GLD Options History — September 2021

In September 2021, GLD traded between $161.17 and $171.12. ATM implied volatility averaged 13.7%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.2% (HV 20d: 13.5%). Max pain ranged from $167.00 to $169.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2021-09-03: Highest Volume — 190,129 contracts
2021-09-16: Largest IV spike — 6.2% change
2021-09-29: Highest IV Rank — 31.5%
2021-09-29: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$166.05	$161.17	$171.12	$169.75	$164.18
Max Pain	$167.76	$167.00	$169.00	$169.00	$167.00
ATM IV	13.7%	12.9%	15.0%	13.2%	14.6%
Expected Move	4.0%	3.7%	4.5%	3.7%	4.3%
HV 20d	13.5%	11.6%	15.5%	15.5%	15.2%
HV 60d	12.7%	11.6%	13.6%	13.0%	13.2%
IV Rank	18.5%	9.9%	31.5%	13.1%	27.9%
IV Percentile	26.8%	5.6%	51.2%	9.9%	50.4%
Term Structure	0.0%	-0.2%	0.3%	0.3%	0.1%
VWIV	14.4%	13.2%	15.9%	13.4%	15.9%
Skew 25d	1.1%	0.0%	2.0%	0.1%	2.0%
Skew 10d	2.2%	0.3%	3.6%	0.9%	3.6%
Call IV 25d	13.7%	13.2%	14.7%	13.7%	14.1%
Put IV 25d	14.8%	13.5%	16.5%	13.8%	16.2%
Bid-Ask Spread %	2.14	1.47	3.10	1.47	2.41
Gamma HHI	0.07	0.05	0.11	0.08	0.05
Net GEX	195.5M	-130.3M	561.0M	446.9M	92.0M
Net DEX	-319.4M	-4.36B	2.69B	-3.17B	814.1M
Net VEX	-52.2M	-57.6M	-47.6M	-57.3M	-50.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.32	1.50	0.67	1.24
Total Volume	108,695.952	43,528	190,129	43,528	185,256
Total OI	2,744,177.333	2,338,894	3,060,296	2,879,193	2,595,369

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
2021-09-01	$169.75	$169.00	13.2%	3.7%	15.5%	13.1%	13.4%	0.1%	0.3%	446.9M	-3.17B	-57.3M	0.67	1.47	26,112	17,416	1,726,312	1,152,881
2021-09-02	$169.31	$168.00	12.9%	3.8%	15.5%	9.9%	13.7%	0.4%	0.2%	414.3M	-2.67B	-56.3M	0.63	2.09	29,164	18,318	1,735,123	1,165,845
2021-09-03	$171.12	$168.00	13.2%	3.8%	12.7%	13.0%	13.8%	0.0%	0.2%	561.0M	-4.36B	-57.6M	0.32	1.87	143,916	46,213	1,745,941	1,174,281
2021-09-07	$167.83	$168.00	13.5%	3.9%	13.1%	16.2%	14.2%	0.4%	-0.0%	289.9M	-1.32B	-53.5M	0.62	2.11	70,833	43,816	1,722,356	1,135,708
2021-09-08	$167.35	$168.00	13.1%	3.8%	13.1%	12.9%	13.6%	0.6%	0.1%	257.5M	-993.7M	-54.6M	0.70	2.14	33,948	23,831	1,762,781	1,145,291
2021-09-09	$167.94	$168.00	13.3%	3.8%	12.4%	14.1%	13.6%	0.4%	0.1%	316.4M	-1.50B	-54.9M	0.53	2.17	43,563	23,070	1,782,018	1,162,617
2021-09-10	$167.32	$168.00	13.1%	3.8%	12.6%	12.3%	13.7%	0.7%	0.2%	296.3M	-918.7M	-53.8M	1.17	2.18	33,053	38,680	1,790,766	1,167,184
2021-09-13	$167.71	$168.00	13.1%	3.8%	11.6%	12.2%	13.6%	0.8%	0.0%	332.4M	-1.33B	-53.6M	1.27	2.02	44,287	56,076	1,786,709	1,141,726
2021-09-14	$168.75	$168.00	13.0%	3.7%	11.6%	11.1%	13.2%	0.7%	-0.0%	436.1M	-2.18B	-53.8M	0.88	2.04	56,686	50,035	1,796,656	1,160,843
2021-09-15	$167.78	$168.00	13.0%	3.7%	11.8%	11.5%	13.4%	0.8%	-0.0%	346.8M	-1.20B	-53.3M	0.57	2.51	45,714	25,930	1,804,704	1,204,697
2021-09-16	$164.08	$168.00	13.8%	4.0%	14.3%	19.6%	14.2%	1.4%	-0.1%	-16.9M	1.82B	-50.4M	1.02	1.94	83,862	85,249	1,804,501	1,230,614
2021-09-17	$163.89	$168.00	13.8%	4.0%	14.2%	19.8%	14.4%	1.6%	-0.1%	9.1M	2.08B	-50.1M	1.26	2.16	60,069	75,963	1,818,869	1,241,427
2021-09-20	$164.89	$168.00	14.7%	4.3%	14.4%	28.3%	15.2%	1.1%	-0.2%	129.7M	194.5M	-51.7M	0.35	1.99	85,092	29,481	1,393,787	945,107
2021-09-21	$165.94	$168.00	14.1%	4.1%	13.9%	22.7%	14.5%	1.2%	-0.1%	190.1M	-459.9M	-52.0M	0.42	2.19	67,441	28,350	1,414,117	985,256
2021-09-22	$165.26	$168.00	13.9%	4.1%	14.0%	20.7%	15.3%	1.4%	-0.1%	187.5M	-82.0M	-51.2M	1.02	3.10	58,431	59,864	1,450,649	993,148
2021-09-23	$163.44	$167.00	14.4%	4.2%	14.3%	25.4%	15.1%	1.6%	-0.1%	43.0M	1.10B	-49.2M	1.50	1.97	43,496	65,281	1,445,223	1,002,274
2021-09-24	$163.46	$167.00	14.0%	4.0%	14.3%	21.1%	14.8%	2.0%	-0.1%	-40.4M	1.43B	-47.9M	1.07	1.99	82,228	87,794	1,454,471	1,030,315
2021-09-27	$163.72	$167.00	13.9%	4.0%	13.0%	20.8%	15.3%	1.8%	0.1%	19.4M	1.17B	-48.9M	1.11	2.18	41,331	45,746	1,443,587	1,027,272
2021-09-28	$162.10	$167.00	14.3%	4.2%	13.3%	24.8%	15.4%	1.8%	0.2%	-75.3M	2.18B	-47.6M	0.95	2.34	62,178	59,343	1,459,680	1,058,622
2021-09-29	$161.17	$167.00	15.0%	4.5%	13.2%	31.5%	15.6%	2.0%	0.2%	-130.3M	2.69B	-48.0M	1.16	2.05	48,750	56,749	1,479,743	1,089,254
2021-09-30	$164.18	$167.00	14.6%	4.3%	15.2%	27.9%	15.9%	2.0%	0.1%	92.0M	814.1M	-50.1M	1.24	2.41	82,713	102,543	1,491,255	1,104,114