GLD Options History — January 2021

In January 2021, GLD traded between $171.43 and $182.75. ATM implied volatility averaged 17.5%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.1% (HV 20d: 17.4%). Max pain ranged from $170.00 to $173.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.53.

Notable Days

2021-01-08: Highest Volume — 616,030 contracts
2021-01-29: Largest IV spike — 6.8% change
2021-01-05: Highest IV Rank — 29.6%
2021-01-05: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$175.11	$171.43	$182.75	$182.15	$173.14
Max Pain	$172.47	$170.00	$173.00	$170.00	$173.00
ATM IV	17.5%	15.5%	20.0%	19.4%	17.7%
Expected Move	5.0%	4.4%	5.7%	5.6%	5.0%
HV 20d	17.4%	14.1%	18.5%	14.2%	18.1%
HV 60d	18.5%	17.5%	19.0%	17.6%	18.6%
IV Rank	22.3%	16.2%	29.6%	27.8%	22.5%
IV Percentile	37.7%	15.1%	62.7%	59.1%	42.5%
Term Structure	0.1%	-0.2%	0.4%	0.1%	0.4%
VWIV	18.3%	16.0%	20.6%	19.8%	18.8%
Skew 25d	-1.0%	-2.0%	-0.2%	-1.5%	-1.5%
Skew 10d	-1.0%	-2.6%	0.8%	-1.7%	-2.4%
Call IV 25d	18.7%	16.4%	21.4%	20.8%	19.1%
Put IV 25d	17.7%	15.8%	20.7%	19.3%	17.6%
Bid-Ask Spread %	2.05	1.29	3.88	1.29	3.88
Gamma HHI	0.05	0.04	0.07	0.07	0.04
Net GEX	495.8M	181.2M	1.08B	1.04B	354.6M
Net DEX	-7.92B	-18.20B	-3.54B	-17.73B	-4.46B
Net VEX	-70.7M	-77.1M	-63.6M	-65.8M	-77.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.37	0.96	0.37	0.47
Total Volume	227,267.526	82,353	616,030	347,940	180,975
Total OI	3,416,287.684	2,706,152	4,272,916	3,629,063	2,876,737

Daily Data (19 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
2021-01-04	$182.15	$170.00	19.4%	5.6%	14.2%	27.8%	19.8%	-1.5%	0.1%	1.04B	-17.73B	-65.8M	0.37	1.29	253,313	94,627	2,541,867	1,087,196
2021-01-05	$182.75	$170.00	20.0%	5.7%	14.1%	29.6%	20.2%	-1.3%	-0.0%	1.08B	-18.20B	-67.5M	0.38	1.54	290,122	109,358	2,598,433	1,119,285
2021-01-06	$180.11	$171.00	19.9%	5.6%	14.7%	29.3%	20.3%	-2.0%	-0.1%	900.1M	-15.21B	-68.8M	0.44	1.47	247,481	109,144	2,681,570	1,187,096
2021-01-07	$179.61	$172.00	18.8%	5.4%	14.7%	26.0%	19.2%	-1.7%	0.1%	921.6M	-14.74B	-68.7M	0.39	1.39	95,817	37,598	2,747,261	1,227,430
2021-01-08	$173.46	$172.00	19.8%	5.6%	18.3%	29.1%	20.6%	-0.2%	-0.0%	445.6M	-7.34B	-66.0M	0.73	2.40	356,212	259,818	2,765,105	1,238,138
2021-01-11	$173.21	$173.00	18.7%	5.3%	18.3%	25.8%	19.3%	-0.5%	-0.1%	374.5M	-7.31B	-64.7M	0.45	2.18	136,589	60,793	2,757,762	1,256,596
2021-01-12	$173.93	$173.00	18.0%	5.1%	18.3%	23.9%	19.2%	-0.7%	0.0%	435.6M	-8.24B	-63.6M	0.41	1.87	114,519	46,681	2,766,340	1,269,757
2021-01-13	$173.69	$173.00	17.0%	4.9%	18.2%	20.9%	17.9%	-1.1%	0.1%	399.1M	-7.72B	-63.7M	0.82	2.14	147,282	120,633	2,795,344	1,280,878
2021-01-14	$173.28	$173.00	17.1%	4.8%	17.5%	21.1%	18.2%	-0.9%	-0.2%	331.5M	-7.32B	-69.4M	0.47	1.78	201,332	94,387	2,860,749	1,355,022
2021-01-15	$171.43	$173.00	16.8%	4.8%	17.8%	20.3%	17.7%	-0.5%	-0.1%	181.2M	-5.47B	-71.7M	0.77	1.69	181,944	140,835	2,885,362	1,387,554
2021-01-19	$172.60	$173.00	16.3%	4.7%	17.5%	19.0%	17.5%	-1.0%	0.1%	220.1M	-3.62B	-73.6M	0.47	1.92	91,390	43,179	1,810,164	895,988
2021-01-20	$175.39	$173.00	16.6%	4.8%	18.5%	19.9%	17.3%	-1.3%	0.1%	476.7M	-5.99B	-76.0M	0.44	1.75	117,686	51,848	1,852,346	913,110
2021-01-21	$175.36	$173.00	16.6%	4.7%	18.5%	19.7%	17.9%	-1.4%	0.1%	524.6M	-6.06B	-76.7M	0.65	1.81	51,646	33,636	1,890,420	930,231
2021-01-22	$173.92	$173.00	16.1%	4.6%	18.5%	17.9%	16.9%	-0.9%	0.2%	348.5M	-4.73B	-75.3M	0.96	1.88	67,541	65,113	1,885,328	942,709
2021-01-25	$173.86	$173.00	16.1%	4.6%	18.3%	17.8%	16.9%	-0.7%	0.2%	385.0M	-4.53B	-74.1M	0.47	2.00	63,176	29,420	1,841,122	895,085
2021-01-26	$173.75	$173.00	15.5%	4.4%	18.2%	16.2%	16.0%	-0.7%	0.3%	373.9M	-4.36B	-72.9M	0.60	1.92	51,356	30,997	1,837,587	906,062
2021-01-27	$172.68	$173.00	15.9%	4.5%	18.3%	17.3%	16.4%	-0.4%	0.3%	301.2M	-3.54B	-72.7M	0.40	2.15	105,436	42,056	1,854,344	923,705
2021-01-28	$172.80	$173.00	16.6%	4.7%	18.2%	19.3%	17.7%	-1.0%	0.1%	330.4M	-3.98B	-74.8M	0.40	3.87	138,225	55,918	1,903,086	942,697
2021-01-29	$173.14	$173.00	17.7%	5.0%	18.1%	22.5%	18.8%	-1.5%	0.4%	354.6M	-4.46B	-77.1M	0.47	3.88	122,834	58,141	1,911,653	965,084