GLD Options History — April 2020

In April 2020, GLD traded between $149.58 and $163.11. ATM implied volatility averaged 25.4%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 4.0% (HV 20d: 29.4%). Max pain ranged from $148.00 to $151.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.48.

Notable Days

2020-04-09: Highest Volume — 396,578 contracts
2020-04-08: Largest IV drop — 11.8% change
2020-04-06: Highest IV Rank — 64.0%
2020-04-06: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$158.81	$149.58	$163.11	$149.58	$158.82
Max Pain	$149.76	$148.00	$151.00	$150.00	$151.00
ATM IV	25.4%	20.3%	31.3%	26.2%	21.3%
Expected Move	7.3%	5.8%	8.9%	7.5%	6.2%
HV 20d	29.4%	19.9%	38.1%	36.9%	21.5%
HV 60d	25.9%	24.4%	26.8%	24.4%	26.8%
IV Rank	47.8%	33.9%	64.0%	49.9%	36.8%
IV Percentile	91.3%	84.9%	96.0%	94.8%	85.7%
Term Structure	-0.1%	-0.4%	0.3%	-0.2%	0.3%
VWIV	26.5%	20.8%	32.2%	27.1%	22.6%
Skew 25d	-2.3%	-5.9%	-0.6%	-2.2%	-0.6%
Skew 10d	-3.9%	-10.1%	-0.8%	-3.2%	-0.8%
Call IV 25d	27.7%	21.8%	35.2%	28.4%	22.5%
Put IV 25d	25.4%	20.4%	30.3%	26.3%	21.9%
Bid-Ask Spread %	2.46	1.69	3.85	2.88	2.18
Gamma HHI	0.05	0.04	0.07	0.04	0.05
Net GEX	603.3M	295.6M	870.9M	295.6M	491.8M
Net DEX	-13.32B	-18.23B	-6.57B	-6.57B	-11.66B
Net VEX	-81.2M	-86.1M	-77.0M	-83.9M	-80.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.31	0.78	0.53	0.42
Total Volume	214,185.381	111,622	396,578	203,662	233,305
Total OI	3,392,391.19	3,037,768	3,782,080	3,450,509	3,355,815

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
2020-04-01	$149.58	$150.00	26.2%	7.5%	36.9%	49.9%	27.1%	-2.2%	-0.2%	295.6M	-6.57B	-83.9M	0.53	2.88	133,321	70,341	2,222,561	1,227,948
2020-04-02	$152.22	$148.00	28.8%	8.2%	36.6%	57.2%	30.5%	-5.9%	-0.2%	385.1M	-9.09B	-86.1M	0.31	2.82	159,480	49,344	2,220,762	1,254,052
2020-04-03	$152.57	$148.00	28.1%	8.0%	36.6%	55.3%	29.4%	-5.7%	-0.1%	425.0M	-9.47B	-84.1M	0.44	2.78	92,516	40,635	2,229,908	1,267,108
2020-04-06	$156.92	$148.00	31.3%	8.9%	38.1%	64.0%	32.2%	-4.8%	-0.2%	527.4M	-12.93B	-84.7M	0.46	2.73	138,630	63,234	2,191,886	1,236,198
2020-04-07	$155.90	$148.00	30.5%	8.6%	37.8%	61.8%	31.8%	-3.3%	-0.3%	533.9M	-12.03B	-83.9M	0.31	2.38	102,048	31,669	2,211,113	1,249,661
2020-04-08	$155.22	$148.00	26.9%	7.7%	37.8%	52.0%	28.1%	-2.9%	-0.2%	561.7M	-11.55B	-82.2M	0.48	2.95	75,263	36,359	2,236,369	1,259,377
2020-04-09	$158.17	$148.00	23.8%	6.8%	34.2%	43.4%	24.8%	-2.1%	0.1%	775.0M	-14.18B	-80.0M	0.45	2.68	274,268	122,310	2,238,140	1,270,377
2020-04-13	$162.08	$148.00	25.8%	7.4%	32.4%	49.0%	27.0%	-4.1%	0.0%	807.9M	-17.44B	-77.7M	0.38	3.85	272,500	102,695	2,210,677	1,275,755
2020-04-14	$162.90	$149.00	25.5%	7.3%	31.2%	48.1%	26.4%	-2.3%	-0.3%	870.9M	-18.23B	-78.9M	0.59	2.38	219,305	129,479	2,298,249	1,312,009
2020-04-15	$161.97	$150.00	23.9%	6.9%	30.8%	43.9%	24.9%	-1.1%	-0.1%	844.4M	-17.00B	-79.8M	0.66	2.35	99,780	65,490	2,311,096	1,377,318
2020-04-16	$161.64	$150.00	24.2%	6.9%	28.5%	44.6%	25.3%	-1.5%	-0.3%	853.5M	-16.81B	-79.8M	0.53	2.81	124,478	66,393	2,334,326	1,401,527
2020-04-17	$158.31	$151.00	22.9%	6.6%	29.6%	41.1%	24.1%	-1.2%	-0.2%	599.1M	-12.75B	-80.0M	0.57	2.79	189,518	108,637	2,351,206	1,430,874
2020-04-20	$159.52	$151.00	24.1%	6.9%	29.6%	44.2%	25.3%	-1.8%	-0.4%	520.0M	-12.42B	-80.1M	0.46	2.40	91,944	41,850	2,021,347	1,016,421
2020-04-21	$158.42	$151.00	26.2%	7.6%	25.6%	50.1%	27.5%	-0.9%	-0.3%	473.9M	-11.55B	-81.4M	0.55	2.17	105,031	57,346	2,040,444	1,031,670
2020-04-22	$161.47	$151.00	26.7%	7.7%	22.0%	51.5%	27.6%	-1.6%	-0.3%	596.5M	-14.15B	-81.5M	0.33	1.91	144,019	47,284	2,064,870	1,042,691
2020-04-23	$163.11	$151.00	26.7%	7.7%	21.9%	51.4%	27.8%	-1.0%	-0.4%	645.9M	-15.36B	-81.3M	0.49	2.03	195,209	96,542	2,092,227	1,056,397
2020-04-24	$162.36	$151.00	25.5%	7.3%	21.9%	48.2%	26.5%	-1.3%	-0.3%	607.1M	-14.94B	-82.9M	0.47	1.93	111,538	52,011	2,155,938	1,104,376
2020-04-27	$161.38	$151.00	23.1%	6.7%	22.0%	41.7%	24.7%	-1.5%	0.0%	591.8M	-13.86B	-79.4M	0.78	1.94	82,564	64,448	2,108,215	1,050,573
2020-04-28	$160.61	$151.00	21.2%	6.0%	22.1%	36.4%	22.1%	-1.4%	0.2%	597.1M	-13.32B	-78.6M	0.32	1.69	136,810	43,457	2,137,300	1,082,774
2020-04-29	$161.77	$151.00	20.3%	5.8%	19.9%	33.9%	20.8%	-1.4%	0.3%	665.0M	-14.38B	-77.0M	0.59	1.93	143,000	83,842	2,150,670	1,109,990
2020-04-30	$158.82	$151.00	21.3%	6.2%	21.5%	36.8%	22.6%	-0.6%	0.3%	491.8M	-11.66B	-80.7M	0.42	2.18	164,807	68,498	2,201,575	1,154,240