GLD Options History — March 2021

In March 2021, GLD traded between $157.67 and $163.57. ATM implied volatility averaged 15.7%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.2% (HV 20d: 15.5%). Max pain ranged from $162.00 to $170.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.78.

Notable Days

2021-03-04: Highest Volume — 276,694 contracts
2021-03-29: Largest IV spike — 9.8% change
2021-03-04: Highest IV Rank — 18.9%
2021-03-01: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$161.29	$157.67	$163.57	$161.50	$160.00
Max Pain	$163.59	$162.00	$170.00	$170.00	$162.00
ATM IV	15.7%	12.7%	19.0%	18.8%	14.0%
Expected Move	4.5%	3.5%	5.7%	5.7%	3.9%
HV 20d	15.5%	11.8%	16.9%	16.9%	13.8%
HV 60d	16.0%	15.7%	16.3%	16.2%	15.7%
IV Rank	9.5%	0.0%	18.9%	18.4%	6.9%
IV Percentile	17.9%	0.0%	54.8%	53.2%	3.2%
Term Structure	0.2%	-0.1%	0.5%	0.2%	0.2%
VWIV	16.4%	12.8%	20.1%	20.1%	15.0%
Skew 25d	0.9%	-0.5%	2.8%	1.7%	1.4%
Skew 10d	1.9%	-0.4%	5.2%	3.0%	3.1%
Call IV 25d	15.9%	12.5%	18.5%	18.5%	13.9%
Put IV 25d	16.8%	13.7%	21.2%	20.2%	15.3%
Bid-Ask Spread %	1.88	1.33	2.32	1.36	2.17
Gamma HHI	0.05	0.04	0.22	0.04	0.22
Net GEX	42.4M	-244.4M	270.4M	-30.8M	-244.4M
Net DEX	1.58B	-614.8M	4.37B	2.45B	1.30B
Net VEX	-64.0M	-68.2M	-56.8M	-67.3M	-59.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.45	1.06	0.87	0.71
Total Volume	146,721.217	73,942	276,694	209,532	195,970
Total OI	2,977,313.043	2,524,274	3,360,387	2,982,762	2,689,759

Daily Data (23 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
2021-03-01	$161.50	$170.00	18.8%	5.7%	16.9%	18.4%	20.1%	1.7%	0.2%	-30.8M	2.45B	-67.3M	0.87	1.36	112,062	97,470	1,932,632	1,050,130
2021-03-02	$162.56	$170.00	17.6%	5.2%	16.9%	14.7%	18.8%	1.2%	-0.1%	8.4M	1.70B	-68.2M	0.94	1.33	69,509	65,397	1,973,536	1,061,332
2021-03-03	$160.72	$170.00	18.4%	5.5%	16.7%	17.0%	19.8%	1.6%	0.0%	-12.2M	2.64B	-66.9M	1.06	1.58	93,015	98,813	1,998,525	1,052,909
2021-03-04	$159.07	$165.00	19.0%	5.4%	16.9%	18.9%	19.6%	2.8%	-0.1%	-109.6M	3.89B	-64.8M	0.74	1.96	159,208	117,486	2,017,191	1,089,062
2021-03-05	$159.17	$164.00	17.8%	5.1%	15.6%	15.1%	18.4%	1.1%	-0.1%	-76.5M	3.87B	-63.7M	0.80	2.01	105,510	84,573	2,054,432	1,109,586
2021-03-08	$157.67	$163.00	18.2%	5.2%	15.2%	16.5%	18.6%	1.4%	-0.1%	-88.7M	4.37B	-61.8M	0.71	1.77	97,248	69,273	2,029,357	1,091,825
2021-03-09	$160.82	$162.00	17.1%	4.9%	16.5%	12.9%	18.2%	0.8%	0.1%	21.0M	2.27B	-66.2M	0.65	1.99	76,389	49,505	2,068,981	1,099,154
2021-03-10	$161.69	$162.00	16.3%	4.7%	16.7%	10.3%	16.9%	0.4%	0.2%	49.2M	1.72B	-66.5M	0.88	1.76	63,928	56,200	2,074,510	1,105,069
2021-03-11	$161.47	$162.00	15.9%	4.6%	16.5%	9.2%	16.6%	0.5%	0.3%	31.1M	1.87B	-66.4M	0.83	1.67	55,536	46,298	2,087,616	1,129,087
2021-03-12	$161.50	$162.00	15.9%	4.6%	16.5%	9.2%	16.6%	0.5%	0.2%	35.7M	1.89B	-66.3M	0.67	1.78	95,497	63,507	2,094,218	1,155,570
2021-03-15	$162.19	$162.00	15.9%	4.6%	16.7%	9.1%	16.4%	-0.1%	0.0%	68.5M	1.34B	-65.8M	0.66	1.74	59,971	39,405	2,085,799	1,135,987
2021-03-16	$162.26	$162.00	15.8%	4.5%	16.1%	9.0%	16.3%	0.1%	-0.0%	70.8M	1.39B	-65.4M	0.45	1.66	69,982	31,624	2,097,910	1,154,960
2021-03-17	$163.57	$162.00	15.5%	4.4%	16.1%	7.9%	16.0%	-0.5%	0.0%	164.6M	327.2M	-65.4M	0.99	2.17	93,696	92,754	2,108,668	1,162,374
2021-03-18	$162.56	$162.00	15.7%	4.5%	16.2%	8.4%	16.1%	0.4%	0.1%	83.2M	1.41B	-64.6M	0.72	2.12	87,336	62,729	2,126,822	1,193,509
2021-03-19	$163.28	$163.00	14.4%	4.1%	16.2%	6.0%	14.8%	0.4%	0.3%	270.4M	754.7M	-64.7M	0.79	1.87	81,598	64,541	2,147,482	1,212,905
2021-03-22	$163.00	$163.00	14.3%	4.0%	15.0%	5.5%	14.8%	0.4%	0.4%	189.4M	-614.8M	-63.4M	0.84	2.05	40,192	33,750	1,592,446	931,828
2021-03-23	$161.93	$163.00	14.1%	4.0%	15.1%	4.7%	14.4%	0.8%	0.5%	133.4M	28.0M	-62.1M	0.79	1.86	45,763	36,010	1,601,007	935,615
2021-03-24	$162.49	$163.00	13.1%	3.7%	15.2%	0.5%	13.3%	0.6%	0.5%	177.0M	-208.3M	-62.0M	0.64	1.88	61,841	39,290	1,610,772	952,997
2021-03-25	$161.76	$162.50	13.0%	3.6%	14.3%	0.1%	13.2%	1.1%	0.4%	131.5M	273.6M	-61.3M	0.50	2.03	121,018	60,565	1,635,141	974,152
2021-03-26	$162.26	$163.00	12.7%	3.5%	11.8%	0.0%	12.8%	1.2%	0.5%	156.0M	-109.9M	-62.1M	0.63	1.98	50,462	31,811	1,646,914	989,056
2021-03-29	$160.33	$163.00	13.9%	3.9%	12.4%	6.7%	14.4%	1.4%	0.2%	32.0M	1.13B	-59.5M	1.04	2.13	68,453	71,417	1,625,113	962,052
2021-03-30	$157.78	$162.00	15.0%	4.3%	13.3%	12.4%	15.7%	1.8%	0.2%	-85.5M	2.63B	-56.8M	1.01	2.32	78,415	79,571	1,638,735	991,475
2021-03-31	$160.00	$162.00	14.0%	3.9%	13.8%	6.9%	15.0%	1.4%	0.2%	-244.4M	1.30B	-59.7M	0.71	2.17	114,410	81,560	1,669,769	1,019,990