GLD Options History — February 2021 In February 2021, GLD traded between $162.28 and $174.46. ATM implied volatility averaged 16.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.7% (HV 20d: 15.1%). Max pain ranged from $170.00 to $173.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.69.
Notable Days 2021-02-26 : Highest Volume — 437,709 contracts2021-02-25 : Largest IV spike — 13.1% change2021-02-01 : Highest IV Rank — 25.8%2021-02-01 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $169.39 $162.28 $174.46 $174.46 $162.28 Max Pain $170.55 $170.00 $173.50 $173.50 $170.00 ATM IV 16.8% 15.8% 18.9% 18.9% 17.8% Expected Move 4.8% 4.4% 5.3% 5.3% 5.2% HV 20d 15.1% 13.0% 18.3% 18.3% 17.0% HV 60d 16.7% 15.9% 18.8% 18.6% 16.8% IV Rank 17.0% 9.2% 25.8% 25.8% 15.1% IV Percentile 27.5% 10.7% 54.4% 54.4% 42.1% Term Structure 0.1% -0.4% 0.6% -0.1% -0.1% VWIV 17.8% 16.3% 20.9% 20.9% 18.9% Skew 25d 0.0% -2.3% 2.7% -2.3% 2.7% Skew 10d 0.5% -4.5% 5.1% -4.5% 5.1% Call IV 25d 17.4% 16.3% 20.7% 20.7% 17.3% Put IV 25d 17.5% 16.1% 20.1% 18.4% 20.1% Bid-Ask Spread % 1.35 0.97 2.30 2.30 1.45 Gamma HHI 0.04 0.03 0.05 0.05 0.04 Net GEX 185.3M -101.6M 441.5M 441.5M -101.6M Net DEX -1.81B -5.59B 2.86B -5.59B 2.86B Net VEX -71.8M -77.2M -67.9M -77.2M -67.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.24 1.28 0.24 0.66 Total Volume 179,686.263 88,544 437,709 221,351 437,709 Total OI 2,968,933.579 2,787,994 3,154,812 2,796,543 2,981,199
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 2021-02-01 $174.46 $173.50 18.9% 5.3% 18.3% 25.8% 20.9% -2.3% -0.1% 441.5M -5.59B -77.2M 0.24 2.30 178,219 43,132 1,851,668 944,875 2021-02-02 $172.11 $173.50 16.8% 4.7% 16.6% 20.0% 17.5% -0.7% 0.2% 319.3M -3.45B -73.4M 0.48 2.19 90,248 43,508 1,925,769 956,434 2021-02-03 $171.85 $173.50 16.1% 4.4% 16.5% 17.9% 16.3% -0.6% 0.2% 286.7M -3.15B -71.0M 0.65 1.83 53,630 34,914 1,927,148 963,260 2021-02-04 $168.28 $170.00 16.9% 4.9% 17.2% 20.1% 18.1% -0.3% 0.2% 27.9M -353.5M -68.2M 0.47 1.28 241,111 112,743 1,931,297 970,106 2021-02-05 $169.76 $170.00 16.3% 4.8% 17.7% 18.4% 17.7% -0.8% 0.1% 164.0M -2.05B -72.3M 0.71 1.11 95,175 67,746 2,034,547 1,010,931 2021-02-08 $171.76 $170.00 16.2% 4.7% 13.9% 18.1% 17.3% -0.6% 0.3% 365.8M -3.64B -73.0M 0.39 1.05 87,840 34,564 1,993,739 984,588 2021-02-09 $172.12 $170.00 15.8% 4.6% 13.9% 17.1% 17.2% -0.6% 0.3% 379.6M -3.92B -72.9M 0.65 1.11 76,384 49,761 2,002,524 990,588 2021-02-10 $172.61 $170.00 16.1% 4.7% 13.8% 17.7% 16.9% -0.7% 0.3% 412.6M -4.23B -73.3M 0.79 1.16 51,476 40,630 2,013,318 1,005,542 2021-02-11 $171.14 $170.00 16.1% 4.7% 14.1% 17.7% 17.1% -0.4% 0.5% 280.5M -2.86B -72.3M 0.75 1.10 70,175 52,600 2,025,893 1,021,042 2021-02-12 $170.57 $170.00 16.0% 4.7% 14.2% 16.5% 16.8% -0.3% 0.6% 170.7M -2.26B -71.5M 0.71 1.09 76,659 54,083 2,041,426 1,042,577 2021-02-16 $168.22 $170.00 17.4% 5.0% 14.5% 20.6% 18.7% 0.2% 0.1% 72.4M -572.0M -69.1M 0.54 0.97 167,816 89,779 1,988,827 1,014,996 2021-02-17 $166.35 $170.00 18.2% 5.2% 14.6% 19.6% 18.9% 0.5% -0.2% -19.4M 691.3M -69.6M 0.81 1.15 128,686 104,828 2,027,676 1,041,983 2021-02-18 $166.33 $170.00 17.4% 5.0% 13.0% 16.8% 17.8% 0.5% 0.0% -18.9M 593.5M -70.2M 1.28 1.12 63,948 81,553 2,067,264 1,058,884 2021-02-19 $166.92 $170.00 16.8% 4.8% 13.2% 15.1% 17.7% 0.4% 0.0% 73.7M 151.5M -70.9M 0.88 1.15 83,772 73,852 2,080,484 1,074,328 2021-02-22 $169.53 $170.00 16.9% 4.8% 14.5% 12.2% 17.6% -0.2% -0.1% 233.7M -2.62B -73.2M 0.76 1.24 87,714 67,000 1,810,371 977,623 2021-02-23 $169.22 $170.00 16.0% 4.6% 14.5% 9.5% 16.7% 0.4% 0.0% 205.6M -2.22B -72.9M 0.83 1.45 63,378 52,299 1,839,211 1,004,619 2021-02-24 $168.83 $170.00 15.9% 4.5% 14.5% 9.2% 16.8% 0.9% -0.2% 178.5M -1.83B -72.8M 0.64 1.32 86,726 55,872 1,851,816 1,028,008 2021-02-25 $166.12 $170.00 18.0% 5.3% 15.3% 15.8% 19.1% 2.2% -0.4% 48.0M -9.4M -73.2M 0.87 1.55 114,894 99,615 1,879,332 1,045,845 2021-02-26 $162.28 $170.00 17.8% 5.2% 17.0% 15.1% 18.9% 2.7% -0.1% -101.6M 2.86B -67.9M 0.66 1.45 264,132 173,577 1,909,657 1,071,542
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