GLD Options History — February 2020

In February 2020, GLD traded between $146.32 and $156.08. ATM implied volatility averaged 12.4%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.2% (HV 20d: 10.2%). Max pain ranged from $144.00 to $146.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-02-28: Highest Volume — 795,244 contracts
  • 2020-02-21: Largest IV spike — 19.4% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$150.28$146.32$156.08$148.39$148.88
Max Pain$144.58$144.00$146.00$145.00$146.00
ATM IV12.4%10.0%18.4%11.2%18.4%
Expected Move3.6%2.8%5.8%3.2%5.8%
HV 20d10.2%8.6%17.6%9.3%17.6%
HV 60d9.2%8.6%12.3%8.9%12.3%
IV Rank47.9%22.2%100.0%35.7%100.0%
IV Percentile65.0%39.3%100.0%59.5%100.0%
Term Structure-0.2%-0.6%0.1%-0.1%-0.5%
VWIV13.2%10.2%22.3%11.7%22.3%
Skew 25d-2.3%-3.6%-1.3%-2.3%-2.2%
Skew 10d-3.7%-6.1%-2.1%-3.9%-3.6%
Call IV 25d14.2%11.0%20.9%12.9%20.9%
Put IV 25d11.9%9.7%18.6%10.6%18.6%
Bid-Ask Spread %1.490.922.561.692.56
Gamma HHI0.070.040.120.070.05
Net GEX686.7M243.5M942.2M612.1M243.5M
Net DEX-10.31B-16.18B-5.37B-8.57B-5.37B
Net VEX-53.1M-72.4M-47.4M-48.4M-72.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.285.580.410.61
Total Volume290,275.84293,781795,244126,808795,244
Total OI3,071,777.5262,588,0923,823,5992,588,0923,823,599

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$148.39$145.0011.2%3.2%9.3%35.7%11.7%-2.3%-0.1%612.1M-8.57B-48.4M0.411.6989,84936,9591,727,881860,211
2020-02-04$146.32$145.0010.9%3.2%9.9%32.1%11.3%-1.6%-0.2%428.5M-6.15B-47.4M0.661.87133,45187,8131,765,686875,424
2020-02-05$146.57$145.0010.1%2.8%9.9%23.9%10.8%-1.5%-0.2%466.5M-6.69B-47.8M0.601.8867,70840,7551,816,130883,559
2020-02-06$147.43$144.0010.3%2.9%9.3%26.1%10.7%-1.6%-0.2%631.9M-8.05B-47.4M0.621.0558,05235,7291,842,121887,913
2020-02-07$147.85$144.0010.4%2.9%9.3%26.9%10.9%-1.7%-0.2%724.1M-8.65B-48.2M0.481.2974,88936,1981,856,855898,173
2020-02-10$148.07$144.0010.6%3.0%9.0%29.5%10.6%-1.8%-0.1%703.0M-9.00B-47.7M5.581.2637,138207,3721,841,197862,902
2020-02-11$147.61$144.0010.4%3.0%8.7%26.5%10.4%-1.5%0.0%596.3M-8.11B-48.8M1.011.3157,38657,9021,854,0531,039,176
2020-02-12$147.44$144.0010.0%2.8%8.6%22.2%10.2%-1.3%-0.1%585.3M-7.90B-48.8M0.360.9272,77426,1261,875,9681,069,214
2020-02-13$148.35$144.0010.4%2.9%8.6%26.7%10.6%-1.8%-0.2%712.4M-9.15B-49.6M1.041.1074,70978,0191,892,9081,094,388
2020-02-14$148.99$144.0010.3%3.0%8.6%26.5%10.5%-2.1%0.1%891.9M-10.02B-50.7M0.791.2577,34361,0831,912,2241,130,019
2020-02-18$150.85$144.0011.8%3.4%9.5%41.6%11.7%-2.5%-0.2%873.2M-12.10B-50.2M0.541.19205,287111,1851,895,2041,127,575
2020-02-19$151.60$144.0011.9%3.4%9.6%43.5%12.2%-2.4%-0.4%942.2M-12.98B-50.6M0.751.26141,578105,9491,960,0981,178,152
2020-02-20$152.46$145.0011.9%3.4%9.7%42.9%12.3%-2.8%-0.1%909.4M-13.80B-51.1M0.711.13166,232118,1211,989,0231,229,642
2020-02-21$154.92$145.0014.2%4.1%10.9%67.5%15.1%-2.9%-0.6%902.9M-16.18B-53.5M0.461.35453,587209,6752,035,7671,285,159
2020-02-24$156.08$145.0015.6%4.6%11.0%82.5%17.4%-3.4%-0.4%694.9M-14.56B-56.1M0.431.39490,053212,2811,929,2071,180,261
2020-02-25$154.61$145.0016.4%4.9%11.7%91.4%18.2%-3.6%-0.2%588.7M-12.51B-62.2M0.282.56408,000113,4382,073,0321,293,674
2020-02-26$154.60$145.0015.2%4.5%11.1%77.9%16.7%-3.2%-0.6%763.9M-13.16B-62.8M0.671.56139,05492,5242,312,5931,342,821
2020-02-27$154.39$145.0016.0%4.9%11.2%87.0%18.0%-3.4%-0.6%776.9M-12.89B-65.0M0.441.64237,624104,1542,356,3281,365,636
2020-02-28$148.88$146.0018.4%5.8%17.6%100.0%22.3%-2.2%-0.5%243.5M-5.37B-72.4M0.612.56494,868300,3762,412,7391,410,860