GLD Options History — September 2018

In September 2018, GLD traded between $112.09 and $114.27. ATM implied volatility averaged 9.6%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.3% (HV 20d: 9.9%). Max pain ranged from $113.00 to $115.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.08.

Notable Days

  • 2018-09-26: Highest Volume — 154,327 contracts
  • 2018-09-24: Largest IV spike — 2.5% change
  • 2018-09-06: Highest IV Rank — 38.2%
  • 2018-09-06: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.35$112.09$114.27$112.84$112.81
Max Pain$113.82$113.00$115.00$115.00$113.50
ATM IV9.6%9.2%10.2%10.1%9.2%
Expected Move2.8%2.7%2.9%2.9%2.7%
HV 20d9.9%7.1%12.1%12.1%7.8%
HV 60d9.4%9.0%9.8%9.7%9.3%
IV Rank26.6%17.4%38.2%36.9%17.4%
IV Percentile30.0%10.7%54.0%50.8%10.7%
Term Structure-0.0%-0.1%0.1%-0.1%0.1%
VWIV10.0%9.6%10.8%10.2%9.7%
Skew 25d-0.2%-0.8%0.2%0.2%-0.3%
Skew 10d-0.6%-1.6%0.2%0.2%-0.6%
Call IV 25d10.2%9.7%10.6%10.4%9.7%
Put IV 25d9.9%9.4%10.6%10.6%9.4%
Bid-Ask Spread %2.401.743.652.312.38
Gamma HHI0.050.040.060.050.05
Net GEX134.6M36.5M241.8M93.3M118.7M
Net DEX-119.9M-788.9M467.9M467.9M-165.4M
Net VEX-23.3M-25.2M-20.9M-23.8M-22.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.811.341.001.09
Total Volume124,837.68484,330154,327135,178147,981
Total OI2,664,475.1052,230,3662,853,5282,733,9462,338,099

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$112.84$115.0010.1%2.9%12.1%36.9%10.2%0.2%-0.1%93.3M467.9M-23.8M1.002.3167,59567,5832,114,211619,735
2018-09-05$113.26$115.0010.0%2.8%12.1%34.4%10.2%0.0%-0.1%127.1M145.5M-24.3M0.952.2971,32167,4402,130,532634,825
2018-09-06$113.51$113.0010.2%2.9%12.1%38.2%10.5%0.0%-0.1%158.6M-140.9M-25.2M1.262.2165,22382,2112,145,747639,370
2018-09-07$113.19$113.009.9%2.8%12.1%32.8%10.4%0.2%0.0%106.5M156.7M-24.7M1.103.6560,73366,6002,157,757639,564
2018-09-10$113.09$113.0010.0%2.8%12.1%34.0%10.8%0.2%-0.1%113.3M195.2M-23.8M1.343.0644,25559,4662,145,188631,351
2018-09-11$113.20$113.009.9%2.8%11.1%32.6%10.1%0.2%0.0%121.2M103.8M-23.9M1.062.8554,61857,7662,152,761631,894
2018-09-12$114.15$113.009.8%2.8%11.5%29.8%10.1%-0.4%0.0%230.8M-676.4M-24.7M1.101.8867,40874,2792,160,088637,619
2018-09-13$113.62$114.009.7%2.8%9.6%28.3%10.1%-0.3%-0.0%182.0M-223.2M-24.2M1.263.2855,81670,3552,172,793637,503
2018-09-14$113.00$114.009.5%2.7%9.9%24.2%9.8%0.1%0.0%50.8M400.3M-22.9M1.271.9054,46769,1202,175,045647,415
2018-09-17$113.64$114.009.5%2.7%9.8%23.9%9.7%-0.3%-0.1%132.1M-190.9M-23.1M0.942.0361,54557,7962,165,943643,794
2018-09-18$113.39$114.009.4%2.7%9.7%22.5%9.7%-0.3%-0.1%98.7M38.5M-23.1M1.311.9141,76554,7682,182,023648,444
2018-09-19$113.87$114.009.4%2.7%9.7%20.6%9.7%-0.7%0.0%175.1M-456.4M-22.9M1.091.9956,36561,3092,176,970644,204
2018-09-20$114.27$114.009.3%2.7%9.7%20.2%9.6%-0.7%0.0%241.8M-788.9M-23.2M1.032.0151,67453,4642,193,047646,128
2018-09-21$113.42$114.009.4%2.7%9.6%20.7%9.7%-0.6%0.1%120.6M-2.7M-22.5M0.811.9072,62559,0722,195,972657,556
2018-09-24$113.54$114.009.6%2.8%7.5%25.7%10.0%-0.8%-0.0%158.4M-579.4M-22.6M0.882.8459,02152,1441,719,354511,012
2018-09-25$113.67$114.009.4%2.7%7.3%22.5%10.0%-0.7%0.1%178.3M-685.4M-22.8M1.072.5840,80143,5291,736,587522,229
2018-09-26$113.07$114.009.4%2.7%7.1%20.8%9.7%-0.4%0.0%113.9M-251.3M-21.6M0.831.7484,34469,9831,743,935522,104
2018-09-27$112.09$114.009.4%2.7%7.5%20.8%9.9%-0.0%0.0%36.5M375.3M-20.9M1.142.7069,02578,4491,772,252531,976
2018-09-28$112.81$113.509.2%2.7%7.8%17.4%9.7%-0.3%0.1%118.7M-165.4M-22.0M1.092.3870,87377,1081,793,378544,721