GLD Options History — October 2021 In October 2021, GLD traded between $164.08 and $168.84. ATM implied volatility averaged 13.9%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.8% (HV 20d: 13.0%). Max pain ranged from $165.00 to $166.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.74.
Notable Days 2021-10-22 : Highest Volume — 206,985 contracts2021-10-25 : Largest IV spike — 6.8% change2021-10-25 : Highest IV Rank — 31.4%2021-10-25 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $166.11 $164.08 $168.84 $164.43 $166.65 Max Pain $165.24 $165.00 $166.00 $166.00 $166.00 ATM IV 13.9% 13.2% 14.6% 14.0% 13.7% Expected Move 4.0% 3.8% 4.3% 4.0% 4.0% HV 20d 13.0% 10.6% 15.2% 15.2% 11.1% HV 60d 13.6% 12.9% 14.0% 13.2% 13.9% IV Rank 21.9% 15.5% 31.4% 21.6% 21.3% IV Percentile 35.3% 13.5% 56.7% 40.9% 34.5% Term Structure -0.1% -0.3% 0.3% 0.3% 0.1% VWIV 14.6% 13.6% 15.6% 15.6% 14.6% Skew 25d 0.7% -0.4% 1.8% 1.8% 0.4% Skew 10d 1.7% 0.1% 3.4% 3.4% 1.4% Call IV 25d 14.1% 13.4% 15.3% 13.6% 14.0% Put IV 25d 14.8% 13.9% 15.9% 15.3% 14.4% Bid-Ask Spread % 1.83 1.65 2.26 2.26 2.16 Gamma HHI 0.05 0.04 0.12 0.06 0.04 Net GEX 156.1M 15.2M 410.1M 111.9M 123.4M Net DEX -435.7M -2.00B 773.8M 306.7M -346.6M Net VEX -48.8M -50.6M -47.0M -49.8M -48.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.31 1.26 1.26 0.77 Total Volume 99,039.81 39,743 206,985 96,865 176,222 Total OI 2,522,821.095 2,384,622 2,653,051 2,471,951 2,578,548
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 2021-10-01 $164.43 $166.00 14.0% 4.0% 15.2% 21.6% 15.6% 1.8% 0.3% 111.9M 306.7M -49.8M 1.26 2.26 42,804 54,061 1,420,623 1,051,328 2021-10-04 $165.22 $166.00 14.5% 4.1% 14.8% 27.0% 15.5% 1.4% -0.2% 145.2M -38.8M -50.6M 0.67 1.70 50,517 33,822 1,417,080 1,060,393 2021-10-05 $164.54 $165.00 14.4% 4.1% 13.3% 25.5% 15.2% 1.4% -0.1% 100.7M 388.6M -50.0M 0.39 1.85 51,499 20,010 1,423,563 1,094,337 2021-10-06 $164.96 $165.00 14.5% 4.1% 13.3% 26.3% 15.0% 1.2% -0.1% 137.9M 102.5M -50.4M 0.55 1.96 41,181 22,524 1,436,103 1,110,778 2021-10-07 $164.08 $165.00 14.3% 4.1% 13.3% 24.6% 14.8% 1.4% -0.1% 71.9M 732.2M -49.6M 0.31 1.99 43,029 13,249 1,459,087 1,117,192 2021-10-08 $164.24 $165.00 13.8% 4.0% 13.3% 21.2% 14.7% 1.1% -0.0% 15.2M 704.0M -49.1M 0.84 1.92 59,881 50,471 1,477,136 1,130,846 2021-10-11 $164.10 $165.00 14.2% 4.0% 13.2% 24.9% 15.5% 1.0% -0.1% 40.2M 773.8M -48.3M 0.67 1.72 33,419 22,235 1,451,722 1,100,050 2021-10-12 $164.69 $165.00 13.8% 3.9% 13.1% 20.8% 14.2% 0.9% -0.2% 79.8M 480.8M -48.0M 0.57 1.76 49,251 28,032 1,467,013 1,119,841 2021-10-13 $167.58 $165.00 13.9% 3.9% 14.5% 21.7% 14.4% 0.8% -0.1% 336.9M -1.59B -50.0M 0.61 1.79 100,177 61,061 1,475,575 1,131,999 2021-10-14 $168.07 $165.00 13.6% 3.9% 11.9% 19.5% 14.2% 0.7% -0.1% 410.1M -1.92B -50.2M 0.88 1.79 38,576 34,043 1,487,089 1,144,007 2021-10-15 $165.32 $165.00 13.5% 3.9% 13.5% 18.2% 13.8% 0.9% 0.0% 67.6M 115.5M -48.1M 1.14 1.65 50,455 57,519 1,486,333 1,166,718 2021-10-18 $165.03 $165.00 13.7% 3.9% 13.3% 21.4% 14.5% 0.6% -0.3% 51.1M 246.9M -47.1M 0.68 1.69 26,097 17,799 1,303,426 1,081,196 2021-10-19 $165.47 $165.00 13.5% 3.9% 13.1% 18.5% 13.9% 0.8% -0.3% 72.4M 23.3M -47.0M 0.48 1.71 26,884 12,859 1,314,792 1,097,404 2021-10-20 $166.83 $165.00 13.4% 3.9% 13.4% 17.9% 13.9% 0.6% -0.3% 175.2M -838.7M -48.0M 0.86 1.79 44,683 38,237 1,333,130 1,109,089 2021-10-21 $166.76 $165.00 13.2% 3.8% 12.7% 15.5% 13.6% 0.7% -0.3% 182.9M -798.2M -47.8M 1.00 2.01 42,227 42,390 1,339,461 1,114,449 2021-10-22 $167.68 $165.00 13.7% 4.0% 12.8% 20.7% 14.3% 0.2% -0.3% 254.4M -1.32B -48.3M 0.69 1.71 122,546 84,439 1,345,437 1,123,504 2021-10-25 $168.84 $165.00 14.6% 4.3% 12.9% 31.4% 15.6% -0.4% 0.0% 237.9M -2.00B -49.5M 0.58 1.74 89,680 51,725 1,353,679 1,098,419 2021-10-26 $167.77 $165.00 13.8% 4.0% 12.5% 21.7% 14.6% -0.2% 0.1% 190.0M -1.24B -48.4M 0.59 1.77 80,712 47,452 1,382,921 1,116,256 2021-10-27 $167.93 $166.00 13.7% 4.0% 12.2% 21.0% 14.9% -0.2% 0.1% 216.5M -1.38B -48.1M 0.84 1.79 56,662 47,598 1,393,281 1,121,288 2021-10-28 $168.10 $166.00 13.6% 4.0% 10.6% 19.8% 14.4% -0.3% 0.2% 256.3M -1.55B -48.6M 1.12 1.75 53,803 60,005 1,408,960 1,135,190 2021-10-29 $166.65 $166.00 13.7% 4.0% 11.1% 21.3% 14.6% 0.4% 0.1% 123.4M -346.6M -48.1M 0.77 2.16 99,662 76,560 1,419,353 1,159,195
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