GLD Options History — August 2020

In August 2020, GLD traded between $180.29 and $193.60. ATM implied volatility averaged 22.5%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.5% (HV 20d: 22.9%). Max pain ranged from $161.00 to $170.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.49.

Notable Days

2020-08-11: Highest Volume — 762,332 contracts
2020-08-11: Largest IV spike — 15.2% change
2020-08-11: Highest IV Rank — 46.4%
2020-08-19: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$185.11	$180.29	$193.60	$185.75	$185.06
Max Pain	$165.33	$161.00	$170.00	$170.00	$165.00
ATM IV	22.5%	20.1%	25.0%	20.8%	21.4%
Expected Move	6.5%	5.8%	7.1%	6.0%	6.1%
HV 20d	22.9%	11.1%	28.5%	11.1%	28.5%
HV 60d	16.8%	12.5%	19.0%	12.5%	18.4%
IV Rank	39.4%	32.8%	46.4%	35.0%	36.4%
IV Percentile	81.4%	71.4%	88.9%	79.4%	77.4%
Term Structure	-0.1%	-0.7%	0.3%	-0.2%	0.3%
VWIV	23.3%	21.2%	25.8%	21.4%	22.1%
Skew 25d	-2.1%	-3.6%	-0.7%	-2.8%	-2.5%
Skew 10d	-3.0%	-6.6%	-0.5%	-3.7%	-3.6%
Call IV 25d	24.4%	21.5%	27.7%	23.2%	23.5%
Put IV 25d	22.3%	20.3%	25.2%	20.3%	21.0%
Bid-Ask Spread %	1.42	1.13	2.59	1.92	1.25
Gamma HHI	0.05	0.04	0.06	0.05	0.05
Net GEX	859.0M	644.5M	1.13B	995.8M	855.8M
Net DEX	-26.37B	-37.14B	-19.20B	-30.03B	-24.51B
Net VEX	-106.1M	-112.0M	-93.8M	-93.8M	-105.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.31	0.86	0.51	0.36
Total Volume	397,280.714	187,760	762,332	304,587	230,683
Total OI	4,914,655	4,444,832	5,416,834	4,444,832	4,593,379

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
2020-08-03	$185.75	$170.00	20.8%	6.0%	11.1%	35.0%	21.4%	-2.8%	-0.2%	995.8M	-30.03B	-93.8M	0.51	1.92	201,560	103,027	2,902,337	1,542,495
2020-08-04	$189.17	$170.00	23.2%	6.8%	12.1%	41.5%	24.3%	-3.2%	-0.2%	990.1M	-32.82B	-100.2M	0.38	2.59	376,719	141,400	2,927,868	1,591,117
2020-08-05	$192.03	$170.00	23.7%	6.9%	12.5%	42.9%	24.9%	-3.0%	-0.4%	1.04B	-35.88B	-99.6M	0.34	1.74	474,445	161,343	2,988,896	1,631,500
2020-08-06	$193.60	$161.00	24.7%	6.9%	12.0%	45.5%	24.5%	-3.6%	-0.7%	1.01B	-37.14B	-100.8M	0.38	1.28	412,480	154,844	3,055,797	1,689,413
2020-08-07	$191.11	$163.00	24.1%	6.8%	13.6%	44.0%	24.6%	-3.0%	-0.5%	923.3M	-34.44B	-105.8M	0.51	1.25	322,479	162,852	3,135,308	1,754,241
2020-08-10	$190.25	$164.00	21.7%	6.3%	14.0%	37.3%	22.6%	-2.5%	0.3%	951.3M	-32.86B	-101.5M	0.54	1.20	273,065	146,353	3,085,883	1,716,987
2020-08-11	$180.42	$164.00	25.0%	7.1%	25.2%	46.4%	25.7%	-0.8%	-0.3%	644.5M	-20.39B	-112.0M	0.73	1.27	439,594	322,738	3,194,898	1,796,274
2020-08-12	$180.29	$165.00	22.8%	6.5%	25.2%	40.2%	23.7%	-0.7%	0.0%	652.6M	-20.15B	-110.7M	0.86	1.33	219,005	188,140	3,229,421	1,849,482
2020-08-13	$183.16	$165.00	22.8%	6.6%	25.2%	40.4%	24.3%	-1.8%	0.1%	750.0M	-24.16B	-110.5M	0.48	1.54	269,056	129,465	3,273,838	1,902,429
2020-08-14	$182.56	$165.00	20.7%	6.0%	25.3%	34.5%	21.8%	-0.7%	0.2%	806.9M	-23.23B	-109.3M	0.75	1.53	151,144	113,843	3,342,537	1,926,286
2020-08-17	$186.18	$165.00	23.2%	6.6%	25.9%	41.3%	23.7%	-2.6%	-0.1%	976.8M	-28.80B	-108.9M	0.32	1.32	263,773	84,753	3,293,419	1,866,499
2020-08-18	$188.21	$165.00	22.8%	6.5%	25.9%	40.4%	23.7%	-2.4%	-0.0%	1.13B	-31.80B	-108.8M	0.49	1.21	247,703	120,311	3,358,060	1,890,155
2020-08-19	$182.39	$165.00	24.8%	7.1%	28.4%	45.8%	25.8%	-1.9%	-0.3%	747.0M	-23.22B	-111.3M	0.58	1.53	293,431	169,640	3,354,909	1,912,892
2020-08-20	$183.64	$165.00	23.2%	6.7%	28.3%	41.4%	23.8%	-2.1%	-0.4%	855.5M	-25.27B	-110.3M	0.39	1.28	291,122	113,887	3,414,311	1,938,617
2020-08-21	$181.94	$165.00	23.0%	6.6%	28.5%	40.8%	24.4%	-1.9%	-0.3%	683.2M	-23.31B	-110.2M	0.58	1.47	205,034	118,467	3,458,367	1,958,467
2020-08-24	$180.92	$165.00	21.3%	6.1%	27.8%	36.1%	22.2%	-1.1%	-0.1%	681.3M	-19.20B	-107.5M	0.31	1.19	199,967	61,105	3,068,428	1,550,356
2020-08-25	$181.11	$165.00	20.1%	5.8%	27.5%	32.8%	21.2%	-1.3%	-0.1%	727.5M	-19.79B	-106.0M	0.45	1.19	129,081	58,679	3,129,657	1,571,560
2020-08-26	$183.38	$165.00	21.4%	6.2%	27.8%	36.4%	22.4%	-1.3%	-0.1%	845.1M	-22.26B	-105.4M	0.40	1.43	201,244	81,091	3,106,880	1,587,790
2020-08-27	$181.42	$165.00	20.4%	5.9%	28.0%	33.7%	21.2%	-1.7%	-0.2%	756.8M	-20.12B	-105.9M	0.49	1.22	205,406	100,109	3,177,813	1,614,187
2020-08-28	$184.62	$165.00	20.7%	5.9%	28.5%	34.5%	21.4%	-2.1%	-0.0%	1.02B	-24.46B	-105.3M	0.36	1.13	297,852	106,005	3,201,102	1,623,900
2020-08-31	$185.06	$165.00	21.4%	6.1%	28.5%	36.4%	22.1%	-2.5%	0.3%	855.8M	-24.51B	-105.2M	0.36	1.25	169,943	60,740	3,062,263	1,531,116