GLD Options History — November 2020

In November 2020, GLD traded between $166.72 and $183.24. ATM implied volatility averaged 17.0%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.8% (HV 20d: 19.8%). Max pain ranged from $170.00 to $178.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.55.

Notable Days

2020-11-09: Highest Volume — 364,222 contracts
2020-11-04: Largest IV drop — 14.7% change
2020-11-02: Highest IV Rank — 34.1%
2020-11-03: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$175.31	$166.72	$183.24	$177.85	$166.72
Max Pain	$172.53	$170.00	$178.50	$178.00	$170.00
ATM IV	17.0%	15.0%	20.5%	20.5%	17.0%
Expected Move	5.0%	4.3%	6.4%	6.4%	5.2%
HV 20d	19.8%	12.6%	22.9%	12.9%	22.4%
HV 60d	17.0%	15.3%	18.8%	18.7%	16.7%
IV Rank	24.4%	18.8%	34.1%	34.1%	24.4%
IV Percentile	43.3%	30.2%	67.5%	67.5%	42.5%
Term Structure	0.2%	-0.4%	0.7%	-0.2%	0.5%
VWIV	18.5%	15.8%	23.6%	23.3%	19.1%
Skew 25d	-0.4%	-2.5%	1.0%	-1.3%	-0.1%
Skew 10d	-0.4%	-4.2%	3.1%	-2.3%	0.4%
Call IV 25d	17.9%	15.4%	21.9%	21.9%	17.7%
Put IV 25d	17.5%	15.2%	20.6%	20.6%	17.6%
Bid-Ask Spread %	1.45	1.18	2.73	1.72	1.32
Gamma HHI	0.05	0.04	0.06	0.05	0.04
Net GEX	497.1M	55.3M	1.07B	620.0M	196.1M
Net DEX	-10.16B	-18.99B	-3.91B	-12.77B	-3.91B
Net VEX	-72.2M	-83.3M	-61.8M	-83.2M	-61.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.29	0.83	0.58	0.57
Total Volume	189,641.65	99,070	364,222	137,400	216,298
Total OI	3,974,986.2	3,649,247	4,203,222	3,875,222	3,811,849

Daily Data (20 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
2020-11-02	$177.85	$178.00	20.5%	6.4%	12.9%	34.1%	23.3%	-1.3%	-0.2%	620.0M	-12.77B	-83.2M	0.58	1.72	87,015	50,385	2,658,126	1,217,096
2020-11-03	$178.97	$178.00	20.2%	6.4%	12.6%	33.3%	23.6%	-1.0%	-0.2%	673.9M	-13.79B	-81.9M	0.47	1.81	122,310	57,182	2,658,126	1,217,096
2020-11-04	$178.36	$178.50	17.3%	5.2%	12.6%	25.1%	18.6%	-1.2%	0.2%	719.8M	-13.04B	-79.4M	0.58	2.73	104,041	60,354	2,724,156	1,262,065
2020-11-05	$183.17	$170.00	19.1%	5.6%	15.7%	30.2%	20.6%	-2.5%	-0.0%	1.02B	-18.83B	-83.2M	0.33	1.42	254,930	84,048	2,738,689	1,268,907
2020-11-06	$183.24	$171.00	18.5%	5.5%	14.4%	28.4%	20.1%	-2.2%	0.5%	1.07B	-18.99B	-83.3M	0.31	1.25	131,018	40,817	2,780,745	1,286,183
2020-11-09	$175.03	$171.00	18.6%	5.5%	21.9%	28.8%	20.4%	-0.9%	0.6%	446.2M	-9.49B	-76.5M	0.47	1.39	247,020	117,202	2,744,448	1,254,348
2020-11-10	$176.07	$172.00	17.6%	5.2%	21.4%	26.0%	19.2%	-0.9%	0.7%	540.3M	-10.66B	-75.9M	0.60	1.24	99,253	59,162	2,785,446	1,270,754
2020-11-11	$174.88	$172.00	16.4%	4.9%	21.4%	22.6%	18.1%	-0.0%	0.6%	422.5M	-9.08B	-72.6M	0.62	1.33	62,022	38,634	2,774,016	1,271,388
2020-11-12	$175.94	$172.00	16.2%	4.8%	21.5%	22.0%	17.5%	0.2%	0.7%	521.7M	-10.13B	-72.5M	0.83	1.18	97,123	80,935	2,777,335	1,273,434
2020-11-13	$177.08	$172.00	15.0%	4.4%	21.7%	18.8%	16.9%	-0.6%	0.7%	664.7M	-11.26B	-71.6M	0.29	1.18	183,929	52,779	2,795,791	1,302,032
2020-11-16	$177.08	$172.00	15.6%	4.5%	21.7%	20.4%	16.7%	-1.0%	0.0%	652.3M	-11.35B	-70.0M	0.38	1.21	93,300	35,519	2,845,452	1,254,421
2020-11-17	$176.39	$172.00	15.0%	4.3%	21.6%	18.8%	15.8%	-0.3%	0.0%	575.8M	-10.44B	-68.9M	0.52	1.38	80,225	41,992	2,875,068	1,261,082
2020-11-18	$175.40	$172.00	15.2%	4.3%	21.5%	19.3%	15.9%	-0.3%	0.0%	425.1M	-9.27B	-68.2M	0.45	1.34	68,253	30,817	2,872,312	1,278,431
2020-11-19	$175.06	$172.00	15.7%	4.5%	21.3%	20.9%	16.5%	-0.1%	-0.0%	339.1M	-8.95B	-68.1M	0.74	1.31	110,549	81,867	2,875,457	1,281,770
2020-11-20	$175.75	$172.00	15.2%	4.4%	21.3%	19.5%	16.3%	0.8%	0.1%	363.9M	-9.55B	-68.2M	0.78	1.44	85,219	66,636	2,897,377	1,305,845
2020-11-23	$172.43	$172.00	16.3%	4.7%	22.3%	22.4%	17.1%	0.7%	0.2%	260.7M	-7.39B	-65.6M	0.64	1.31	144,697	92,578	2,526,075	1,123,172
2020-11-24	$169.51	$172.00	17.3%	5.0%	22.9%	25.3%	18.3%	1.0%	-0.3%	161.7M	-5.04B	-64.4M	0.68	1.42	141,000	95,497	2,537,211	1,144,121
2020-11-25	$169.53	$171.00	17.0%	5.0%	22.4%	24.3%	18.8%	0.4%	-0.3%	210.8M	-5.41B	-65.2M	0.47	1.42	89,147	41,956	2,586,623	1,158,693
2020-11-27	$167.75	$171.00	16.5%	4.9%	22.6%	23.1%	17.5%	0.6%	-0.4%	55.3M	-3.92B	-62.9M	0.65	1.51	149,728	97,396	2,632,038	1,172,546
2020-11-30	$166.72	$170.00	17.0%	5.2%	22.4%	24.4%	19.1%	-0.1%	0.5%	196.1M	-3.91B	-61.8M	0.57	1.32	137,989	78,309	2,658,891	1,152,958