GLD Options History — June 2020

In June 2020, GLD traded between $158.14 and $167.47. ATM implied volatility averaged 16.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.0% (HV 20d: 14.9%). Max pain ranged from $150.00 to $162.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.52.

Notable Days

2020-06-22: Highest Volume — 333,643 contracts
2020-06-11: Largest IV spike — 12.3% change
2020-06-11: Highest IV Rank — 32.9%
2020-06-11: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$163.23	$158.14	$167.47	$163.65	$167.47
Max Pain	$159.77	$150.00	$162.00	$150.00	$162.00
ATM IV	16.9%	15.1%	20.1%	15.9%	17.0%
Expected Move	4.8%	4.4%	5.8%	4.4%	4.7%
HV 20d	14.9%	13.0%	16.3%	13.0%	14.0%
HV 60d	20.7%	16.2%	25.7%	25.2%	16.2%
IV Rank	24.1%	19.2%	32.9%	21.4%	24.4%
IV Percentile	72.7%	62.7%	80.2%	69.8%	72.6%
Term Structure	0.2%	-0.1%	0.4%	0.2%	0.4%
VWIV	17.7%	15.6%	21.5%	15.6%	17.2%
Skew 25d	-1.6%	-2.4%	-1.0%	-2.1%	-1.6%
Skew 10d	-2.2%	-3.9%	-0.4%	-3.4%	-1.8%
Call IV 25d	18.3%	16.7%	22.2%	17.1%	18.3%
Put IV 25d	16.7%	15.0%	19.8%	15.0%	16.7%
Bid-Ask Spread %	1.81	1.50	2.54	2.07	1.50
Gamma HHI	0.07	0.05	0.31	0.06	0.06
Net GEX	860.9M	491.6M	1.64B	885.2M	826.7M
Net DEX	-14.15B	-16.65B	-9.49B	-15.89B	-15.77B
Net VEX	-82.7M	-85.5M	-79.4M	-81.6M	-83.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.23	0.99	0.43	0.53
Total Volume	210,744.273	116,137	333,643	132,092	223,093
Total OI	3,747,512.318	3,176,773	4,134,174	3,612,865	3,527,012

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
2020-06-01	$163.65	$150.00	15.9%	4.4%	13.0%	21.4%	15.6%	-2.1%	0.2%	885.2M	-15.89B	-81.6M	0.43	2.07	92,182	39,910	2,445,673	1,167,192
2020-06-02	$162.53	$150.00	16.0%	4.4%	13.3%	21.5%	15.9%	-2.3%	0.1%	818.8M	-14.75B	-81.0M	0.49	1.58	150,093	74,011	2,474,832	1,178,758
2020-06-03	$159.61	$150.00	16.0%	4.5%	14.9%	21.6%	16.8%	-1.8%	0.2%	599.5M	-11.25B	-81.6M	0.51	1.78	153,392	77,844	2,517,056	1,211,308
2020-06-04	$161.30	$161.00	15.7%	4.6%	14.6%	20.9%	16.8%	-1.6%	0.3%	753.8M	-13.18B	-82.2M	0.99	1.91	118,045	117,344	2,555,415	1,239,252
2020-06-05	$158.14	$161.00	15.6%	4.5%	15.1%	20.5%	17.1%	-1.2%	0.1%	491.6M	-9.49B	-79.4M	0.49	2.10	200,758	98,478	2,577,201	1,256,937
2020-06-08	$159.75	$161.00	15.1%	4.4%	15.4%	19.2%	16.6%	-1.5%	0.3%	704.1M	-11.47B	-79.5M	0.74	2.01	77,152	57,435	2,569,367	1,250,227
2020-06-09	$161.22	$161.00	16.1%	4.7%	15.7%	21.9%	17.4%	-1.8%	0.3%	826.7M	-13.40B	-81.3M	0.66	2.00	110,424	72,669	2,586,168	1,274,893
2020-06-10	$163.33	$161.00	17.9%	5.2%	16.3%	26.8%	19.4%	-2.4%	0.0%	951.1M	-16.05B	-85.0M	0.59	1.83	197,547	116,124	2,611,948	1,315,321
2020-06-11	$162.62	$161.00	20.1%	5.8%	16.0%	32.9%	21.5%	-2.4%	0.2%	907.5M	-15.43B	-85.5M	0.40	2.00	151,661	60,634	2,683,530	1,382,626
2020-06-12	$162.68	$161.00	18.3%	5.3%	15.8%	28.1%	19.6%	-1.7%	0.3%	1.05B	-15.36B	-85.5M	0.53	2.54	94,816	50,115	2,690,573	1,394,553
2020-06-15	$162.04	$161.00	18.2%	5.2%	15.6%	27.6%	18.9%	-1.1%	-0.1%	857.3M	-14.07B	-82.9M	0.45	1.79	133,486	59,478	2,641,996	1,323,428
2020-06-16	$162.26	$161.00	17.1%	4.9%	15.4%	24.6%	17.7%	-1.1%	0.1%	925.6M	-14.52B	-81.8M	0.52	1.77	131,256	68,833	2,681,962	1,344,998
2020-06-17	$162.47	$161.00	16.7%	4.8%	15.2%	23.7%	17.4%	-1.3%	0.1%	989.2M	-14.72B	-83.6M	0.36	1.68	120,366	43,879	2,712,258	1,390,622
2020-06-18	$162.12	$161.00	16.2%	4.6%	15.1%	22.2%	16.9%	-1.1%	0.2%	853.6M	-14.15B	-82.1M	0.61	1.83	72,223	43,914	2,713,444	1,407,814
2020-06-19	$163.82	$161.00	16.2%	4.7%	15.0%	22.3%	17.0%	-1.8%	0.2%	1.64B	-16.65B	-81.4M	0.41	1.71	182,470	73,994	2,719,180	1,414,994
2020-06-22	$164.97	$161.00	17.3%	5.0%	15.1%	25.1%	18.3%	-1.9%	0.4%	708.3M	-13.26B	-82.6M	0.23	1.71	270,327	63,316	2,154,824	1,021,949
2020-06-23	$166.42	$162.00	18.2%	5.3%	14.3%	27.7%	18.8%	-2.1%	0.2%	792.9M	-14.69B	-84.5M	0.66	1.57	138,123	90,747	2,223,349	1,056,228
2020-06-24	$166.11	$162.00	17.6%	5.1%	14.4%	25.9%	18.2%	-1.4%	0.1%	804.3M	-14.37B	-81.8M	0.44	1.62	168,257	74,146	2,243,763	1,084,051
2020-06-25	$165.72	$162.00	17.1%	4.9%	14.5%	24.5%	17.5%	-1.1%	0.1%	799.5M	-13.75B	-84.8M	0.76	1.50	83,769	63,435	2,309,620	1,124,661
2020-06-26	$166.39	$162.00	17.2%	4.9%	14.3%	24.8%	18.0%	-1.0%	0.4%	916.1M	-14.49B	-85.2M	0.43	1.70	175,696	74,733	2,336,540	1,147,698
2020-06-29	$166.53	$162.00	16.2%	4.5%	14.2%	22.2%	16.3%	-1.3%	0.4%	840.8M	-14.55B	-82.8M	0.30	1.64	131,080	39,119	2,349,302	1,132,748
2020-06-30	$167.47	$162.00	17.0%	4.7%	14.0%	24.4%	17.2%	-1.6%	0.4%	826.7M	-15.77B	-83.4M	0.53	1.50	145,682	77,411	2,376,764	1,150,248