GLD Options History — December 2018

In December 2018, GLD traded between $116.32 and $121.23. ATM implied volatility averaged 10.0%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.5% (HV 20d: 7.6%). Max pain ranged from $115.50 to $117.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2018-12-20: Highest Volume — 278,237 contracts
  • 2018-12-24: Largest IV spike — 20.3% change
  • 2018-12-24: Highest IV Rank — 74.3%
  • 2018-12-24: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.35$116.32$121.23$116.32$121.23
Max Pain$116.10$115.50$117.00$115.50$117.00
ATM IV10.0%8.8%11.9%8.8%11.1%
Expected Move2.9%2.6%3.5%2.7%3.1%
HV 20d7.6%6.1%8.8%8.1%8.2%
HV 60d9.8%9.6%10.0%9.9%9.8%
IV Rank34.5%9.4%74.3%9.4%55.8%
IV Percentile44.3%3.2%94.4%3.2%84.9%
Term Structure0.2%-0.2%0.4%0.3%0.1%
VWIV10.9%9.6%13.1%10.5%12.0%
Skew 25d-1.8%-3.9%-0.3%-0.3%-2.9%
Skew 10d-3.1%-6.9%-0.5%-0.5%-4.9%
Call IV 25d11.5%9.2%14.5%9.2%13.5%
Put IV 25d9.7%8.8%11.3%8.9%10.6%
Bid-Ask Spread %3.552.085.892.904.43
Gamma HHI0.090.080.110.080.11
Net GEX515.1M343.4M739.5M350.0M739.5M
Net DEX-4.51B-6.65B-2.71B-2.71B-6.65B
Net VEX-26.2M-28.6M-24.7M-24.9M-27.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.292.330.520.29
Total Volume141,980.4579,154278,23781,757156,148
Total OI2,679,187.52,508,7813,026,1042,508,7812,698,543

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$116.32$115.508.8%2.7%8.1%9.4%10.5%-0.3%0.3%350.0M-2.71B-24.9M0.522.9053,87727,8801,771,780737,001
2018-12-04$117.13$116.009.3%2.8%8.4%18.4%10.0%-1.4%0.2%425.9M-3.49B-25.6M0.412.8972,13229,3051,768,587751,115
2018-12-05$117.07$116.009.5%2.9%8.3%22.9%10.3%-1.4%0.2%423.5M-3.42B-25.2M0.403.5873,87229,8001,768,587751,115
2018-12-06$117.09$116.009.5%2.8%8.3%23.7%10.4%-1.4%0.3%442.5M-3.44B-25.5M0.583.2278,93646,0931,788,567764,182
2018-12-07$117.82$116.009.6%2.9%8.5%26.5%10.5%-1.4%0.3%550.3M-4.32B-25.7M1.112.0846,71751,7241,828,845788,203
2018-12-10$117.67$116.009.9%3.0%7.0%32.1%11.0%-1.8%0.3%487.7M-4.08B-25.8M0.623.5754,08833,2951,832,260758,181
2018-12-11$117.51$116.009.6%2.9%6.5%25.0%10.5%-1.2%0.3%468.4M-3.80B-25.5M0.862.6045,89639,3381,847,990776,625
2018-12-12$117.81$116.009.6%2.8%6.5%24.6%10.5%-1.0%0.2%503.1M-4.16B-25.3M2.332.6236,71285,4251,865,600797,498
2018-12-13$117.49$116.008.9%2.6%6.1%11.8%9.6%-1.0%0.3%404.4M-3.59B-24.7M1.112.9137,54741,6071,871,440857,070
2018-12-14$117.10$116.008.9%2.6%6.3%11.3%9.7%-0.9%0.4%343.4M-3.20B-25.2M0.913.1064,17958,2611,880,222868,731
2018-12-17$117.83$116.0010.0%2.9%6.4%33.2%10.2%-1.6%0.0%505.4M-4.22B-24.7M0.584.5272,69942,3101,880,031856,064
2018-12-18$118.12$116.0010.0%2.9%6.4%34.4%10.8%-2.0%0.1%521.4M-4.54B-25.4M0.815.8999,23180,4361,892,970883,830
2018-12-19$117.58$116.009.6%2.7%6.5%25.3%10.2%-1.6%-0.2%478.5M-3.98B-26.1M0.725.13142,398103,2041,935,980922,841
2018-12-20$119.20$116.0010.3%2.9%7.9%39.7%11.6%-1.9%-0.0%699.7M-5.99B-26.7M0.545.22180,45197,7861,962,663958,556
2018-12-21$118.73$116.009.9%2.9%8.1%32.2%10.2%-1.8%-0.2%553.2M-5.27B-27.3M1.104.6991,01099,8542,030,017996,087
2018-12-24$120.11$116.0011.9%3.5%8.8%74.3%13.1%-3.0%0.1%555.4M-5.58B-28.6M1.002.2769,39869,6821,720,819838,436
2018-12-26$119.76$116.0011.1%3.2%8.3%56.7%12.6%-3.0%0.2%579.3M-5.29B-27.5M0.553.99127,15970,4881,747,799835,173
2018-12-27$120.44$116.5011.7%3.3%8.3%67.9%12.7%-3.9%0.2%614.0M-5.93B-27.7M0.452.40114,44651,9581,777,709869,539
2018-12-28$120.94$117.0011.5%3.3%8.4%63.8%12.3%-3.3%0.2%655.9M-6.43B-28.2M0.663.0499,20265,0651,812,143890,951
2018-12-31$121.23$117.0011.1%3.1%8.2%55.8%12.0%-2.9%0.1%739.5M-6.65B-27.6M0.294.43121,09135,0571,815,287883,256