GLD Options History — October 2020

In October 2020, GLD traded between $175.50 and $181.01. ATM implied volatility averaged 19.8%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.9% (HV 20d: 13.9%). Max pain ranged from $179.00 to $180.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.58.

Notable Days

2020-10-09: Highest Volume — 333,700 contracts
2020-10-05: Largest IV spike — 7.8% change
2020-10-07: Highest IV Rank — 37.3%
2020-10-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$178.49	$175.50	$181.01	$178.90	$176.42
Max Pain	$179.09	$179.00	$180.00	$180.00	$179.00
ATM IV	19.8%	18.3%	21.7%	18.3%	20.3%
Expected Move	5.7%	4.8%	6.2%	4.9%	6.2%
HV 20d	13.9%	11.8%	16.2%	13.9%	12.7%
HV 60d	19.6%	18.8%	20.3%	19.7%	18.8%
IV Rank	32.1%	27.8%	37.3%	27.8%	33.5%
IV Percentile	65.0%	55.2%	78.6%	61.9%	66.7%
Term Structure	0.0%	-0.7%	4.0%	4.0%	-0.1%
VWIV	20.4%	17.0%	22.5%	17.7%	22.5%
Skew 25d	-0.7%	-1.7%	-0.1%	-0.3%	-1.4%
Skew 10d	-0.6%	-2.9%	0.8%	0.4%	-2.9%
Call IV 25d	20.8%	18.1%	22.5%	18.3%	22.1%
Put IV 25d	20.1%	17.7%	22.3%	18.0%	20.7%
Bid-Ask Spread %	1.63	1.34	2.18	1.92	1.70
Gamma HHI	0.05	0.04	0.05	0.04	0.04
Net GEX	626.2M	392.9M	837.6M	649.1M	540.4M
Net DEX	-12.89B	-15.57B	-10.22B	-13.51B	-11.41B
Net VEX	-88.7M	-95.1M	-82.2M	-94.8M	-84.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.29	1.06	0.65	0.66
Total Volume	152,394.318	84,198	333,700	182,000	135,660
Total OI	3,989,470.909	3,734,237	4,264,042	3,993,826	3,969,244

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
2020-10-01	$178.90	$180.00	18.3%	4.9%	13.9%	27.8%	17.7%	-0.3%	4.0%	649.1M	-13.51B	-94.8M	0.65	1.92	110,627	71,373	2,732,159	1,261,667
2020-10-02	$178.68	$180.00	18.8%	4.8%	13.8%	29.3%	17.0%	-0.3%	4.0%	659.8M	-13.25B	-95.1M	0.29	2.18	148,888	42,790	2,754,197	1,286,264
2020-10-05	$179.44	$179.00	20.2%	5.8%	13.9%	33.3%	21.3%	-1.2%	-0.4%	668.5M	-13.87B	-93.1M	0.40	1.67	108,590	43,651	2,728,047	1,263,506
2020-10-06	$177.66	$179.00	21.1%	6.0%	14.3%	35.7%	21.6%	-0.5%	-0.3%	533.7M	-11.80B	-92.1M	0.62	1.85	91,590	56,488	2,764,081	1,274,157
2020-10-07	$177.04	$179.00	21.7%	6.0%	13.9%	37.3%	21.7%	-0.1%	-0.4%	450.7M	-10.99B	-92.3M	0.77	1.63	77,720	60,034	2,777,556	1,298,158
2020-10-08	$177.76	$179.00	20.5%	5.7%	14.0%	34.0%	20.9%	-0.1%	-0.4%	501.9M	-11.75B	-90.5M	0.64	1.67	72,675	46,170	2,802,008	1,315,046
2020-10-09	$181.01	$179.00	20.7%	5.8%	15.6%	34.6%	20.8%	-0.8%	-0.4%	837.6M	-15.57B	-92.5M	0.53	1.58	218,485	115,215	2,820,162	1,322,005
2020-10-12	$180.58	$179.00	20.7%	5.8%	15.2%	34.6%	20.7%	-1.1%	-0.2%	778.1M	-14.86B	-91.1M	0.44	1.92	72,060	31,522	2,810,344	1,283,163
2020-10-13	$177.83	$179.00	21.1%	6.0%	16.1%	35.5%	21.7%	-0.4%	-0.2%	517.3M	-11.61B	-89.3M	0.82	1.45	111,374	91,182	2,815,436	1,291,493
2020-10-14	$178.76	$179.00	20.3%	5.7%	16.2%	33.3%	21.0%	-0.9%	-0.2%	610.0M	-12.74B	-89.0M	0.58	1.58	80,920	46,845	2,848,789	1,334,146
2020-10-15	$179.08	$179.00	19.9%	5.6%	16.1%	32.4%	20.4%	-0.5%	-0.3%	668.7M	-13.14B	-89.3M	0.66	1.67	75,667	49,891	2,875,761	1,354,145
2020-10-16	$178.36	$179.00	18.6%	5.3%	16.1%	28.8%	19.1%	-0.6%	-0.1%	610.2M	-12.20B	-87.5M	0.59	1.46	107,889	63,966	2,894,271	1,369,771
2020-10-19	$178.61	$179.00	19.4%	5.6%	14.5%	31.0%	20.2%	-0.8%	-0.4%	609.4M	-12.98B	-86.9M	0.52	1.49	66,742	35,032	2,560,144	1,174,093
2020-10-20	$179.32	$179.00	19.6%	5.6%	14.4%	31.4%	20.4%	-0.8%	-0.7%	666.0M	-13.72B	-87.0M	0.38	1.43	94,992	35,773	2,578,349	1,185,712
2020-10-21	$180.51	$179.00	20.6%	5.9%	11.8%	34.2%	21.1%	-1.7%	-0.7%	777.3M	-15.14B	-88.4M	0.31	1.34	132,789	41,101	2,605,212	1,196,162
2020-10-22	$178.76	$179.00	19.8%	5.7%	12.5%	32.0%	20.4%	-1.1%	-0.5%	664.0M	-13.45B	-87.5M	0.37	1.60	105,048	38,957	2,652,568	1,211,510
2020-10-23	$178.53	$179.00	19.0%	5.5%	12.5%	29.8%	19.7%	-0.9%	-0.6%	692.9M	-13.29B	-86.9M	0.51	1.57	74,179	38,069	2,680,621	1,217,762
2020-10-26	$178.61	$179.00	18.8%	5.6%	12.2%	29.4%	20.0%	-1.0%	-0.4%	683.9M	-13.33B	-84.4M	0.49	1.55	56,391	27,807	2,650,542	1,172,824
2020-10-27	$179.10	$179.00	18.3%	5.4%	11.8%	27.9%	19.4%	-0.6%	-0.3%	753.8M	-13.68B	-84.0M	0.62	1.52	62,028	38,451	2,658,337	1,182,782
2020-10-28	$176.36	$179.00	19.1%	5.7%	12.9%	30.0%	20.5%	-0.3%	-0.1%	511.0M	-11.08B	-83.3M	0.83	1.59	122,354	101,260	2,677,617	1,192,727
2020-10-29	$175.50	$179.00	19.0%	5.7%	12.5%	29.9%	20.7%	-0.9%	-0.3%	392.9M	-10.22B	-82.2M	1.06	1.53	72,855	77,575	2,690,218	1,235,604
2020-10-30	$176.42	$179.00	20.3%	6.2%	12.7%	33.5%	22.5%	-1.4%	-0.1%	540.4M	-11.41B	-84.7M	0.66	1.70	81,760	53,900	2,712,139	1,257,105