GLD Options History — January 2020

In January 2020, GLD traded between $143.90 and $149.45. ATM implied volatility averaged 10.9%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.9% (HV 20d: 9.1%). Max pain ranged from $136.00 to $145.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2020-01-08: Highest Volume — 508,260 contracts
2020-01-31: Largest IV spike — 12.6% change
2020-01-06: Highest IV Rank — 55.9%
2020-01-06: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$146.98	$143.90	$149.45	$143.90	$149.45
Max Pain	$143.19	$136.00	$145.00	$136.00	$145.00
ATM IV	10.9%	9.7%	13.1%	11.1%	12.0%
Expected Move	3.1%	2.8%	3.6%	3.1%	3.6%
HV 20d	9.1%	7.0%	9.8%	7.2%	9.8%
HV 60d	9.5%	9.2%	9.7%	9.2%	9.4%
IV Rank	32.8%	19.7%	55.9%	34.9%	44.1%
IV Percentile	55.7%	42.1%	69.8%	61.5%	64.3%
Term Structure	0.0%	-0.2%	0.4%	0.4%	0.2%
VWIV	11.4%	10.2%	14.4%	11.2%	12.9%
Skew 25d	-2.4%	-3.8%	-1.9%	-2.9%	-2.9%
Skew 10d	-4.0%	-6.2%	-3.1%	-4.6%	-4.4%
Call IV 25d	12.7%	11.3%	15.5%	13.1%	13.9%
Put IV 25d	10.3%	9.3%	11.9%	10.2%	11.1%
Bid-Ask Spread %	2.25	1.04	3.85	2.72	2.18
Gamma HHI	0.08	0.06	0.12	0.08	0.08
Net GEX	768.5M	572.3M	933.2M	845.9M	875.9M
Net DEX	-10.75B	-14.42B	-7.22B	-10.65B	-10.54B
Net VEX	-44.3M	-49.2M	-40.9M	-40.9M	-49.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.29	1.60	0.36	0.63
Total Volume	207,999.143	81,352	508,260	214,379	231,370
Total OI	2,970,811.238	2,327,243	3,577,875	2,890,078	2,693,777

Daily Data (21 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
2020-01-02	$143.90	$136.00	11.1%	3.1%	7.2%	34.9%	11.2%	-2.9%	0.4%	845.9M	-10.65B	-40.9M	0.36	2.72	157,687	56,692	2,001,257	888,821
2020-01-03	$145.81	$136.00	12.0%	3.6%	8.2%	44.5%	13.1%	-3.8%	0.1%	933.2M	-12.98B	-41.6M	0.29	1.04	276,272	81,344	2,062,254	919,843
2020-01-06	$147.47	$140.00	13.1%	3.6%	8.7%	55.9%	14.4%	-3.6%	-0.1%	899.7M	-13.96B	-42.2M	0.44	1.54	283,300	123,411	2,065,249	919,995
2020-01-07	$147.89	$141.00	12.7%	3.6%	7.0%	51.2%	12.2%	-3.5%	-0.0%	920.9M	-14.42B	-43.3M	1.60	1.58	91,716	146,930	2,152,006	985,859
2020-01-08	$146.28	$143.00	12.0%	3.3%	8.7%	44.5%	12.4%	-2.6%	-0.2%	781.0M	-12.29B	-43.6M	0.50	1.66	338,667	169,593	2,169,224	1,071,764
2020-01-09	$146.00	$143.00	11.4%	3.2%	8.9%	37.8%	11.4%	-2.3%	-0.2%	705.5M	-11.50B	-44.8M	0.89	2.06	126,248	112,686	2,248,284	1,141,155
2020-01-10	$146.92	$143.00	11.1%	3.1%	8.8%	34.5%	11.1%	-2.2%	-0.1%	869.8M	-12.76B	-44.3M	0.76	2.33	89,367	68,299	2,286,210	1,187,686
2020-01-13	$145.82	$143.00	10.0%	2.8%	9.3%	23.0%	10.3%	-2.0%	-0.1%	723.3M	-10.99B	-41.7M	0.91	1.76	85,600	78,128	2,263,345	1,162,532
2020-01-14	$145.58	$144.00	9.8%	2.8%	9.4%	20.2%	10.2%	-2.0%	0.1%	711.1M	-10.75B	-41.9M	0.72	2.37	57,554	41,471	2,296,314	1,198,751
2020-01-15	$146.53	$144.00	10.6%	3.1%	9.5%	29.4%	10.9%	-2.4%	0.1%	828.9M	-12.22B	-43.0M	0.41	1.87	86,262	35,317	2,307,389	1,207,659
2020-01-16	$146.22	$144.00	10.2%	2.9%	9.6%	24.6%	10.5%	-2.0%	-0.1%	806.9M	-11.84B	-43.5M	0.72	2.62	64,272	46,560	2,331,332	1,223,673
2020-01-17	$146.67	$145.00	10.3%	3.0%	9.5%	25.8%	10.4%	-1.9%	0.2%	607.0M	-12.57B	-43.4M	0.46	2.40	199,757	92,395	2,341,918	1,235,957
2020-01-21	$146.72	$145.00	10.1%	2.9%	9.6%	23.4%	10.4%	-2.2%	-0.1%	572.3M	-7.22B	-42.3M	0.63	3.45	76,020	48,072	1,586,029	741,214
2020-01-22	$146.72	$145.00	9.7%	2.8%	9.5%	19.7%	10.2%	-2.0%	-0.0%	620.9M	-7.31B	-42.8M	0.73	3.85	47,102	34,250	1,609,790	769,713
2020-01-23	$147.08	$145.00	10.1%	2.9%	9.5%	23.8%	10.7%	-2.1%	-0.1%	655.8M	-7.64B	-43.5M	0.48	2.47	119,265	57,246	1,625,861	796,907
2020-01-24	$147.94	$145.00	10.9%	3.2%	9.2%	32.6%	11.1%	-2.4%	-0.2%	758.1M	-8.93B	-46.9M	0.70	2.33	144,120	100,392	1,689,546	831,174
2020-01-27	$148.89	$145.00	11.2%	3.3%	9.1%	35.7%	11.5%	-2.3%	0.2%	776.5M	-10.02B	-47.8M	0.38	2.57	124,363	47,700	1,714,260	819,501
2020-01-28	$147.72	$145.00	10.4%	3.0%	9.8%	26.5%	11.5%	-2.1%	0.2%	695.4M	-8.56B	-48.5M	0.50	2.64	93,758	46,530	1,742,850	859,516
2020-01-29	$148.40	$145.00	10.5%	3.1%	9.8%	27.7%	11.4%	-2.1%	0.2%	764.8M	-9.28B	-48.0M	0.52	1.92	58,252	30,438	1,732,232	878,835
2020-01-30	$148.47	$145.00	10.7%	3.1%	9.8%	29.7%	11.9%	-2.1%	0.2%	786.5M	-9.36B	-48.1M	0.69	1.96	118,310	81,266	1,741,589	885,765
2020-01-31	$149.45	$145.00	12.0%	3.6%	9.8%	44.1%	12.9%	-2.9%	0.2%	875.9M	-10.54B	-49.2M	0.63	2.18	141,990	89,380	1,763,532	930,245