GLD Options History — July 2020

In July 2020, GLD traded between $166.57 and $185.32. ATM implied volatility averaged 17.1%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 8.0% (HV 20d: 9.1%). Max pain ranged from $163.00 to $170.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.45.

Notable Days

2020-07-23: Highest Volume — 726,136 contracts
2020-07-22: Largest IV spike — 33.3% change
2020-07-28: Highest IV Rank — 50.2%
2020-07-28: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$173.76	$166.57	$185.32	$166.57	$185.32
Max Pain	$165.55	$163.00	$170.00	$163.00	$170.00
ATM IV	17.1%	13.0%	26.4%	16.3%	21.2%
Expected Move	5.0%	3.8%	7.8%	4.5%	6.1%
HV 20d	9.1%	7.0%	12.2%	12.2%	11.1%
HV 60d	13.5%	12.6%	15.3%	15.3%	12.8%
IV Rank	24.6%	13.4%	50.2%	22.3%	36.0%
IV Percentile	62.2%	34.9%	92.1%	67.5%	81.0%
Term Structure	0.2%	-0.4%	0.5%	0.4%	0.4%
VWIV	17.9%	14.2%	27.8%	16.0%	22.0%
Skew 25d	-1.7%	-4.2%	-0.4%	-1.2%	-2.3%
Skew 10d	-2.3%	-7.2%	-0.2%	-1.1%	-3.7%
Call IV 25d	18.6%	13.9%	28.9%	17.4%	23.2%
Put IV 25d	16.9%	13.3%	25.4%	16.1%	20.9%
Bid-Ask Spread %	2.00	1.58	2.49	1.76	1.82
Gamma HHI	0.09	0.06	0.25	0.06	0.10
Net GEX	1.00B	780.4M	1.50B	780.4M	1.15B
Net DEX	-20.19B	-31.14B	-13.68B	-13.68B	-31.14B
Net VEX	-84.3M	-95.6M	-79.1M	-82.4M	-94.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.27	0.80	0.56	0.34
Total Volume	325,715.182	134,618	726,136	208,074	528,000
Total OI	3,807,978.955	3,402,619	4,497,153	3,402,619	4,497,153

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
2020-07-01	$166.57	$163.00	16.3%	4.5%	12.2%	22.3%	16.0%	-1.2%	0.4%	780.4M	-13.68B	-82.4M	0.56	1.76	133,553	74,521	2,309,582	1,093,037
2020-07-02	$166.86	$163.00	15.3%	4.1%	11.8%	19.6%	14.7%	-1.2%	0.5%	844.2M	-14.23B	-83.3M	0.58	1.58	98,482	56,947	2,342,321	1,137,057
2020-07-06	$167.89	$163.00	14.9%	4.5%	8.8%	18.7%	16.2%	-1.3%	0.3%	862.9M	-14.87B	-79.9M	0.80	1.90	105,377	83,798	2,315,467	1,133,026
2020-07-07	$168.89	$163.00	14.9%	4.5%	8.4%	18.5%	16.1%	-1.4%	0.4%	934.8M	-16.14B	-79.1M	0.40	2.17	150,827	60,153	2,339,237	1,148,727
2020-07-08	$170.08	$164.00	15.2%	4.6%	8.3%	19.5%	16.6%	-1.2%	0.4%	1.10B	-17.51B	-80.2M	0.53	2.06	232,392	122,218	2,392,334	1,162,415
2020-07-09	$169.44	$165.00	14.9%	4.4%	7.6%	18.5%	15.8%	-0.5%	0.3%	1.00B	-16.65B	-81.5M	0.41	2.32	185,165	75,371	2,442,308	1,214,475
2020-07-10	$169.17	$165.00	14.4%	4.3%	7.4%	17.1%	15.3%	-0.7%	0.2%	927.5M	-16.29B	-81.6M	0.40	1.95	112,327	44,493	2,481,229	1,255,280
2020-07-13	$169.39	$165.00	14.6%	4.3%	7.3%	17.9%	15.4%	-1.0%	0.1%	935.0M	-16.38B	-80.3M	0.53	2.20	88,174	46,444	2,463,896	1,234,094
2020-07-14	$170.06	$165.00	14.3%	4.2%	7.0%	16.9%	14.9%	-0.9%	0.2%	964.9M	-17.10B	-79.9M	0.49	2.16	106,971	52,734	2,487,438	1,260,565
2020-07-15	$170.23	$165.00	13.7%	4.0%	7.0%	15.4%	14.4%	-0.8%	0.3%	1.06B	-17.40B	-79.8M	0.68	2.21	121,536	82,572	2,526,066	1,277,078
2020-07-16	$168.79	$165.00	13.6%	4.0%	8.0%	15.1%	14.3%	-0.4%	0.3%	904.0M	-15.49B	-80.2M	0.35	2.33	179,925	62,980	2,546,024	1,305,051
2020-07-17	$170.17	$165.00	13.0%	3.8%	8.2%	13.4%	14.2%	-0.6%	0.2%	1.50B	-17.79B	-80.0M	0.36	2.07	198,302	71,197	2,619,600	1,338,733
2020-07-20	$170.89	$165.00	13.4%	3.8%	7.6%	14.4%	14.4%	-0.7%	0.2%	911.2M	-16.26B	-79.3M	0.47	1.82	125,157	59,074	2,397,596	1,164,821
2020-07-21	$172.93	$165.00	14.6%	4.2%	8.2%	17.7%	15.3%	-1.3%	0.1%	1.05B	-18.60B	-82.0M	0.36	2.17	223,335	80,875	2,445,405	1,199,885
2020-07-22	$175.67	$165.00	19.5%	5.6%	9.3%	31.1%	20.3%	-3.3%	-0.4%	1.02B	-21.38B	-83.1M	0.29	2.30	442,507	129,379	2,482,800	1,228,960
2020-07-23	$177.33	$165.00	19.3%	5.5%	9.4%	30.7%	19.8%	-2.8%	-0.2%	1.12B	-23.84B	-86.1M	0.27	1.59	571,321	154,815	2,625,521	1,293,736
2020-07-24	$178.57	$167.00	18.5%	5.3%	9.2%	28.5%	19.3%	-2.5%	-0.2%	1.19B	-25.36B	-87.5M	0.44	1.77	232,405	101,761	2,722,431	1,351,896
2020-07-27	$181.93	$167.00	22.5%	6.6%	10.6%	39.5%	23.7%	-4.2%	0.2%	966.4M	-27.28B	-89.1M	0.43	1.66	408,650	176,693	2,617,748	1,305,217
2020-07-28	$184.01	$168.00	26.4%	7.8%	10.8%	50.2%	27.8%	-3.5%	-0.1%	865.3M	-28.54B	-95.6M	0.38	1.74	343,363	130,826	2,689,612	1,370,105
2020-07-29	$184.92	$169.00	24.2%	7.1%	10.8%	44.2%	25.1%	-2.8%	-0.1%	967.1M	-29.86B	-94.3M	0.48	2.49	358,568	172,120	2,781,685	1,437,297
2020-07-30	$183.60	$170.00	21.2%	6.2%	11.0%	36.0%	22.5%	-2.3%	0.2%	983.6M	-28.45B	-94.7M	0.44	1.88	264,505	115,921	2,832,750	1,505,879
2020-07-31	$185.32	$170.00	21.2%	6.1%	11.1%	36.0%	22.0%	-2.3%	0.4%	1.15B	-31.14B	-94.4M	0.34	1.82	393,794	134,206	2,925,053	1,572,100