GLD Options History — December 2021

In December 2021, GLD traded between $165.16 and $170.90. ATM implied volatility averaged 13.7%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.8% (HV 20d: 10.9%). Max pain ranged from $168.00 to $170.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.11.

Notable Days

2021-12-16: Highest Volume — 219,016 contracts
2021-12-10: Largest IV drop — 8.9% change
2021-12-02: Highest IV Rank — 47.0%
2021-12-02: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$167.45	$165.16	$170.90	$166.24	$170.90
Max Pain	$169.82	$168.00	$170.00	$169.00	$170.00
ATM IV	13.7%	12.6%	15.7%	15.2%	12.8%
Expected Move	4.0%	3.5%	5.0%	4.8%	3.5%
HV 20d	10.9%	8.5%	13.4%	13.4%	8.5%
HV 60d	11.9%	11.0%	12.7%	12.5%	11.1%
IV Rank	22.3%	9.0%	47.0%	41.2%	11.2%
IV Percentile	30.2%	2.8%	72.2%	69.8%	4.8%
Term Structure	0.1%	-0.2%	0.4%	-0.1%	0.3%
VWIV	14.6%	12.9%	18.1%	18.1%	13.1%
Skew 25d	0.3%	-0.3%	1.6%	1.3%	0.0%
Skew 10d	1.4%	-0.1%	4.1%	2.6%	0.7%
Call IV 25d	14.0%	13.0%	15.5%	15.2%	13.0%
Put IV 25d	14.4%	12.9%	17.1%	16.5%	13.1%
Bid-Ask Spread %	1.62	1.26	2.30	2.19	1.45
Gamma HHI	0.06	0.04	0.15	0.04	0.15
Net GEX	199.0M	-59.2M	591.3M	91.5M	591.3M
Net DEX	-409.1M	-3.04B	1.51B	528.9M	-3.04B
Net VEX	-42.5M	-45.9M	-40.6M	-45.6M	-40.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.70	2.27	1.46	0.85
Total Volume	146,110.5	97,508	219,016	157,472	163,938
Total OI	2,566,435.591	2,277,945	2,867,547	2,616,584	2,382,004

Daily Data (22 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
2021-12-01	$166.24	$169.00	15.2%	4.8%	13.4%	41.2%	18.1%	1.3%	-0.1%	91.5M	528.9M	-45.6M	1.46	2.19	63,937	93,535	1,515,415	1,101,169
2021-12-02	$165.16	$169.00	15.7%	5.0%	13.3%	47.0%	17.6%	1.6%	-0.2%	-31.7M	1.51B	-45.0M	0.88	1.89	83,912	73,420	1,530,436	1,150,265
2021-12-03	$166.73	$168.00	15.3%	4.8%	13.2%	42.7%	17.9%	1.2%	0.1%	129.2M	157.6M	-45.9M	0.86	2.30	92,565	80,003	1,565,632	1,167,184
2021-12-06	$166.25	$170.00	15.0%	4.2%	12.2%	38.1%	15.8%	0.7%	-0.1%	86.0M	452.5M	-44.6M	1.56	1.45	58,167	91,018	1,530,662	1,152,473
2021-12-07	$166.89	$170.00	14.6%	4.2%	12.2%	33.0%	15.5%	0.6%	0.0%	177.0M	-87.1M	-44.4M	0.79	1.46	63,596	50,512	1,546,018	1,136,708
2021-12-08	$166.88	$170.00	14.0%	4.0%	12.1%	25.9%	15.0%	0.5%	0.0%	188.7M	-114.4M	-43.7M	1.05	1.75	47,622	49,886	1,558,924	1,144,823
2021-12-09	$165.91	$170.00	14.1%	4.0%	11.5%	28.0%	14.8%	0.6%	0.1%	109.5M	610.2M	-43.1M	1.39	1.51	63,034	87,714	1,562,242	1,155,314
2021-12-10	$166.55	$170.00	12.9%	3.7%	11.2%	12.4%	13.7%	0.3%	0.2%	190.0M	310.0M	-42.5M	1.12	1.60	74,243	83,344	1,569,357	1,188,008
2021-12-13	$166.95	$170.00	13.6%	3.9%	11.2%	21.7%	14.0%	0.4%	-0.1%	126.2M	19.5M	-41.9M	1.24	1.57	63,774	79,333	1,533,110	1,167,680
2021-12-14	$165.44	$170.00	14.1%	4.0%	11.5%	27.5%	15.1%	0.7%	-0.2%	-36.9M	1.22B	-41.9M	1.33	1.61	65,176	86,640	1,545,354	1,198,861
2021-12-15	$166.08	$170.00	13.3%	3.8%	11.6%	17.3%	14.1%	0.4%	-0.1%	-59.2M	804.6M	-41.2M	2.27	2.26	61,212	138,745	1,551,125	1,230,139
2021-12-16	$167.93	$170.00	13.2%	3.8%	11.9%	16.4%	14.0%	0.0%	-0.0%	277.4M	-854.2M	-41.5M	1.24	1.45	97,993	121,023	1,558,700	1,215,333
2021-12-17	$167.99	$170.00	13.0%	3.7%	11.9%	13.1%	13.8%	-0.3%	-0.0%	252.2M	-851.3M	-42.4M	0.90	1.43	111,508	100,576	1,598,114	1,269,433
2021-12-20	$167.30	$170.00	13.4%	3.8%	11.8%	18.9%	14.2%	-0.3%	0.3%	171.4M	-362.1M	-41.8M	1.38	1.52	52,585	72,752	1,231,731	1,046,214
2021-12-21	$167.05	$170.00	13.1%	3.8%	8.7%	15.2%	14.1%	-0.1%	0.4%	157.9M	-100.6M	-41.2M	0.74	1.69	76,403	56,438	1,242,644	1,066,278
2021-12-22	$168.52	$170.00	12.8%	3.7%	8.9%	11.8%	13.7%	-0.0%	0.4%	283.1M	-1.14B	-41.7M	1.03	1.37	57,036	58,873	1,256,137	1,070,467
2021-12-23	$168.90	$170.00	12.6%	3.6%	8.8%	9.0%	13.0%	-0.2%	0.4%	250.3M	-1.47B	-41.5M	0.95	1.30	64,199	60,860	1,265,620	1,077,541
2021-12-27	$169.26	$170.00	13.4%	3.8%	8.9%	18.1%	13.5%	-0.3%	0.3%	328.3M	-1.75B	-41.0M	0.70	1.40	72,062	50,807	1,260,255	1,043,771
2021-12-28	$168.71	$170.00	13.2%	3.7%	8.9%	15.7%	13.6%	-0.1%	0.3%	337.4M	-1.44B	-40.8M	0.90	1.26	59,592	53,767	1,286,724	1,051,295
2021-12-29	$168.57	$170.00	13.0%	3.6%	8.5%	14.1%	13.3%	0.1%	0.3%	339.7M	-1.28B	-40.6M	0.94	1.54	58,380	54,624	1,299,562	1,059,377
2021-12-30	$169.73	$170.00	12.8%	3.5%	8.7%	11.3%	12.9%	0.1%	0.3%	417.8M	-2.14B	-41.0M	0.80	1.64	66,320	53,307	1,314,326	1,065,158
2021-12-31	$170.90	$170.00	12.8%	3.5%	8.5%	11.2%	13.1%	0.0%	0.3%	591.3M	-3.04B	-40.7M	0.85	1.45	88,797	75,141	1,309,110	1,072,894