GLD Options History — January 2022

In January 2022, GLD traded between $167.01 and $172.60. ATM implied volatility averaged 13.3%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.2% (HV 20d: 11.2%). Max pain ranged from $167.00 to $170.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2022-01-19: Highest Volume — 308,436 contracts
2022-01-27: Largest IV spike — 5.4% change
2022-01-27: Highest IV Rank — 32.3%
2022-01-27: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$169.58	$167.01	$172.60	$168.55	$167.89
Max Pain	$168.35	$167.00	$170.00	$170.00	$169.00
ATM IV	13.3%	12.5%	14.2%	13.4%	13.7%
Expected Move	3.8%	3.6%	4.2%	3.7%	4.0%
HV 20d	11.2%	9.6%	13.7%	9.6%	13.4%
HV 60d	11.4%	10.9%	11.9%	11.5%	11.9%
IV Rank	19.9%	8.7%	32.3%	18.8%	25.1%
IV Percentile	26.2%	2.0%	65.9%	23.8%	43.7%
Term Structure	0.1%	-0.2%	0.2%	0.2%	0.0%
VWIV	14.0%	13.0%	14.9%	13.2%	14.5%
Skew 25d	0.5%	-0.3%	1.4%	0.2%	1.0%
Skew 10d	1.3%	0.2%	2.6%	1.0%	2.2%
Call IV 25d	13.7%	12.9%	14.3%	13.8%	13.8%
Put IV 25d	14.2%	13.4%	15.5%	14.0%	14.9%
Bid-Ask Spread %	2.05	1.48	2.63	1.48	2.02
Gamma HHI	0.06	0.04	0.16	0.06	0.04
Net GEX	341.7M	-15.9M	628.6M	295.5M	171.0M
Net DEX	-1.83B	-3.80B	86.9M	-1.02B	-770.6M
Net VEX	-43.8M	-46.3M	-39.3M	-39.3M	-45.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.36	1.24	0.36	0.50
Total Volume	211,791.2	132,738	308,436	191,264	141,588
Total OI	2,508,771.25	2,016,716	2,857,554	2,264,532	2,249,226

Daily Data (20 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
2022-01-03	$168.55	$170.00	13.4%	3.7%	9.6%	18.8%	13.2%	0.2%	0.2%	295.5M	-1.02B	-39.3M	0.36	1.48	140,482	50,782	1,246,337	1,018,195
2022-01-04	$169.47	$170.00	13.4%	3.7%	9.7%	18.8%	13.2%	0.2%	0.2%	374.7M	-1.86B	-41.1M	0.61	1.61	117,974	72,040	1,361,423	1,024,863
2022-01-05	$169.12	$170.00	13.8%	3.8%	9.7%	24.4%	14.0%	0.5%	0.2%	383.5M	-1.80B	-42.8M	0.59	1.75	175,667	103,566	1,432,835	1,058,640
2022-01-06	$167.09	$167.00	13.7%	4.0%	10.7%	23.2%	14.6%	1.0%	0.1%	242.9M	-283.6M	-43.3M	0.79	1.91	134,950	106,860	1,518,027	1,109,990
2022-01-07	$167.64	$167.00	13.0%	3.8%	10.5%	14.6%	14.0%	0.8%	0.2%	300.5M	-528.9M	-43.1M	1.24	2.07	81,064	100,361	1,514,041	1,137,020
2022-01-10	$168.21	$167.00	13.4%	3.9%	10.5%	22.0%	14.1%	0.8%	0.0%	287.8M	-889.9M	-42.4M	0.89	2.11	94,932	84,067	1,493,065	1,099,765
2022-01-11	$170.16	$167.00	13.0%	3.8%	11.2%	16.4%	13.5%	0.6%	0.1%	427.9M	-2.48B	-44.3M	1.05	2.08	84,951	89,030	1,518,740	1,121,134
2022-01-12	$170.68	$167.00	13.1%	3.8%	10.5%	16.6%	13.5%	0.4%	0.1%	458.0M	-2.92B	-44.7M	0.95	1.92	102,901	98,020	1,531,721	1,134,951
2022-01-13	$170.22	$168.00	13.0%	3.7%	10.6%	15.8%	13.4%	0.3%	0.1%	443.8M	-2.38B	-44.1M	1.01	1.77	88,833	89,578	1,549,654	1,148,334
2022-01-14	$169.76	$168.00	12.5%	3.6%	10.0%	8.7%	13.0%	0.6%	0.1%	391.2M	-1.99B	-43.7M	0.79	2.06	94,905	74,610	1,566,967	1,167,776
2022-01-18	$169.37	$168.00	13.0%	3.7%	10.1%	16.2%	14.0%	0.7%	-0.2%	393.7M	-1.48B	-42.0M	1.05	2.63	64,737	68,001	1,559,796	1,156,334
2022-01-19	$172.08	$168.00	13.4%	3.8%	11.3%	21.6%	14.0%	0.1%	-0.1%	542.2M	-3.80B	-43.6M	0.52	1.94	202,337	106,099	1,572,132	1,174,506
2022-01-20	$171.70	$168.00	12.8%	3.7%	11.3%	13.3%	13.8%	0.2%	-0.0%	553.9M	-3.26B	-43.7M	0.90	1.88	110,583	99,359	1,617,555	1,206,025
2022-01-21	$170.87	$168.00	12.8%	3.7%	11.2%	12.9%	13.2%	0.6%	-0.1%	628.6M	-2.60B	-44.3M	1.04	2.08	123,568	128,525	1,620,666	1,236,888
2022-01-24	$171.88	$169.00	13.4%	3.9%	11.3%	21.2%	14.0%	-0.1%	0.1%	305.3M	-2.99B	-44.5M	1.00	2.14	122,026	121,778	1,146,776	869,940
2022-01-25	$172.60	$169.00	13.5%	3.9%	11.4%	23.3%	14.4%	-0.3%	0.2%	395.8M	-3.62B	-46.2M	0.45	2.25	161,890	73,579	1,216,389	928,465
2022-01-26	$169.66	$169.00	13.4%	3.9%	13.0%	22.0%	14.7%	0.1%	0.1%	212.7M	-1.72B	-45.9M	0.44	2.37	176,156	77,605	1,271,222	953,197
2022-01-27	$167.64	$169.00	14.2%	4.2%	13.7%	32.3%	14.9%	1.2%	0.0%	40.3M	-241.4M	-45.6M	0.57	2.56	185,557	105,192	1,318,702	971,601
2022-01-28	$167.01	$169.00	14.0%	4.1%	13.5%	30.4%	14.9%	1.4%	0.1%	-15.9M	86.9M	-46.3M	0.71	2.45	106,446	75,225	1,351,511	1,001,016
2022-01-31	$167.89	$169.00	13.7%	4.0%	13.4%	25.1%	14.5%	1.0%	0.0%	171.0M	-770.6M	-45.1M	0.50	2.02	94,537	47,051	1,307,363	941,863