GLD Options History — September 2020

In September 2020, GLD traded between $174.68 and $184.94. ATM implied volatility averaged 18.7%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.4% (HV 20d: 18.3%). Max pain ranged from $165.00 to $184.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2020-09-23: Highest Volume — 419,156 contracts
2020-09-23: Largest IV spike — 13.7% change
2020-09-03: Highest IV Rank — 37.0%
2020-09-03: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$180.56	$174.68	$184.94	$184.94	$177.22
Max Pain	$180.60	$165.00	$184.00	$165.00	$180.00
ATM IV	18.7%	16.5%	21.6%	20.6%	17.4%
Expected Move	5.4%	4.7%	6.1%	5.8%	4.9%
HV 20d	18.3%	12.3%	27.7%	27.7%	14.0%
HV 60d	18.8%	18.3%	19.7%	18.3%	19.7%
IV Rank	29.0%	22.9%	37.0%	34.3%	25.5%
IV Percentile	63.6%	55.2%	78.2%	71.4%	56.3%
Term Structure	0.5%	-0.4%	3.8%	0.4%	3.8%
VWIV	19.5%	17.4%	22.3%	21.0%	18.4%
Skew 25d	-1.0%	-2.2%	1.0%	-2.0%	-0.4%
Skew 10d	-1.0%	-3.4%	2.4%	-2.4%	-0.2%
Call IV 25d	20.0%	17.9%	23.0%	22.3%	18.4%
Put IV 25d	19.0%	16.9%	21.7%	20.4%	18.0%
Bid-Ask Spread %	1.85	1.26	2.45	1.26	2.11
Gamma HHI	0.05	0.04	0.06	0.05	0.04
Net GEX	615.1M	205.7M	912.6M	870.4M	553.5M
Net DEX	-17.78B	-24.27B	-8.61B	-24.27B	-12.67B
Net VEX	-96.3M	-105.5M	-91.5M	-105.5M	-93.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.25	0.71	0.45	0.60
Total Volume	235,585.048	135,566	419,156	204,834	201,603
Total OI	4,506,989.524	3,844,517	4,959,085	4,656,471	4,253,032

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
2020-09-01	$184.94	$165.00	20.6%	5.8%	27.7%	34.3%	21.0%	-2.0%	0.4%	870.4M	-24.27B	-105.5M	0.45	1.26	141,635	63,199	3,100,583	1,555,888
2020-09-02	$182.43	$165.00	21.1%	6.0%	27.3%	35.6%	21.9%	-1.8%	-0.2%	699.6M	-21.17B	-105.0M	0.54	1.51	176,848	95,601	3,119,073	1,575,499
2020-09-03	$181.54	$184.00	21.6%	6.1%	27.0%	37.0%	22.3%	-1.3%	-0.3%	621.3M	-20.09B	-105.1M	0.42	1.49	181,970	76,647	3,146,949	1,608,938
2020-09-04	$181.83	$184.00	20.1%	5.7%	26.8%	32.9%	20.6%	-1.8%	-0.1%	694.6M	-20.63B	-103.6M	0.56	1.94	173,470	97,236	3,177,142	1,621,666
2020-09-08	$181.54	$184.00	20.2%	5.7%	26.8%	33.1%	21.0%	-2.0%	-0.1%	687.3M	-20.24B	-99.5M	0.40	1.79	144,285	57,012	3,117,616	1,584,887
2020-09-09	$183.00	$183.00	19.4%	5.5%	19.2%	30.8%	20.2%	-2.2%	-0.1%	814.5M	-22.17B	-98.9M	0.37	1.92	116,260	42,685	3,140,543	1,606,481
2020-09-10	$182.35	$183.00	18.8%	5.4%	19.2%	29.3%	19.6%	-1.2%	-0.1%	777.6M	-21.23B	-97.7M	0.50	2.45	143,277	71,858	3,162,318	1,612,608
2020-09-11	$182.25	$183.00	17.9%	5.1%	18.4%	26.7%	19.1%	-1.9%	-0.1%	736.2M	-21.07B	-95.3M	0.45	2.00	128,070	58,206	3,161,016	1,623,953
2020-09-14	$183.92	$183.00	18.7%	5.4%	18.6%	29.2%	19.4%	-1.6%	-0.1%	833.4M	-22.99B	-94.0M	0.43	1.68	152,465	65,389	3,098,106	1,602,812
2020-09-15	$183.32	$183.00	17.8%	5.1%	17.2%	26.4%	18.2%	-1.6%	0.1%	794.1M	-22.44B	-94.2M	0.47	1.82	123,739	58,367	3,138,833	1,630,091
2020-09-16	$183.82	$182.00	17.7%	5.1%	16.7%	26.3%	18.8%	-2.2%	-0.1%	912.6M	-23.32B	-93.3M	0.44	1.90	188,098	83,377	3,183,889	1,658,248
2020-09-17	$182.75	$183.00	16.9%	4.8%	12.5%	24.0%	18.0%	-1.5%	-0.1%	739.3M	-21.55B	-94.2M	0.52	1.84	121,135	63,165	3,221,081	1,691,600
2020-09-18	$183.17	$183.00	16.5%	4.7%	12.3%	22.9%	17.4%	-1.0%	0.1%	766.1M	-22.16B	-94.0M	0.56	1.73	148,281	82,464	3,243,867	1,715,218
2020-09-21	$179.49	$183.00	17.7%	5.1%	13.9%	26.3%	18.7%	-0.2%	-0.2%	426.5M	-13.14B	-91.6M	0.66	1.83	245,507	162,847	2,609,909	1,234,608
2020-09-22	$178.65	$182.00	17.5%	5.0%	13.8%	25.6%	18.4%	-0.2%	-0.1%	374.6M	-12.40B	-91.5M	0.71	1.80	131,082	93,572	2,658,080	1,286,437
2020-09-23	$174.68	$182.00	19.9%	5.8%	15.8%	32.2%	20.6%	1.0%	-0.4%	205.7M	-8.61B	-91.8M	0.58	1.95	265,264	153,892	2,681,146	1,317,568
2020-09-24	$175.25	$180.50	19.3%	5.6%	15.0%	30.8%	20.3%	0.9%	-0.3%	271.2M	-9.38B	-94.3M	0.66	1.75	142,393	93,967	2,755,744	1,349,777
2020-09-25	$175.01	$180.00	18.1%	5.2%	14.7%	27.5%	18.8%	0.4%	-0.1%	213.0M	-9.45B	-93.2M	0.59	2.24	116,644	69,085	2,803,387	1,367,928
2020-09-28	$176.50	$180.00	17.7%	5.1%	13.4%	26.2%	18.2%	-0.1%	3.8%	414.4M	-11.28B	-91.7M	0.44	1.96	93,887	41,679	2,762,915	1,338,677
2020-09-29	$178.15	$180.00	18.0%	5.2%	14.0%	27.2%	18.8%	-0.5%	3.7%	511.4M	-13.18B	-93.6M	0.25	1.96	224,395	56,730	2,781,277	1,347,390
2020-09-30	$177.22	$180.00	17.4%	4.9%	14.0%	25.5%	18.4%	-0.4%	3.8%	553.5M	-12.67B	-93.7M	0.60	2.11	126,198	75,405	2,906,204	1,346,828