GLD Options History — December 2019

In December 2019, GLD traded between $137.53 and $142.93. ATM implied volatility averaged 9.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.6% (HV 20d: 8.1%). Max pain ranged from $134.00 to $138.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2019-12-26: Highest Volume — 211,810 contracts
  • 2019-12-24: Largest IV spike — 14.5% change
  • 2019-12-26: Highest IV Rank — 41.0%
  • 2019-12-26: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139.58$137.53$142.93$137.78$142.93
Max Pain$135.48$134.00$138.00$138.00$136.00
ATM IV9.7%8.2%11.7%9.4%10.9%
Expected Move2.8%2.3%3.4%2.9%3.0%
HV 20d8.1%7.5%10.6%9.7%7.6%
HV 60d10.4%9.3%11.1%10.9%9.3%
IV Rank19.3%3.0%41.0%16.8%32.3%
IV Percentile39.3%2.4%65.1%40.1%59.5%
Term Structure0.2%-0.1%0.5%0.2%0.4%
VWIV10.3%8.9%12.4%10.5%11.0%
Skew 25d-1.7%-2.9%-0.8%-1.3%-2.8%
Skew 10d-2.6%-4.8%-1.3%-2.5%-4.8%
Call IV 25d11.0%9.2%13.6%10.3%12.9%
Put IV 25d9.3%8.1%10.8%9.1%10.1%
Bid-Ask Spread %2.530.954.412.302.93
Gamma HHI0.060.050.090.060.09
Net GEX306.9M-109.2M929.5M40.4M929.5M
Net DEX-6.16B-10.14B-3.29B-3.95B-10.14B
Net VEX-37.5M-41.7M-33.2M-33.2M-41.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.381.410.560.47
Total Volume129,270.71448,707211,810100,734107,572
Total OI3,135,864.1432,832,7243,414,6792,906,6503,064,886

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$137.78$138.009.4%2.9%9.7%16.8%10.5%-1.3%0.2%40.4M-3.95B-33.2M0.562.3064,68036,0541,950,812955,838
2019-12-03$139.18$138.0010.5%3.3%10.6%28.1%11.9%-2.2%0.1%291.3M-5.98B-37.0M0.471.95124,52759,0752,014,548975,145
2019-12-04$138.94$138.0010.0%3.1%9.0%23.1%11.3%-1.8%0.1%216.1M-5.38B-36.0M0.822.0068,03055,8732,025,425999,443
2019-12-05$139.03$134.009.8%2.9%8.8%20.5%9.9%-1.8%0.1%231.8M-5.51B-37.2M0.893.1275,05167,0622,056,8901,031,084
2019-12-06$137.53$135.009.3%2.8%7.9%15.6%10.0%-0.8%0.1%-109.2M-3.29B-35.7M1.410.9579,871112,9932,094,9041,071,634
2019-12-09$137.58$135.009.4%2.7%7.6%16.0%10.0%-1.1%0.2%-99.4M-3.45B-36.1M0.742.7728,04320,6642,103,5761,071,180
2019-12-10$137.93$135.009.2%2.7%7.5%13.9%9.8%-1.2%0.1%-53.9M-3.91B-36.4M0.852.4930,41925,9242,117,1581,085,355
2019-12-11$138.92$135.009.8%2.8%7.9%20.0%10.3%-1.5%0.0%168.2M-5.48B-37.9M0.382.7497,18837,0862,129,6211,095,109
2019-12-12$138.46$135.009.8%2.8%8.0%20.1%10.2%-1.0%-0.1%94.1M-4.81B-38.1M1.283.0866,82685,7632,177,1451,104,398
2019-12-13$139.00$135.009.2%2.7%7.9%14.2%9.5%-1.3%0.1%226.3M-5.61B-37.8M1.382.4465,00789,8182,194,7381,139,947
2019-12-16$139.10$135.009.2%2.6%7.8%13.9%9.8%-1.2%-0.0%171.3M-5.57B-36.8M0.732.4077,18956,5752,172,0131,119,718
2019-12-17$138.96$135.008.8%2.5%7.8%9.4%8.9%-1.1%0.1%103.6M-5.33B-35.7M1.132.5143,00248,5592,181,4511,141,917
2019-12-18$138.96$135.008.7%2.5%7.8%8.5%9.7%-1.3%0.1%175.4M-5.45B-35.7M0.382.5478,96630,2892,188,9041,147,033
2019-12-19$139.31$135.008.8%2.5%7.8%10.3%9.9%-1.3%0.2%417.8M-6.02B-36.1M0.471.3299,96946,9872,232,0561,141,945
2019-12-20$139.14$135.008.2%2.3%7.6%3.0%9.1%-1.1%0.2%314.3M-5.63B-35.1M0.561.1881,47645,3762,258,0461,156,633
2019-12-23$139.89$135.009.1%2.6%7.7%12.6%9.2%-1.6%0.5%435.0M-6.44B-37.7M0.533.2363,30233,8351,959,271873,453
2019-12-24$141.19$135.0010.4%3.0%7.9%26.7%11.0%-2.1%0.4%593.4M-8.12B-39.3M0.411.37100,74140,9721,983,063884,832
2019-12-26$142.33$135.0011.7%3.4%8.2%41.0%12.4%-2.8%0.4%732.3M-9.65B-41.3M0.544.41137,89073,9202,035,420903,523
2019-12-27$142.35$135.0010.7%3.0%7.8%29.6%10.7%-2.5%0.5%766.4M-9.67B-41.2M0.714.3482,21658,7632,075,490936,027
2019-12-30$142.72$136.0010.7%3.0%7.7%30.6%11.4%-2.9%0.3%799.2M-9.88B-40.8M0.543.1476,17840,9542,076,835926,681
2019-12-31$142.93$136.0010.9%3.0%7.6%32.3%11.0%-2.8%0.4%929.5M-10.14B-41.7M0.472.9373,35434,2182,114,256950,630