GLD Options History — July 2021 In July 2021, GLD traded between $166.22 and $171.22. ATM implied volatility averaged 13.5%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.6% (HV 20d: 11.0%). Max pain ranged from $166.00 to $168.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2021-07-29 : Highest Volume — 216,275 contracts2021-07-19 : Largest IV spike — 7.5% change2021-07-19 : Highest IV Rank — 15.6%2021-07-19 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $169.08 $166.22 $171.22 $166.22 $169.76 Max Pain $166.38 $166.00 $168.00 $167.00 $168.00 ATM IV 13.5% 12.9% 14.1% 14.1% 13.3% Expected Move 3.8% 3.6% 4.0% 4.0% 3.6% HV 20d 11.0% 7.1% 14.6% 14.5% 8.6% HV 60d 12.6% 12.1% 13.1% 13.1% 12.3% IV Rank 11.5% 6.9% 15.6% 15.0% 10.4% IV Percentile 15.6% 5.6% 27.4% 22.6% 11.1% Term Structure 0.1% -0.1% 0.4% 0.1% 0.4% VWIV 14.0% 13.0% 14.7% 14.3% 13.0% Skew 25d 0.2% -0.5% 0.9% 0.9% -0.4% Skew 10d 0.6% -0.5% 1.8% 1.8% -0.2% Call IV 25d 14.0% 13.0% 14.8% 14.1% 13.9% Put IV 25d 14.2% 13.5% 15.0% 15.0% 13.5% Bid-Ask Spread % 2.14 1.60 2.71 1.78 2.51 Gamma HHI 0.05 0.05 0.09 0.05 0.09 Net GEX 332.8M 156.8M 520.6M 156.8M 457.4M Net DEX -2.47B -4.90B -107.6M -107.6M -2.60B Net VEX -64.5M -67.0M -61.7M -66.1M -62.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.28 1.83 0.57 0.51 Total Volume 92,444.571 39,692 216,275 68,006 101,851 Total OI 2,908,397.762 2,654,430 3,155,832 3,072,983 2,780,660
Daily Data (21 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 2021-07-01 $166.22 $167.00 14.1% 4.0% 14.5% 15.0% 14.3% 0.9% 0.1% 156.8M -107.6M -66.1M 0.57 1.78 43,332 24,674 1,833,420 1,239,563 2021-07-02 $167.36 $167.00 13.6% 3.7% 14.1% 12.0% 13.8% 0.5% 0.1% 334.7M -1.16B -67.0M 0.76 1.79 57,593 43,930 1,848,237 1,250,126 2021-07-06 $168.19 $166.00 13.8% 4.0% 14.2% 13.5% 14.3% 0.3% -0.0% 295.8M -1.99B -66.1M 0.45 1.60 66,647 29,674 1,832,035 1,218,333 2021-07-07 $168.86 $166.00 13.6% 3.9% 14.4% 11.7% 14.1% 0.3% -0.0% 344.9M -2.56B -65.8M 0.39 2.30 44,083 17,042 1,832,747 1,228,525 2021-07-08 $168.51 $166.00 14.1% 4.0% 14.4% 15.4% 14.7% 0.2% -0.0% 337.3M -2.34B -66.3M 0.53 2.18 43,970 23,091 1,845,865 1,233,909 2021-07-09 $169.39 $166.00 13.7% 3.9% 14.4% 12.3% 14.3% -0.0% 0.0% 380.4M -3.15B -65.9M 0.55 1.89 47,050 26,054 1,852,960 1,240,876 2021-07-12 $169.08 $166.00 13.7% 3.9% 14.1% 12.4% 14.3% 0.2% -0.1% 344.9M -2.68B -64.1M 0.56 1.77 65,989 36,672 1,838,754 1,229,429 2021-07-13 $169.12 $166.00 13.5% 3.9% 14.0% 10.9% 14.5% 0.1% 0.0% 373.1M -2.86B -64.4M 1.19 2.03 41,249 48,945 1,858,965 1,234,018 2021-07-14 $170.92 $166.00 13.5% 3.9% 14.6% 10.9% 14.1% -0.1% 0.1% 520.4M -4.62B -66.0M 0.46 2.18 92,947 43,045 1,867,841 1,253,962 2021-07-15 $171.22 $166.00 13.5% 3.9% 13.7% 11.0% 14.3% -0.3% 0.1% 520.6M -4.90B -66.7M 0.54 2.49 49,432 26,829 1,876,729 1,258,902 2021-07-16 $169.50 $166.00 13.1% 3.8% 8.4% 8.7% 13.6% 0.0% 0.1% 353.8M -3.10B -65.5M 0.47 2.38 101,657 47,431 1,886,506 1,269,326 2021-07-19 $169.47 $166.00 14.1% 4.0% 8.2% 15.6% 14.6% 0.1% 0.0% 291.9M -2.49B -65.7M 0.41 1.99 48,625 19,995 1,601,625 1,071,239 2021-07-20 $169.31 $166.00 13.4% 3.9% 8.0% 10.7% 14.0% 0.2% 0.2% 307.8M -2.31B -63.8M 0.36 2.13 59,343 21,118 1,612,651 1,072,761 2021-07-21 $168.90 $167.00 13.3% 3.8% 7.9% 10.0% 13.9% 0.2% 0.2% 303.5M -2.05B -63.4M 0.83 2.14 21,922 18,191 1,631,688 1,077,164 2021-07-22 $169.08 $166.00 12.9% 3.7% 7.9% 7.2% 13.6% 0.3% 0.3% 319.6M -2.11B -62.5M 0.77 2.07 47,623 36,817 1,635,282 1,083,510 2021-07-23 $168.60 $166.00 12.9% 3.7% 8.0% 6.9% 13.3% 0.8% 0.3% 211.2M -1.64B -63.0M 0.62 2.41 47,644 29,630 1,655,322 1,110,376 2021-07-26 $168.28 $166.00 13.5% 3.8% 8.0% 11.5% 13.9% 0.3% 0.2% 191.2M -1.44B -61.7M 0.34 2.10 29,643 10,049 1,577,385 1,077,045 2021-07-27 $168.49 $167.00 13.8% 3.9% 8.0% 13.0% 14.0% 0.3% 0.2% 201.7M -1.62B -62.2M 0.29 2.27 58,484 17,247 1,590,090 1,085,441 2021-07-28 $169.21 $167.00 13.5% 3.8% 7.1% 11.4% 13.7% 0.3% 0.2% 266.7M -2.18B -62.1M 1.83 2.71 47,875 87,668 1,587,324 1,091,499 2021-07-29 $171.17 $167.00 13.4% 3.7% 7.9% 11.9% 13.7% -0.5% 0.3% 474.2M -3.93B -63.1M 0.28 2.27 168,815 47,460 1,610,669 1,093,594 2021-07-30 $169.76 $168.00 13.3% 3.6% 8.6% 10.4% 13.0% -0.4% 0.4% 457.4M -2.60B -62.3M 0.51 2.51 67,245 34,606 1,627,160 1,153,500
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