GLD Options History — May 2020

In May 2020, GLD traded between $158.96 and $164.42. ATM implied volatility averaged 19.5%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.9% (HV 20d: 16.6%). Max pain ranged from $147.00 to $151.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2020-05-15: Highest Volume — 290,340 contracts
2020-05-07: Largest IV spike — 8.6% change
2020-05-07: Highest IV Rank — 41.5%
2020-05-07: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$161.66	$158.96	$164.42	$160.14	$162.92
Max Pain	$148.65	$147.00	$151.00	$151.00	$150.00
ATM IV	19.5%	15.6%	23.2%	21.4%	16.0%
Expected Move	5.6%	4.4%	6.9%	6.0%	4.5%
HV 20d	16.6%	13.2%	20.9%	20.9%	13.2%
HV 60d	26.8%	25.5%	27.2%	26.8%	25.5%
IV Rank	31.2%	20.5%	41.5%	36.9%	21.5%
IV Percentile	79.8%	68.7%	87.3%	85.7%	70.2%
Term Structure	0.3%	-0.2%	0.9%	0.4%	-0.0%
VWIV	20.5%	16.2%	25.3%	21.6%	16.2%
Skew 25d	-1.7%	-2.6%	-1.0%	-1.0%	-1.9%
Skew 10d	-2.6%	-4.5%	-1.2%	-1.7%	-3.1%
Call IV 25d	21.0%	17.1%	24.7%	22.4%	17.2%
Put IV 25d	19.3%	15.1%	23.2%	21.4%	15.3%
Bid-Ask Spread %	1.97	1.40	3.13	1.95	1.74
Gamma HHI	0.06	0.05	0.14	0.05	0.06
Net GEX	713.2M	561.2M	1.01B	627.2M	880.0M
Net DEX	-14.44B	-18.47B	-12.13B	-13.26B	-14.98B
Net VEX	-85.5M	-91.2M	-80.9M	-83.4M	-82.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.25	0.62	0.53	0.41
Total Volume	194,866.5	137,540	290,340	187,078	203,649
Total OI	3,572,650.7	3,358,024	3,849,201	3,438,447	3,685,192

Daily Data (20 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
2020-05-01	$160.14	$151.00	21.4%	6.0%	20.9%	36.9%	21.6%	-1.0%	0.4%	627.2M	-13.26B	-83.4M	0.53	1.95	122,337	64,741	2,267,179	1,171,268
2020-05-04	$160.31	$147.00	20.7%	6.0%	20.9%	35.0%	21.8%	-1.3%	0.2%	617.4M	-13.40B	-82.1M	0.52	2.37	95,790	50,057	2,236,113	1,121,911
2020-05-05	$160.92	$147.00	21.9%	6.4%	18.6%	38.0%	23.9%	-1.5%	0.3%	624.6M	-13.96B	-84.6M	0.27	3.13	150,113	39,955	2,262,530	1,155,465
2020-05-06	$158.96	$147.00	21.4%	6.2%	19.0%	36.4%	23.1%	-1.3%	0.4%	561.2M	-12.36B	-86.1M	0.53	2.43	133,719	70,288	2,349,231	1,169,444
2020-05-07	$161.59	$147.00	23.2%	6.9%	19.7%	41.5%	25.3%	-1.5%	0.7%	695.4M	-15.10B	-89.8M	0.30	1.98	199,930	60,591	2,397,734	1,199,818
2020-05-08	$160.36	$147.00	22.1%	6.5%	18.9%	38.3%	23.6%	-1.7%	0.9%	687.5M	-14.16B	-91.2M	0.61	1.89	114,503	70,369	2,466,764	1,219,151
2020-05-11	$159.65	$148.00	21.1%	6.2%	16.7%	35.6%	23.2%	-1.9%	0.5%	626.8M	-13.26B	-88.7M	0.41	1.75	109,169	45,074	2,450,877	1,204,862
2020-05-12	$159.81	$148.00	19.7%	5.8%	16.6%	31.7%	20.8%	-2.0%	0.4%	679.8M	-13.54B	-86.7M	0.32	2.00	129,730	41,723	2,479,581	1,223,463
2020-05-13	$161.42	$148.00	19.9%	5.8%	16.9%	32.3%	20.9%	-2.1%	0.3%	810.9M	-15.43B	-87.2M	0.36	2.06	111,517	40,396	2,516,798	1,235,194
2020-05-14	$162.76	$148.00	21.4%	6.2%	17.2%	36.4%	22.2%	-2.5%	0.1%	882.4M	-17.09B	-88.6M	0.42	1.82	193,534	81,007	2,548,938	1,247,539
2020-05-15	$163.96	$148.00	21.3%	6.1%	15.4%	36.2%	22.0%	-2.6%	0.1%	1.01B	-18.47B	-88.8M	0.60	1.96	181,284	109,056	2,579,454	1,269,747
2020-05-18	$162.89	$149.00	20.6%	5.9%	15.5%	34.3%	21.6%	-2.2%	0.3%	667.0M	-14.71B	-88.2M	0.40	1.94	128,076	51,774	2,289,216	1,086,768
2020-05-19	$164.18	$148.00	19.1%	5.5%	15.4%	30.2%	20.2%	-1.3%	0.4%	726.1M	-15.83B	-86.9M	0.49	2.18	120,746	58,997	2,305,586	1,099,239
2020-05-20	$164.42	$150.00	18.1%	5.2%	14.0%	27.3%	18.9%	-1.4%	0.3%	785.0M	-16.19B	-84.3M	0.62	2.00	103,116	63,587	2,333,254	1,127,670
2020-05-21	$162.44	$150.00	17.5%	5.0%	14.2%	25.9%	18.1%	-1.7%	0.3%	687.5M	-14.13B	-84.7M	0.50	1.62	140,656	70,887	2,366,389	1,152,369
2020-05-22	$163.08	$150.00	17.0%	4.8%	14.2%	24.3%	17.1%	-1.7%	0.3%	640.4M	-14.92B	-83.7M	0.58	1.87	87,189	50,351	2,382,898	1,167,302
2020-05-26	$160.79	$150.00	15.8%	4.5%	15.0%	21.1%	16.7%	-1.6%	-0.1%	639.6M	-12.13B	-81.1M	0.60	1.68	138,854	83,491	2,344,196	1,142,888
2020-05-27	$161.08	$150.00	16.0%	4.5%	14.9%	21.6%	16.3%	-1.5%	-0.2%	662.3M	-12.59B	-81.1M	0.42	1.61	139,107	57,984	2,389,139	1,180,584
2020-05-28	$161.60	$150.00	15.6%	4.4%	14.7%	20.5%	16.4%	-2.0%	0.0%	756.4M	-13.36B	-80.9M	0.25	1.40	147,612	36,371	2,428,179	1,199,084
2020-05-29	$162.92	$150.00	16.0%	4.5%	13.2%	21.5%	16.2%	-1.9%	-0.0%	880.0M	-14.98B	-82.7M	0.41	1.74	144,546	59,103	2,475,376	1,209,816