GLD Options History — November 2019

In November 2019, GLD traded between $137.03 and $142.51. ATM implied volatility averaged 10.2%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 0.5% (HV 20d: 10.7%). Max pain ranged from $138.00 to $141.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2019-11-07: Highest Volume — 373,670 contracts
2019-11-15: Largest IV drop — 5.7% change
2019-11-11: Highest IV Rank — 34.1%
2019-11-04: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$138.58	$137.03	$142.51	$142.51	$137.90
Max Pain	$139.05	$138.00	$141.00	$141.00	$138.00
ATM IV	10.2%	8.9%	11.1%	11.0%	9.3%
Expected Move	3.0%	2.7%	3.3%	3.1%	2.8%
HV 20d	10.7%	9.6%	11.6%	10.1%	9.7%
HV 60d	12.7%	11.0%	13.4%	13.0%	11.0%
IV Rank	25.2%	11.0%	34.1%	33.1%	15.5%
IV Percentile	49.3%	21.8%	59.9%	58.3%	36.9%
Term Structure	-0.1%	-0.4%	0.5%	0.5%	-0.1%
VWIV	10.8%	9.7%	12.5%	11.2%	10.5%
Skew 25d	-1.3%	-2.0%	-0.7%	-2.0%	-1.2%
Skew 10d	-2.3%	-3.4%	-1.1%	-3.2%	-2.0%
Call IV 25d	11.4%	9.7%	12.4%	12.3%	10.3%
Put IV 25d	10.0%	8.8%	11.2%	10.3%	9.1%
Bid-Ask Spread %	2.35	1.15	4.14	2.61	2.80
Gamma HHI	0.08	0.05	0.28	0.07	0.06
Net GEX	-85.8M	-804.5M	669.0M	669.0M	65.6M
Net DEX	-3.81B	-8.30B	-1.17B	-8.30B	-4.04B
Net VEX	-38.4M	-42.9M	-33.2M	-42.9M	-34.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.27	1.78	1.01	0.27
Total Volume	132,922.75	55,987	373,670	128,529	108,123
Total OI	3,113,700.55	2,841,084	3,418,668	3,134,235	2,999,898

Daily Data (20 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
2019-11-01	$142.51	$141.00	11.0%	3.1%	10.1%	33.1%	11.2%	-2.0%	0.5%	669.0M	-8.30B	-42.9M	1.01	2.61	63,997	64,532	2,066,586	1,067,649
2019-11-04	$142.14	$140.00	10.8%	3.3%	9.6%	30.7%	12.5%	-2.0%	0.5%	466.9M	-7.57B	-41.6M	0.91	4.12	60,261	54,747	2,040,841	1,027,411
2019-11-05	$139.89	$140.00	10.7%	3.2%	10.7%	30.4%	11.6%	-1.3%	0.3%	51.7M	-4.62B	-40.6M	1.27	4.14	113,840	144,633	2,055,344	1,040,344
2019-11-06	$140.53	$139.00	10.5%	3.2%	10.8%	27.6%	10.6%	-1.6%	0.4%	125.2M	-5.51B	-41.0M	1.78	1.15	40,462	71,918	2,089,821	1,103,525
2019-11-07	$138.40	$139.00	10.6%	3.1%	11.6%	29.4%	11.1%	-0.9%	0.2%	-336.1M	-2.34B	-40.3M	1.51	1.91	148,599	225,071	2,095,700	1,126,898
2019-11-08	$137.50	$139.00	10.6%	3.0%	11.5%	29.1%	11.4%	-0.8%	0.2%	-489.1M	-1.43B	-41.8M	1.38	1.25	95,596	131,565	2,154,189	1,208,445
2019-11-11	$137.11	$139.00	11.1%	3.1%	11.3%	34.1%	11.5%	-1.1%	-0.2%	-404.8M	-1.17B	-40.4M	1.33	1.28	73,803	98,137	2,142,875	1,186,197
2019-11-12	$137.42	$139.00	10.5%	3.0%	11.1%	28.2%	10.8%	-0.7%	-0.2%	-470.7M	-1.46B	-38.5M	1.03	2.05	66,627	68,464	2,167,354	1,215,776
2019-11-13	$137.85	$139.00	10.4%	2.9%	10.9%	27.5%	10.8%	-1.3%	-0.2%	-484.6M	-2.28B	-37.9M	0.81	2.05	59,556	48,498	2,184,473	1,218,420
2019-11-14	$138.50	$139.00	10.6%	3.0%	11.1%	29.0%	10.9%	-1.7%	-0.2%	-270.7M	-3.75B	-39.5M	0.78	1.74	59,601	46,310	2,197,516	1,210,325
2019-11-15	$138.15	$139.00	10.0%	2.8%	11.1%	22.6%	10.7%	-1.3%	-0.1%	-804.5M	-3.35B	-38.6M	0.92	2.88	55,982	51,622	2,205,806	1,212,862
2019-11-18	$138.62	$139.00	10.3%	2.9%	11.0%	25.7%	10.9%	-1.7%	-0.4%	132.6M	-4.52B	-37.2M	0.67	1.91	40,391	27,190	1,876,564	964,520
2019-11-19	$138.65	$139.00	10.2%	2.9%	10.9%	24.8%	10.6%	-1.7%	-0.3%	153.9M	-4.81B	-39.1M	0.65	2.07	34,034	21,953	1,893,876	975,276
2019-11-20	$138.72	$139.00	10.1%	2.9%	10.8%	24.2%	10.7%	-1.9%	-0.4%	153.1M	-4.64B	-36.6M	0.67	2.44	48,849	32,729	1,904,200	979,962
2019-11-21	$137.99	$139.00	10.0%	2.9%	10.5%	23.0%	10.1%	-1.3%	-0.4%	30.6M	-3.80B	-36.8M	0.57	2.32	57,494	32,724	1,918,829	995,663
2019-11-22	$137.81	$139.00	10.1%	2.9%	10.5%	23.7%	10.5%	-1.1%	-0.4%	28.3M	-3.63B	-36.6M	1.55	2.74	34,413	53,393	1,940,674	1,009,647
2019-11-25	$137.08	$139.00	9.7%	2.9%	10.3%	19.7%	10.3%	-1.3%	-0.2%	-111.4M	-2.76B	-34.9M	1.27	2.00	61,178	77,595	1,905,790	980,387
2019-11-26	$137.72	$138.00	9.3%	2.8%	10.4%	15.0%	10.2%	-1.1%	0.0%	-47.9M	-3.59B	-35.4M	0.68	2.76	58,085	39,370	1,930,074	1,008,094
2019-11-27	$137.03	$138.00	8.9%	2.7%	10.3%	11.0%	9.7%	-0.9%	-0.1%	-172.7M	-2.72B	-33.2M	0.98	2.76	43,982	43,131	1,957,734	1,014,466
2019-11-29	$137.90	$138.00	9.3%	2.8%	9.7%	15.5%	10.5%	-1.2%	-0.1%	65.6M	-4.04B	-34.5M	0.27	2.80	85,150	22,973	1,976,881	1,023,017