GLD Options History — October 2018

In October 2018, GLD traded between $112.42 and $116.80. ATM implied volatility averaged 10.7%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.3% (HV 20d: 11.0%). Max pain ranged from $112.00 to $115.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.03.

Notable Days

2018-10-11: Highest Volume — 415,471 contracts
2018-10-11: Largest IV spike — 9.9% change
2018-10-11: Highest IV Rank — 79.2%
2018-10-29: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$114.97	$112.42	$116.80	$112.58	$114.94
Max Pain	$113.59	$112.00	$115.00	$113.50	$115.00
ATM IV	10.7%	9.5%	12.1%	9.5%	10.5%
Expected Move	3.1%	2.7%	3.5%	2.7%	3.2%
HV 20d	11.0%	7.8%	12.8%	7.8%	11.7%
HV 60d	10.3%	9.4%	10.9%	9.4%	10.7%
IV Rank	49.3%	22.5%	79.2%	22.5%	45.1%
IV Percentile	73.8%	23.8%	95.6%	23.8%	72.6%
Term Structure	-0.1%	-0.4%	0.4%	0.3%	0.0%
VWIV	11.3%	9.8%	12.6%	9.8%	11.5%
Skew 25d	-0.9%	-2.0%	0.2%	-0.1%	-1.1%
Skew 10d	-1.4%	-3.4%	0.3%	-0.5%	-2.0%
Call IV 25d	11.6%	10.0%	13.3%	10.0%	11.4%
Put IV 25d	10.7%	9.8%	12.0%	9.8%	10.3%
Bid-Ask Spread %	2.94	2.11	4.39	2.13	2.86
Gamma HHI	0.07	0.05	0.21	0.05	0.06
Net GEX	328.2M	87.1M	713.6M	97.7M	220.5M
Net DEX	-2.08B	-3.38B	-37.0M	-100.3M	-1.56B
Net VEX	-26.9M	-29.9M	-21.8M	-21.8M	-29.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.50	1.77	1.27	0.89
Total Volume	177,553.261	107,626	415,471	113,688	128,816
Total OI	2,529,200.391	2,257,134	2,869,872	2,257,134	2,562,111

