GLD Options History — March 2020

In March 2020, GLD traded between $139.08 and $157.57. ATM implied volatility averaged 29.1%, placing in the 81.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.0% (HV 20d: 29.1%). Max pain ranged from $146.00 to $153.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2020-03-06: Highest Volume — 616,798 contracts
2020-03-05: Largest IV spike — 27.7% change
2020-03-03: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$149.72	$139.08	$157.57	$149.75	$148.79
Max Pain	$150.18	$146.00	$153.00	$146.00	$150.00
ATM IV	29.1%	16.5%	44.5%	16.7%	25.4%
Expected Move	8.4%	5.1%	12.7%	5.4%	7.5%
HV 20d	29.1%	17.6%	39.8%	17.6%	36.8%
HV 60d	18.7%	12.2%	24.5%	12.2%	24.5%
IV Rank	81.6%	47.9%	100.0%	84.4%	47.9%
IV Percentile	98.6%	94.4%	100.0%	98.0%	94.4%
Term Structure	-0.6%	-1.5%	0.6%	0.1%	-0.0%
VWIV	31.3%	19.3%	45.2%	20.3%	28.1%
Skew 25d	-3.1%	-12.3%	5.6%	-2.8%	-3.1%
Skew 10d	-5.4%	-21.0%	9.6%	-4.1%	-4.4%
Call IV 25d	32.3%	19.1%	45.1%	19.1%	28.3%
Put IV 25d	29.2%	15.9%	48.9%	16.4%	25.3%
Bid-Ask Spread %	5.58	1.77	14.82	2.41	3.61
Gamma HHI	0.04	0.03	0.08	0.05	0.04
Net GEX	461.1M	21.7M	1.22B	431.1M	206.4M
Net DEX	-8.09B	-18.32B	3.05B	-7.26B	-6.02B
Net VEX	-83.9M	-93.3M	-70.4M	-70.4M	-82.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.26	0.89	0.83	0.78
Total Volume	335,596.045	152,542	616,798	256,795	294,010
Total OI	3,995,144.136	3,418,280	4,437,108	3,744,158	3,663,750

Daily Data (22 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
2020-03-02	$149.75	$146.00	16.7%	5.4%	17.6%	84.4%	20.3%	-2.8%	0.1%	431.1M	-7.26B	-70.4M	0.83	2.41	139,939	116,856	2,420,852	1,323,306
2020-03-03	$154.18	$146.00	19.9%	6.5%	20.1%	100.0%	23.7%	-4.3%	-0.6%	744.7M	-13.17B	-74.0M	0.30	2.40	468,705	141,490	2,463,842	1,373,057
2020-03-04	$154.17	$146.00	16.5%	5.1%	19.3%	71.9%	19.3%	-3.2%	-0.4%	926.9M	-13.53B	-72.5M	0.56	1.77	129,441	72,170	2,623,806	1,404,130
2020-03-05	$157.54	$151.00	21.1%	5.7%	20.4%	100.0%	20.5%	-3.9%	-0.7%	1.16B	-18.32B	-76.0M	0.36	2.77	321,311	115,676	2,638,520	1,423,068
2020-03-06	$157.38	$152.00	23.0%	6.2%	20.4%	100.0%	23.4%	-5.5%	-0.6%	1.22B	-18.11B	-79.7M	0.28	5.22	481,314	135,484	2,723,476	1,455,823
2020-03-09	$157.57	$152.00	29.1%	8.0%	20.5%	100.0%	30.7%	-5.9%	-1.1%	845.0M	-17.40B	-88.4M	0.44	2.63	249,491	110,383	2,709,292	1,402,362
2020-03-10	$155.21	$153.00	22.2%	6.1%	21.5%	67.6%	23.2%	-4.8%	-0.9%	828.5M	-14.37B	-82.4M	0.43	2.40	154,562	66,870	2,770,993	1,447,318
2020-03-11	$154.51	$153.00	24.5%	6.8%	21.5%	78.3%	25.2%	-3.9%	-0.6%	735.8M	-12.99B	-84.8M	0.62	3.80	176,334	109,117	2,783,048	1,466,338
2020-03-12	$147.66	$153.00	26.5%	7.3%	27.4%	87.7%	27.3%	-1.6%	-1.3%	255.4M	-4.27B	-84.6M	0.68	4.65	320,191	218,119	2,821,768	1,489,167
2020-03-13	$143.17	$152.00	31.5%	8.8%	29.4%	100.0%	35.5%	-1.5%	-1.5%	109.7M	205.5M	-83.8M	0.73	11.03	325,005	237,033	2,853,679	1,526,766
2020-03-16	$140.68	$150.00	34.5%	9.7%	29.8%	100.0%	36.4%	0.2%	-1.5%	74.2M	1.80B	-80.6M	0.50	7.15	234,679	118,263	2,716,506	1,497,560
2020-03-17	$144.26	$150.00	38.2%	10.9%	31.0%	100.0%	39.7%	-1.3%	-1.4%	182.7M	-2.52B	-89.2M	0.57	3.89	213,520	120,717	2,764,899	1,501,596
2020-03-18	$140.49	$150.00	44.5%	12.7%	32.0%	100.0%	45.2%	5.6%	-1.3%	76.4M	890.7M	-86.5M	0.45	4.78	232,632	103,926	2,803,002	1,520,996
2020-03-19	$139.08	$150.00	35.3%	10.2%	31.9%	74.9%	36.6%	2.8%	-0.8%	52.4M	3.05B	-81.0M	0.89	13.27	126,569	112,383	2,861,149	1,541,320
2020-03-20	$139.68	$150.00	33.7%	9.7%	31.1%	70.6%	35.1%	1.5%	-0.8%	21.7M	2.67B	-81.3M	0.62	6.30	176,018	108,580	2,889,823	1,547,285
2020-03-23	$146.56	$150.00	36.6%	10.8%	36.2%	78.6%	40.1%	-3.5%	-0.3%	211.6M	-5.64B	-90.0M	0.29	5.81	258,050	74,434	2,239,720	1,178,560
2020-03-24	$152.88	$150.00	36.7%	10.7%	39.5%	78.7%	41.2%	-12.3%	-0.4%	391.7M	-11.15B	-93.3M	0.26	14.82	289,751	76,580	2,314,664	1,205,626
2020-03-25	$151.89	$150.00	35.8%	10.7%	39.6%	76.4%	40.9%	-6.8%	-0.1%	379.9M	-10.23B	-93.2M	0.61	10.28	136,832	83,599	2,343,729	1,224,926
2020-03-26	$153.42	$150.00	32.5%	9.8%	39.8%	67.3%	35.8%	-5.7%	0.3%	450.1M	-11.41B	-93.1M	0.76	6.13	104,953	79,976	2,367,622	1,274,728
2020-03-27	$152.70	$150.00	30.7%	9.1%	37.5%	62.5%	33.2%	-4.6%	0.6%	433.9M	-10.54B	-91.3M	0.59	4.52	96,090	56,452	2,385,324	1,315,560
2020-03-30	$152.24	$150.00	25.8%	7.5%	37.5%	49.1%	28.1%	-3.7%	0.0%	410.5M	-9.67B	-87.1M	0.34	3.17	146,135	49,473	2,331,374	1,282,841
2020-03-31	$148.79	$150.00	25.4%	7.5%	36.8%	47.9%	28.1%	-3.1%	-0.0%	206.4M	-6.02B	-82.4M	0.78	3.61	164,773	129,237	2,362,936	1,300,814