.4%	3.2%	9.6%	64.0%	12.2%	0.5%	-0.1%	-27.6M	2.90B	-18.6M	0.72	3.74	154,547	110,687	2,285,362	619,388
2018-08-16	$111.15	$116.00	11.6%	3.3%	9.6%	68.9%	12.2%	0.3%	-0.1%	-22.9M	2.72B	-19.6M	0.63	2.42	148,854	93,994	2,333,340	643,280
2018-08-17	$111.94	$116.00	11.3%	3.2%	9.7%	61.3%	11.5%	0.1%	-0.1%	37.6M	2.18B	-21.8M	0.60	2.91	133,622	80,294	2,394,659	672,090
2018-08-20	$112.58	$116.00	10.9%	3.1%	10.0%	54.1%	11.9%	0.1%	0.1%	117.1M	588.2M	-22.6M	0.61	2.96	92,927	56,951	1,993,403	537,520
2018-08-21	$112.97	$116.00	10.6%	3.0%	10.2%	47.2%	11.4%	-0.1%	0.2%	155.0M	266.1M	-23.7M	0.65	2.51	91,923	59,600	2,010,711	546,073
2018-08-22	$113.21	$116.00	10.5%	3.0%	10.0%	44.9%	11.0%	-0.0%	0.1%	177.8M	103.3M	-23.6M	0.59	2.60	96,628	57,432	2,034,153	547,818
2018-08-23	$112.20	$115.00	10.3%	2.9%	10.1%	41.0%	10.8%	-0.1%	0.2%	89.4M	775.3M	-22.3M	0.96	3.32	101,704	97,137	2,059,942	558,919
2018-08-24	$114.07	$115.00	10.3%	2.9%	12.0%	40.4%	11.0%	-0.4%	0.1%	302.3M	-861.4M	-25.6M	0.89	2.74	131,169	116,635	2,088,002	571,617
2018-08-27	$114.53	$115.00	10.4%	3.0%	12.1%	43.3%	10.8%	-0.4%	0.0%	285.2M	-979.7M	-25.2M	0.73	2.25	95,921	70,394	2,079,048	563,675
2018-08-28	$113.68	$115.00	10.2%	2.9%	12.3%	39.3%	10.7%	-0.1%	-0.0%	210.4M	-219.9M	-23.5M	0.83	2.69	74,153	61,476	2,093,209	567,327
2018-08-29	$114.15	$115.00	10.0%	2.8%	12.2%	34.7%	10.4%	0.0%	0.0%	247.0M	-549.0M	-24.7M	1.03	2.32	82,196	84,815	2,107,396	579,270
2018-08-30	$113.64	$115.00	10.1%	2.8%	12.1%	36.0%	10.4%	0.0%	0.1%	185.1M	-180.2M	-24.9M	0.84	3.24	84,892	71,322	2,133,946	618,547
2018-08-31	$113.56	$115.00	9.7%	2.7%	12.0%	27.5%	10.0%	0.1%	0.1%	179.4M	-71.8M	-25.2M	1.04	2.81	63,078	65,795	2,138,961	634,678