GLD Options History — December 2020

In December 2020, GLD traded between $170.25 and $178.21. ATM implied volatility averaged 17.4%, 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 0.1% (HV 20d: 17.5%). Max pain ranged from $160.00 to $170.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.53.

Notable Days

2020-12-17: Highest Volume — 288,764 contracts
2020-12-28: Largest IV spike — 7.2% change
2020-12-09: Highest IV Rank — 28.2%
2020-12-09: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$174.42	$170.25	$178.21	$170.25	$178.21
Max Pain	$163.09	$160.00	$170.00	$170.00	$165.00
ATM IV	17.4%	16.1%	18.4%	16.9%	17.9%
Expected Move	5.0%	4.6%	5.2%	5.0%	5.1%
HV 20d	17.5%	12.4%	24.0%	23.7%	12.4%
HV 60d	17.4%	17.0%	17.9%	17.3%	17.0%
IV Rank	24.4%	18.3%	28.2%	24.1%	23.5%
IV Percentile	42.4%	28.6%	52.8%	40.9%	46.8%
Term Structure	0.2%	-0.4%	0.8%	0.7%	0.3%
VWIV	18.3%	17.0%	19.2%	18.2%	18.8%
Skew 25d	-0.7%	-1.5%	-0.1%	-1.1%	-0.6%
Skew 10d	-0.2%	-1.9%	1.3%	-1.3%	0.9%
Call IV 25d	18.4%	17.1%	19.5%	18.2%	18.8%
Put IV 25d	17.6%	16.4%	18.7%	17.1%	18.2%
Bid-Ask Spread %	1.26	1.08	1.52	1.31	1.40
Gamma HHI	0.05	0.04	0.07	0.04	0.07
Net GEX	647.0M	366.6M	992.2M	366.6M	992.2M
Net DEX	-11.12B	-14.54B	-7.40B	-7.40B	-14.29B
Net VEX	-67.6M	-70.6M	-65.1M	-66.0M	-65.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.35	0.77	0.47	0.44
Total Volume	153,911.636	78,147	288,764	259,977	190,752
Total OI	4,005,085.182	3,663,819	4,431,828	3,910,365	3,811,537

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
2020-12-01	$170.25	$170.00	16.9%	5.0%	23.7%	24.1%	18.2%	-1.1%	0.7%	366.6M	-7.40B	-66.0M	0.47	1.31	177,384	82,593	2,721,812	1,188,553
2020-12-02	$171.57	$170.00	17.2%	5.0%	23.8%	24.9%	17.9%	-0.7%	0.7%	457.6M	-8.46B	-67.2M	0.35	1.26	129,138	45,196	2,771,484	1,212,431
2020-12-03	$172.72	$160.00	17.4%	5.1%	24.0%	25.6%	18.6%	-0.4%	0.6%	561.9M	-9.66B	-68.7M	0.42	1.13	124,797	52,231	2,825,345	1,228,235
2020-12-04	$172.25	$160.00	17.0%	5.0%	21.5%	24.3%	17.7%	-0.1%	0.8%	503.1M	-9.05B	-67.5M	0.69	1.20	102,891	70,990	2,859,013	1,242,090
2020-12-07	$174.75	$160.00	17.9%	5.1%	22.4%	26.8%	18.4%	-1.1%	-0.1%	623.6M	-11.56B	-68.5M	0.37	1.11	149,143	54,946	2,828,360	1,231,880
2020-12-08	$175.47	$160.00	18.0%	5.1%	15.5%	27.2%	18.8%	-1.1%	-0.1%	727.2M	-12.50B	-69.4M	0.50	1.28	73,260	36,577	2,867,768	1,241,269
2020-12-09	$172.17	$160.00	18.4%	5.2%	16.7%	28.2%	18.9%	-0.6%	-0.2%	457.3M	-9.03B	-68.1M	0.46	1.22	126,274	58,121	2,881,477	1,247,575
2020-12-10	$172.28	$161.00	17.9%	5.1%	16.6%	26.8%	18.7%	-0.5%	-0.0%	478.9M	-9.20B	-68.6M	0.62	1.26	69,006	42,678	2,932,417	1,268,040
2020-12-11	$172.42	$161.00	17.4%	5.0%	16.4%	25.4%	18.4%	-0.7%	-0.0%	488.9M	-9.40B	-68.5M	0.66	1.19	87,683	57,565	2,953,781	1,283,216
2020-12-14	$171.46	$161.00	17.6%	5.0%	16.2%	25.9%	18.9%	-0.4%	-0.1%	383.0M	-8.36B	-66.5M	0.77	1.32	64,807	49,781	2,933,420	1,273,789
2020-12-15	$173.86	$161.00	17.7%	5.1%	17.1%	26.4%	18.9%	-0.3%	-0.1%	581.4M	-10.81B	-68.1M	0.58	1.18	100,720	58,604	2,938,220	1,297,026
2020-12-16	$174.78	$161.00	17.4%	5.0%	17.2%	25.5%	17.7%	-0.6%	-0.2%	696.7M	-11.99B	-68.3M	0.51	1.21	101,349	51,861	2,980,693	1,325,818
2020-12-17	$176.71	$162.00	18.1%	5.2%	17.6%	27.3%	19.2%	-1.5%	-0.4%	917.5M	-14.54B	-70.6M	0.41	1.08	204,978	83,786	3,014,724	1,342,553
2020-12-18	$176.25	$163.00	17.1%	4.9%	17.6%	24.6%	17.7%	-1.2%	-0.1%	811.1M	-13.79B	-70.3M	0.50	1.15	99,663	49,437	3,058,808	1,373,020
2020-12-21	$176.00	$164.00	17.6%	5.1%	17.6%	25.9%	18.4%	-1.2%	0.3%	729.3M	-12.40B	-68.9M	0.46	1.23	78,295	36,150	2,553,529	1,110,290
2020-12-22	$174.47	$164.00	17.0%	4.9%	16.4%	22.3%	18.3%	-0.6%	0.5%	637.6M	-10.61B	-67.2M	0.70	1.33	75,321	52,422	2,551,800	1,125,593
2020-12-23	$175.49	$165.00	16.1%	4.6%	15.1%	18.3%	17.0%	-0.5%	0.5%	691.8M	-11.53B	-66.4M	0.65	1.31	63,475	41,420	2,566,405	1,142,821
2020-12-24	$176.35	$165.00	16.2%	4.6%	15.1%	18.6%	17.2%	-0.9%	0.6%	759.2M	-12.55B	-67.2M	0.58	1.40	52,320	30,266	2,581,251	1,163,282
2020-12-28	$175.78	$165.00	17.3%	5.0%	14.5%	21.9%	18.9%	-0.8%	0.4%	720.7M	-11.71B	-65.1M	0.35	1.52	105,563	37,266	2,548,534	1,136,329
2020-12-29	$176.38	$165.00	16.9%	4.8%	14.2%	20.6%	17.5%	-0.7%	0.3%	781.7M	-12.32B	-65.3M	0.38	1.29	56,534	21,613	2,583,665	1,154,126
2020-12-30	$177.53	$165.00	17.4%	4.9%	12.6%	22.2%	18.7%	-0.9%	0.3%	866.4M	-13.49B	-65.2M	0.71	1.26	81,524	57,676	2,599,488	1,160,407
2020-12-31	$178.21	$165.00	17.9%	5.1%	12.4%	23.5%	18.8%	-0.6%	0.3%	992.2M	-14.29B	-65.8M	0.44	1.40	132,822	57,930	2,626,003	1,185,534