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
2018-10-01	$112.58	$113.50	9.5%	2.7%	7.8%	22.5%	9.8%	-0.1%	0.3%	97.7M	-100.3M	-21.8M	1.27	2.13	50,072	63,616	1,732,682	524,452
2018-10-02	$113.80	$113.50	9.7%	2.8%	8.4%	26.8%	10.2%	-0.6%	0.2%	228.6M	-1.07B	-23.4M	0.73	3.27	136,118	99,193	1,750,274	529,200
2018-10-03	$113.38	$113.50	9.7%	2.8%	8.5%	27.2%	10.0%	-0.2%	0.3%	195.1M	-762.7M	-24.2M	1.55	2.34	44,145	68,443	1,818,993	562,354
2018-10-04	$113.50	$113.00	10.0%	2.9%	8.4%	34.8%	10.5%	-0.4%	0.3%	206.9M	-911.0M	-24.8M	1.24	3.32	64,722	80,342	1,824,072	568,790
2018-10-05	$113.85	$113.00	10.0%	2.9%	8.4%	34.7%	11.3%	-0.3%	0.4%	272.2M	-1.11B	-24.4M	0.88	2.43	88,435	77,939	1,846,826	589,807
2018-10-08	$112.42	$113.00	10.9%	3.1%	9.6%	53.1%	11.5%	0.2%	-0.1%	87.1M	-37.0M	-23.8M	1.04	3.80	88,637	92,042	1,863,953	587,174
2018-10-09	$112.52	$113.00	10.5%	3.0%	9.6%	45.1%	10.6%	-0.1%	-0.0%	91.5M	-214.7M	-24.4M	1.29	2.25	56,839	73,602	1,897,784	611,868
2018-10-10	$112.91	$112.00	11.0%	3.1%	9.2%	55.8%	11.4%	-0.4%	-0.1%	164.2M	-617.7M	-25.2M	1.05	3.34	79,143	83,016	1,909,689	634,620
2018-10-11	$115.80	$112.00	12.1%	3.4%	12.8%	79.2%	12.5%	-1.4%	-0.2%	494.4M	-3.38B	-27.6M	0.76	4.39	236,587	178,884	1,933,733	653,334
2018-10-12	$115.27	$113.00	11.4%	3.2%	12.8%	64.5%	11.7%	-0.9%	-0.4%	411.4M	-2.72B	-28.1M	1.35	2.11	120,745	162,638	1,990,390	724,457
2018-10-15	$115.90	$113.00	11.6%	3.3%	12.7%	68.1%	12.0%	-1.3%	-0.4%	453.0M	-3.25B	-28.2M	1.06	2.75	98,795	105,198	1,979,719	753,333
2018-10-16	$115.94	$113.00	10.9%	3.1%	12.7%	54.0%	11.1%	-0.8%	-0.3%	464.5M	-3.19B	-27.8M	1.77	2.86	55,421	97,869	2,002,958	777,469
2018-10-17	$115.70	$114.00	10.8%	3.1%	12.7%	52.2%	11.6%	-0.7%	-0.4%	420.1M	-2.89B	-28.2M	1.05	2.40	77,386	81,368	2,003,515	808,387
2018-10-18	$115.91	$114.00	10.8%	3.1%	12.7%	51.6%	10.9%	-0.9%	-0.3%	458.5M	-3.16B	-28.2M	1.07	2.69	96,059	102,336	2,016,749	816,654
2018-10-19	$116.05	$114.00	10.5%	3.0%	12.3%	44.2%	10.8%	-0.8%	-0.2%	713.6M	-3.30B	-28.5M	0.69	2.57	124,014	85,716	2,041,331	828,541
2018-10-22	$115.67	$114.00	10.2%	3.0%	12.4%	39.2%	10.8%	-0.8%	-0.0%	298.2M	-2.21B	-27.3M	1.60	2.60	41,364	66,262	1,673,645	672,078
2018-10-23	$116.42	$114.00	10.8%	3.2%	12.5%	50.8%	11.7%	-1.3%	-0.1%	376.2M	-2.93B	-28.0M	0.71	2.60	96,914	68,518	1,680,200	685,240
2018-10-24	$116.41	$114.00	11.0%	3.3%	12.3%	56.0%	12.0%	-1.5%	-0.1%	393.1M	-2.95B	-28.4M	1.26	4.09	56,135	70,644	1,716,887	697,526
2018-10-25	$116.40	$114.00	10.7%	3.2%	11.7%	49.7%	11.7%	-1.6%	-0.1%	388.4M	-2.89B	-28.5M	0.84	2.81	87,182	73,255	1,734,770	713,313
2018-10-26	$116.80	$114.00	11.5%	3.5%	11.6%	65.2%	12.5%	-2.0%	-0.1%	433.4M	-3.35B	-29.5M	0.50	3.24	152,696	76,375	1,763,000	726,358
2018-10-29	$116.34	$115.00	11.5%	3.5%	11.7%	65.3%	12.6%	-1.8%	-0.0%	364.6M	-2.94B	-29.9M	0.50	3.12	103,654	52,044	1,746,392	709,664
2018-10-30	$115.74	$115.00	10.7%	3.2%	11.4%	48.7%	12.0%	-1.5%	0.0%	316.1M	-2.36B	-29.1M	0.65	3.68	85,212	55,334	1,786,849	720,468
2018-10-31	$114.94	$115.00	10.5%	3.2%	11.7%	45.1%	11.5%	-1.1%	0.0%	220.5M	-1.56B	-29.3M	0.89	2.86	68,143	60,673	1,825,160	736,951