GLD Options History — March 2019

In March 2019, GLD traded between $121.44 and $124.87. ATM implied volatility averaged 9.1%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 1.9% (HV 20d: 11.0%). Max pain ranged from $122.00 to $123.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2019-03-01: Highest Volume — 283,913 contracts
  • 2019-03-26: Largest IV drop — 6.4% change
  • 2019-03-25: Highest IV Rank — 32.8%
  • 2019-03-25: Largest Expected Move — 2.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.89$121.44$124.87$122.10$122.06
Max Pain$122.43$122.00$123.00$122.00$123.00
ATM IV9.1%8.8%9.6%8.9%8.8%
Expected Move2.7%2.6%2.8%2.7%2.6%
HV 20d11.0%10.2%12.3%10.4%10.2%
HV 60d9.4%9.1%9.9%9.2%9.7%
IV Rank22.0%14.4%32.8%17.0%14.4%
IV Percentile15.7%5.6%43.3%7.5%5.6%
Term Structure-0.0%-0.2%0.2%-0.0%0.2%
VWIV9.6%9.0%10.5%9.7%9.1%
Skew 25d-0.9%-1.4%-0.1%-0.1%-0.5%
Skew 10d-1.6%-2.6%0.1%0.1%-1.0%
Call IV 25d10.0%9.4%10.5%9.4%9.4%
Put IV 25d9.1%8.9%9.4%9.2%8.9%
Bid-Ask Spread %3.211.934.192.542.72
Gamma HHI0.080.060.170.070.07
Net GEX267.2M85.5M545.5M172.3M177.3M
Net DEX-3.40B-5.57B-1.74B-2.39B-2.01B
Net VEX-30.7M-32.4M-29.0M-30.2M-32.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.431.481.240.89
Total Volume124,047.90578,521283,913283,91389,730
Total OI2,472,291.1432,039,1312,800,7162,539,5412,389,462

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$122.10$122.008.9%2.7%10.4%17.0%9.7%-0.1%-0.0%172.3M-2.39B-30.2M1.242.54126,947156,9661,506,2711,033,270
2019-03-04$121.58$122.009.1%2.7%10.5%21.6%9.8%-0.5%-0.0%128.7M-1.80B-30.4M0.822.4165,95953,7661,522,0991,073,661
2019-03-05$121.63$122.008.9%2.6%10.5%17.1%9.4%-0.5%0.0%129.0M-1.96B-30.7M0.742.5967,73550,1311,541,7231,083,396
2019-03-06$121.56$122.008.9%2.7%10.4%17.4%9.6%-0.8%0.0%142.5M-1.97B-30.9M1.101.9343,44347,7001,579,0791,100,397
2019-03-07$121.44$122.009.2%2.7%10.3%23.5%9.6%-1.1%0.1%110.1M-1.79B-30.8M0.432.4691,60039,4941,595,7681,119,706
2019-03-08$122.83$122.009.3%2.6%11.1%27.2%9.5%-1.3%0.1%338.0M-4.04B-31.4M0.502.5495,11247,8961,632,2321,120,503
2019-03-11$122.17$122.009.1%2.6%11.1%21.3%9.8%-1.1%-0.1%230.6M-3.00B-30.1M0.584.1973,59942,7471,606,0761,098,769
2019-03-12$122.94$122.009.2%2.7%11.3%24.3%9.3%-1.3%-0.1%361.6M-4.22B-30.2M0.523.6160,74431,4321,632,3121,119,578
2019-03-13$123.87$122.009.3%2.7%11.7%27.1%9.6%-1.4%-0.0%475.6M-5.57B-29.4M0.443.5676,20933,2231,634,2101,126,997
2019-03-14$122.42$122.009.3%2.7%12.3%26.6%9.9%-0.9%-0.1%210.1M-3.32B-29.8M1.243.9151,41763,5611,646,9711,125,249
2019-03-15$122.98$122.009.1%2.6%12.3%21.9%9.2%-1.0%-0.1%545.5M-4.12B-29.6M0.843.3268,82758,1381,648,6241,152,092
2019-03-18$123.10$122.009.1%2.6%12.0%21.1%9.2%-1.0%-0.2%283.1M-3.38B-29.0M1.202.9338,20145,9161,267,504771,627
2019-03-19$123.42$123.009.0%2.6%10.8%20.1%9.0%-1.0%-0.2%302.5M-3.72B-29.8M1.253.3247,26058,9201,286,886806,830
2019-03-20$124.13$123.009.1%2.6%11.1%21.5%9.7%-1.0%-0.2%343.4M-4.47B-30.6M1.484.0062,32192,4251,304,626851,883
2019-03-21$123.59$123.009.1%2.7%10.5%21.9%9.8%-1.0%-0.2%305.6M-3.82B-31.0M1.154.1565,19574,8381,319,758900,255
2019-03-22$124.06$123.009.2%2.7%10.6%23.8%10.5%-1.2%-0.1%319.2M-4.34B-31.7M0.613.5861,93337,6181,340,655923,567
2019-03-25$124.87$123.009.6%2.8%10.9%32.8%10.2%-1.1%0.2%363.7M-5.21B-31.0M1.123.4658,42965,1631,322,457883,158
2019-03-26$124.33$123.009.0%2.7%10.9%18.3%9.8%-0.8%0.2%332.5M-4.60B-31.1M1.163.3336,33642,1851,347,198904,991
2019-03-27$123.62$123.009.0%2.7%10.9%20.1%9.8%-1.0%0.2%255.0M-3.83B-31.8M0.943.3940,54138,0921,364,297921,902
2019-03-28$121.99$123.009.2%2.7%11.7%22.7%9.8%-0.5%0.2%85.5M-1.74B-31.8M0.783.46114,36988,8881,379,688932,387
2019-03-29$122.06$123.008.8%2.6%10.2%14.4%9.1%-0.5%0.2%177.3M-2.01B-32.4M0.892.7247,48442,2461,431,245958,217