GLD Options History — August 2019

In August 2019, GLD traded between $135.89 and $145.42. ATM implied volatility averaged 15.4%, placing in the 82.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.2% (HV 20d: 15.2%). Max pain ranged from $127.00 to $135.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2019-08-07: Highest Volume — 405,970 contracts
2019-08-23: Largest IV spike — 20.3% change
2019-08-07: Highest IV Rank — 100.0%
2019-08-23: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$141.77	$135.89	$145.42	$136.06	$143.71
Max Pain	$130.91	$127.00	$135.00	$132.00	$135.00
ATM IV	15.4%	13.4%	17.2%	14.0%	13.9%
Expected Move	4.5%	4.0%	5.0%	4.5%	4.0%
HV 20d	15.2%	13.7%	16.1%	15.9%	14.0%
HV 60d	14.7%	14.0%	15.3%	14.0%	15.2%
IV Rank	82.8%	64.2%	100.0%	72.4%	64.4%
IV Percentile	95.3%	86.1%	100.0%	93.7%	86.1%
Term Structure	-0.1%	-0.5%	0.6%	-0.3%	0.2%
VWIV	15.8%	14.1%	18.1%	15.4%	14.9%
Skew 25d	-3.3%	-4.0%	-2.2%	-3.5%	-2.8%
Skew 10d	-5.6%	-7.0%	-3.9%	-5.7%	-4.7%
Call IV 25d	17.5%	15.3%	19.7%	16.5%	15.7%
Put IV 25d	14.2%	12.0%	16.1%	12.9%	12.9%
Bid-Ask Spread %	2.15	1.51	3.22	2.59	2.12
Gamma HHI	0.06	0.05	0.10	0.08	0.05
Net GEX	677.6M	531.3M	843.7M	843.7M	544.6M
Net DEX	-14.43B	-17.26B	-10.81B	-10.89B	-14.30B
Net VEX	-45.5M	-48.1M	-43.0M	-44.9M	-48.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.30	1.24	0.49	0.82
Total Volume	239,947.773	89,726	405,970	380,078	142,876
Total OI	3,187,951.364	2,971,272	3,467,791	3,056,856	3,431,715

Daily Data (22 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
2019-08-01	$136.06	$132.00	14.0%	4.5%	15.9%	72.4%	15.4%	-3.5%	-0.3%	843.7M	-10.89B	-44.9M	0.49	2.59	255,659	124,419	2,054,887	1,001,969
2019-08-02	$135.89	$132.00	13.4%	4.1%	15.3%	65.7%	14.8%	-3.7%	-0.2%	819.1M	-10.81B	-44.8M	0.36	2.67	185,545	66,170	2,110,543	1,039,318
2019-08-05	$137.78	$127.00	15.4%	4.4%	15.8%	88.9%	15.6%	-3.5%	-0.3%	705.9M	-12.30B	-44.5M	0.44	1.75	236,493	104,994	2,002,726	968,546
2019-08-06	$138.94	$128.00	14.7%	4.2%	15.9%	81.0%	15.0%	-3.5%	-0.2%	761.5M	-13.63B	-43.0M	0.35	3.03	151,733	53,330	2,028,352	1,004,476
2019-08-07	$141.28	$128.00	17.0%	4.8%	16.1%	100.0%	16.9%	-3.7%	-0.3%	741.4M	-15.96B	-44.1M	0.41	2.10	287,365	118,605	2,056,341	1,024,535
2019-08-08	$141.78	$128.00	16.5%	4.7%	15.6%	95.0%	16.4%	-3.1%	-0.3%	759.2M	-16.35B	-44.9M	0.87	1.63	149,268	130,401	2,125,551	1,062,251
2019-08-09	$141.19	$128.00	15.3%	4.4%	15.8%	81.2%	15.8%	-2.7%	-0.2%	729.1M	-15.69B	-45.0M	0.51	1.88	120,023	61,013	2,167,488	1,120,266
2019-08-12	$142.67	$129.00	16.7%	4.8%	15.9%	97.4%	17.3%	-3.1%	0.2%	708.8M	-16.50B	-44.6M	0.46	1.83	140,003	65,009	2,118,287	1,086,030
2019-08-13	$141.78	$129.00	16.3%	4.7%	15.8%	92.8%	16.3%	-3.9%	0.1%	689.4M	-15.37B	-44.8M	0.47	2.04	234,385	110,676	2,129,204	1,115,544
2019-08-14	$142.81	$129.00	16.7%	4.8%	15.2%	96.8%	16.8%	-3.8%	0.2%	712.8M	-16.65B	-45.2M	0.30	1.51	281,076	83,033	2,179,037	1,159,646
2019-08-15	$143.53	$130.00	17.1%	5.0%	14.7%	100.0%	17.3%	-3.8%	0.3%	716.3M	-17.26B	-46.6M	0.56	1.65	135,246	75,498	2,194,519	1,200,702
2019-08-16	$142.67	$130.00	15.3%	4.5%	13.7%	80.8%	15.4%	-3.3%	0.6%	636.8M	-16.45B	-47.4M	1.24	1.76	128,813	159,808	2,231,726	1,236,065
2019-08-19	$140.90	$132.00	13.8%	4.0%	14.8%	64.2%	14.1%	-2.2%	-0.1%	531.3M	-11.44B	-44.6M	0.71	2.06	78,706	55,578	1,982,124	1,009,947
2019-08-20	$142.14	$133.00	14.2%	4.1%	14.6%	68.9%	14.3%	-2.7%	-0.2%	572.0M	-12.80B	-44.8M	0.70	2.18	69,890	48,916	1,995,423	1,029,230
2019-08-21	$141.67	$132.00	14.0%	4.0%	14.8%	66.4%	14.2%	-2.6%	-0.1%	574.6M	-12.44B	-44.7M	0.91	2.13	56,216	51,326	2,019,764	1,038,946
2019-08-22	$141.33	$133.00	14.3%	4.1%	14.5%	70.1%	14.6%	-2.3%	-0.2%	533.0M	-11.84B	-45.6M	0.74	1.95	65,251	48,375	2,029,352	1,061,803
2019-08-23	$144.17	$133.00	17.2%	5.0%	15.7%	100.0%	18.1%	-3.6%	-0.5%	657.5M	-15.04B	-46.8M	0.39	2.35	288,072	113,250	2,048,764	1,083,699
2019-08-26	$144.14	$133.00	16.3%	4.8%	15.7%	90.6%	17.3%	-3.6%	-0.5%	658.0M	-14.94B	-45.6M	0.54	1.63	58,369	31,357	2,097,748	1,042,775
2019-08-27	$145.42	$133.00	16.2%	4.7%	15.8%	88.6%	16.7%	-4.0%	-0.5%	687.3M	-16.25B	-46.2M	0.50	3.22	192,797	96,391	2,120,780	1,079,423
2019-08-28	$145.17	$133.00	15.8%	4.6%	14.7%	84.2%	16.4%	-3.8%	-0.4%	696.4M	-16.07B	-47.8M	0.47	3.07	76,942	36,294	2,184,911	1,124,189
2019-08-29	$143.96	$133.00	14.6%	4.3%	14.0%	72.1%	15.1%	-2.9%	-0.4%	629.4M	-14.56B	-47.4M	0.87	2.10	165,704	143,976	2,196,647	1,139,681
2019-08-30	$143.71	$135.00	13.9%	4.0%	14.0%	64.4%	14.9%	-2.8%	0.2%	544.6M	-14.30B	-48.1M	0.82	2.12	78,593	64,283	2,227,887	1,203,828