GLD Options History — September 2022

In September 2022, GLD traded between $151.28 and $160.75. ATM implied volatility averaged 16.5%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.3% (HV 20d: 12.2%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2022-09-15: Highest Volume — 327,813 contracts
2022-09-15: Largest IV spike — 15.8% change
2022-09-15: Highest IV Rank — 35.4%
2022-09-26: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$156.43	$151.28	$160.75	$157.92	$154.77
Max Pain	$160.81	$160.00	$165.00	$165.00	$160.00
ATM IV	16.5%	14.5%	18.5%	16.3%	17.5%
Expected Move	4.7%	4.2%	5.3%	4.6%	5.0%
HV 20d	12.2%	9.9%	15.7%	10.1%	15.3%
HV 60d	12.4%	11.5%	13.1%	12.9%	12.6%
IV Rank	23.6%	11.5%	35.4%	22.6%	29.5%
IV Percentile	72.7%	42.1%	91.7%	73.4%	85.3%
Term Structure	-0.0%	-0.4%	0.4%	-0.2%	0.1%
VWIV	16.8%	14.7%	18.9%	15.9%	18.2%
Skew 25d	1.2%	0.3%	2.1%	1.3%	0.9%
Skew 10d	2.6%	0.8%	4.2%	3.0%	2.6%
Call IV 25d	16.3%	14.4%	17.8%	16.1%	17.4%
Put IV 25d	17.5%	15.1%	19.9%	17.4%	18.4%
Bid-Ask Spread %	1.74	1.23	5.96	1.89	1.37
Gamma HHI	0.05	0.03	0.12	0.03	0.04
Net GEX	-106.2M	-299.0M	30.5M	-86.9M	30.5M
Net DEX	2.82B	1.37B	4.85B	2.87B	1.77B
Net VEX	-36.8M	-40.3M	-32.2M	-39.3M	-36.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.43	2.54	0.81	0.97
Total Volume	140,924.619	71,191	327,813	106,750	155,768
Total OI	2,977,639.333	2,643,161	3,508,412	3,132,976	2,761,507

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
2022-09-01	$157.92	$165.00	16.3%	4.6%	10.1%	22.6%	15.9%	1.3%	-0.2%	-86.9M	2.87B	-39.3M	0.81	1.89	58,925	47,825	2,125,551	1,007,425
2022-09-02	$159.22	$165.00	15.3%	4.2%	10.4%	16.4%	14.8%	1.0%	0.0%	-54.9M	2.18B	-40.3M	0.62	1.45	46,857	29,153	2,154,328	1,020,980
2022-09-06	$158.40	$160.00	15.9%	4.6%	9.9%	19.9%	16.4%	1.2%	0.0%	-61.5M	2.60B	-38.4M	1.39	1.48	59,875	83,048	2,107,712	1,010,429
2022-09-07	$159.87	$160.00	15.1%	4.3%	10.6%	15.1%	15.3%	0.9%	0.0%	-12.3M	1.81B	-39.7M	1.36	1.32	63,901	86,911	2,128,463	1,036,327
2022-09-08	$159.03	$160.00	14.8%	4.3%	10.6%	13.2%	15.1%	0.6%	0.1%	-61.9M	2.29B	-38.4M	0.53	1.25	46,968	25,036	2,141,075	1,040,937
2022-09-09	$159.86	$160.00	14.5%	4.2%	10.9%	11.5%	14.7%	0.7%	0.3%	26.4M	1.85B	-38.2M	0.62	1.44	64,631	39,992	2,150,873	1,048,026
2022-09-12	$160.75	$162.00	15.0%	4.3%	10.6%	14.6%	15.3%	0.3%	-0.0%	24.7M	1.37B	-39.0M	0.53	1.23	53,600	28,275	2,158,444	1,046,610
2022-09-13	$158.49	$162.00	15.6%	4.4%	10.8%	18.1%	15.5%	1.1%	-0.2%	-79.2M	2.77B	-37.1M	1.61	1.54	88,376	142,595	2,171,583	1,059,467
2022-09-14	$157.97	$162.00	16.0%	4.5%	10.8%	20.5%	15.7%	1.3%	-0.2%	-151.4M	3.35B	-37.1M	0.66	5.96	56,340	37,241	2,192,980	1,108,881
2022-09-15	$154.98	$161.00	18.5%	5.2%	12.3%	35.4%	18.9%	2.1%	-0.4%	-210.7M	4.85B	-35.6M	2.54	2.80	92,695	235,118	2,218,860	1,122,491
2022-09-16	$155.95	$160.00	17.0%	4.8%	12.7%	26.4%	17.2%	1.3%	-0.3%	-299.0M	4.52B	-37.6M	1.17	1.43	81,611	95,209	2,252,597	1,255,815
2022-09-19	$155.99	$160.00	17.1%	4.9%	12.6%	27.0%	17.2%	1.0%	-0.1%	-185.8M	2.69B	-36.8M	1.62	1.33	27,186	44,005	1,589,542	1,053,619
2022-09-20	$155.08	$160.00	17.2%	4.9%	12.6%	27.6%	17.2%	1.6%	-0.3%	-223.4M	3.18B	-35.9M	0.43	1.38	56,468	24,434	1,599,444	1,051,587
2022-09-21	$155.62	$160.00	16.7%	4.8%	12.4%	24.4%	18.0%	0.9%	0.2%	-188.2M	2.64B	-36.7M	1.46	1.78	72,090	105,052	1,627,836	1,057,753
2022-09-22	$155.82	$160.00	16.3%	4.7%	12.3%	22.1%	16.6%	1.2%	0.1%	-141.9M	2.46B	-36.2M	1.13	1.24	34,625	39,077	1,654,477	1,059,966
2022-09-23	$153.17	$160.00	17.6%	5.1%	13.2%	30.2%	17.9%	1.7%	-0.2%	-169.7M	3.87B	-34.6M	1.29	1.48	75,559	97,268	1,667,787	1,061,055
2022-09-26	$151.28	$160.00	18.4%	5.3%	13.3%	34.7%	18.8%	1.8%	0.1%	-167.0M	4.30B	-32.2M	1.02	2.04	86,450	88,035	1,658,208	992,685
2022-09-27	$151.54	$160.00	17.3%	5.0%	13.4%	27.9%	17.6%	1.8%	0.2%	-161.5M	4.18B	-32.4M	0.90	1.50	79,321	71,683	1,690,822	1,001,428
2022-09-28	$154.64	$160.00	17.2%	5.0%	15.7%	27.7%	18.1%	1.3%	0.4%	-64.7M	1.98B	-35.4M	1.08	1.29	100,086	107,710	1,720,496	979,272
2022-09-29	$154.71	$160.00	17.8%	5.2%	15.5%	30.9%	18.7%	0.8%	0.1%	8.1M	1.74B	-36.5M	0.82	1.41	71,630	58,788	1,754,567	988,521
2022-09-30	$154.77	$160.00	17.5%	5.0%	15.3%	29.5%	18.2%	0.9%	0.1%	30.5M	1.77B	-36.1M	0.97	1.37	79,012	76,756	1,769,222	992,285