GLD Options History — October 2019 In October 2019, GLD traded between $139.53 and $142.43. ATM implied volatility averaged 13.3%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.6% (HV 20d: 12.7%). Max pain ranged from $140.00 to $141.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.82.
Notable Days 2019-10-11 : Highest Volume — 274,196 contracts2019-10-24 : Largest IV spike — 7.4% change2019-10-03 : Highest IV Rank — 76.7%2019-10-02 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $140.86 $139.53 $142.43 $139.62 $142.43 Max Pain $140.91 $140.00 $141.00 $140.00 $141.00 ATM IV 13.3% 11.3% 15.0% 14.1% 11.6% Expected Move 3.8% 3.3% 4.3% 4.2% 3.4% HV 20d 12.7% 9.5% 15.3% 14.7% 10.1% HV 60d 14.3% 13.0% 15.2% 15.0% 13.0% IV Rank 57.6% 36.1% 76.7% 66.8% 39.7% IV Percentile 75.7% 61.5% 90.5% 84.9% 64.3% Term Structure -0.1% -0.4% 0.4% -0.2% 0.4% VWIV 13.8% 12.1% 15.2% 14.7% 12.2% Skew 25d -2.6% -3.6% -1.9% -3.2% -2.3% Skew 10d -4.3% -5.5% -3.4% -5.5% -3.6% Call IV 25d 15.1% 12.9% 17.3% 16.4% 13.1% Put IV 25d 12.5% 10.5% 14.1% 13.2% 10.8% Bid-Ask Spread % 2.61 1.53 3.78 2.61 2.58 Gamma HHI 0.05 0.05 0.06 0.05 0.06 Net GEX 284.5M 87.4M 587.0M 167.5M 587.0M Net DEX -6.50B -8.29B -5.02B -5.27B -8.29B Net VEX -45.4M -49.5M -42.7M -46.9M -43.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.49 1.32 0.97 0.84 Total Volume 138,344.391 74,157 274,196 169,365 122,247 Total OI 3,027,896.261 2,799,374 3,295,366 2,901,898 3,101,308
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 2019-10-01 $139.62 $140.00 14.1% 4.2% 14.7% 66.8% 14.7% -3.2% -0.2% 167.5M -5.27B -46.9M 0.97 2.61 85,889 83,476 1,895,228 1,006,670 2019-10-02 $141.32 $140.00 14.7% 4.3% 15.3% 72.5% 15.2% -3.6% -0.2% 321.7M -7.18B -47.7M 0.63 3.42 133,615 83,552 1,905,294 1,014,119 2019-10-03 $141.97 $141.00 15.0% 4.2% 13.2% 76.7% 15.0% -3.2% -0.3% 386.0M -8.02B -49.5M 0.86 2.77 94,820 81,598 1,946,064 1,044,811 2019-10-04 $141.89 $141.00 14.2% 4.0% 12.9% 67.6% 14.9% -2.6% -0.2% 374.6M -7.75B -48.3M 1.08 2.38 62,678 67,946 1,956,999 1,072,017 2019-10-07 $140.62 $141.00 14.2% 4.0% 13.2% 68.0% 14.8% -2.6% -0.0% 221.5M -6.16B -46.0M 0.63 1.68 59,724 37,473 1,915,912 1,039,611 2019-10-08 $141.83 $141.00 14.9% 4.2% 13.2% 75.1% 14.9% -2.9% -0.2% 355.1M -7.76B -47.5M 0.58 2.40 70,254 40,413 1,940,758 1,049,225 2019-10-09 $142.20 $141.00 14.3% 4.1% 13.1% 69.3% 14.4% -2.9% -0.1% 403.6M -8.09B -47.3M 0.97 3.61 42,390 41,191 1,968,556 1,070,853 2019-10-10 $140.83 $141.00 14.3% 4.1% 13.6% 69.1% 15.0% -2.8% -0.2% 236.8M -6.40B -46.6M 0.82 2.67 76,547 62,740 1,980,762 1,080,979 2019-10-11 $139.80 $141.00 14.4% 4.1% 13.6% 69.8% 15.1% -2.0% -0.3% 87.4M -5.10B -45.9M 1.02 3.78 136,009 138,187 2,007,283 1,104,830 2019-10-14 $140.60 $141.00 14.3% 4.1% 13.5% 68.6% 14.9% -2.6% -0.3% 226.0M -6.29B -45.8M 0.77 2.72 41,802 32,355 2,018,187 1,088,271 2019-10-15 $139.53 $141.00 13.7% 3.9% 13.7% 62.0% 14.0% -2.7% -0.4% 100.9M -5.02B -44.0M 1.05 1.53 62,209 65,556 2,022,156 1,082,432 2019-10-16 $140.38 $141.00 13.3% 3.8% 13.9% 58.0% 13.4% -2.4% 0.0% 256.8M -6.25B -45.4M 0.79 2.69 58,646 46,232 2,097,090 1,093,095 2019-10-17 $140.62 $141.00 13.4% 3.9% 13.9% 59.4% 13.5% -2.4% -0.1% 331.6M -6.72B -45.4M 0.66 2.45 113,533 75,287 2,129,048 1,100,561 2019-10-18 $140.51 $141.00 13.5% 3.9% 13.1% 60.2% 13.6% -2.1% -0.3% 272.9M -6.45B -45.5M 1.32 3.26 72,188 94,940 2,158,851 1,136,515 2019-10-21 $139.68 $141.00 12.7% 3.7% 13.0% 51.3% 13.0% -1.9% -0.2% 185.8M -5.04B -43.2M 0.97 2.39 74,883 72,692 1,879,788 919,586 2019-10-22 $140.24 $141.00 12.1% 3.5% 12.9% 45.3% 12.8% -2.2% -0.2% 192.2M -5.48B -43.4M 0.63 2.20 60,394 38,326 1,903,955 967,125 2019-10-23 $140.54 $141.00 11.5% 3.3% 11.2% 39.1% 12.4% -2.3% -0.2% 253.4M -5.98B -43.4M 0.90 2.19 56,717 51,061 1,934,393 982,590 2019-10-24 $141.58 $141.00 12.4% 3.6% 11.6% 48.1% 13.4% -2.6% -0.2% 393.8M -7.07B -43.9M 0.51 2.12 123,055 62,317 1,948,497 1,001,241 2019-10-25 $141.83 $141.00 11.9% 3.4% 11.5% 43.3% 12.4% -2.4% -0.1% 460.8M -7.60B -45.8M 0.63 1.53 80,147 50,132 1,993,978 1,026,310 2019-10-28 $140.64 $141.00 11.8% 3.5% 10.4% 41.7% 12.7% -2.3% 0.3% 245.0M -5.91B -44.0M 0.49 2.49 88,219 43,120 1,974,376 984,250 2019-10-29 $140.25 $141.00 11.3% 3.4% 10.3% 36.4% 12.1% -2.4% 0.3% 192.5M -5.48B -43.2M 0.90 3.09 45,465 40,988 2,027,444 1,003,596 2019-10-30 $140.90 $141.00 11.3% 3.4% 9.5% 36.1% 12.3% -2.4% 0.4% 291.6M -6.27B -42.7M 0.79 3.43 61,884 49,024 2,039,085 1,027,915 2019-10-31 $142.43 $141.00 11.6% 3.4% 10.1% 39.7% 12.2% -2.3% 0.4% 587.0M -8.29B -43.8M 0.84 2.58 66,364 55,883 2,054,011 1,047,297
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