GLD Options History — September 2024

In September 2024, GLD traded between $230.31 and $246.97. ATM implied volatility averaged 15.8%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.0% (HV 20d: 12.8%). Max pain ranged from $215.00 to $230.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2024-09-18: Highest Volume — 385,464 contracts
  • 2024-09-12: Largest IV spike — 8.5% change
  • 2024-09-24: Highest IV Rank — 75.2%
  • 2024-09-24: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$237.84$230.31$246.97$230.37$243.00
Max Pain$223.80$215.00$230.00$215.00$230.00
ATM IV15.8%14.5%17.1%15.5%16.1%
Expected Move4.6%4.2%5.0%4.7%4.7%
HV 20d12.8%11.7%14.1%14.1%13.0%
HV 60d14.7%14.3%16.2%16.2%14.5%
IV Rank62.6%50.5%75.2%59.3%65.1%
IV Percentile83.7%66.3%96.8%81.0%86.1%
Term Structure-0.1%-0.4%0.9%-0.1%0.9%
VWIV16.3%14.9%18.0%16.4%16.7%
Skew 25d-0.6%-1.0%-0.3%-0.3%-0.4%
Skew 10d-0.9%-1.8%0.7%-0.8%-0.0%
Call IV 25d16.4%15.1%18.0%16.0%16.7%
Put IV 25d15.8%14.5%17.1%15.6%16.4%
Bid-Ask Spread %1.731.152.301.151.96
Gamma HHI0.100.080.140.100.08
Net GEX1.20B876.5M1.57B927.8M876.5M
Net DEX-20.08B-26.66B-14.97B-14.97B-19.08B
Net VEX-59.6M-64.5M-57.4M-59.3M-61.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.311.220.310.71
Total Volume221,197.15103,960385,464231,990197,447
Total OI2,824,365.72,591,2013,138,4812,617,9712,803,165

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$230.37$215.0015.5%4.7%14.1%59.3%16.4%-0.3%-0.1%927.8M-14.97B-59.3M0.311.15177,59754,3931,663,696954,275
2024-09-04$230.31$215.0015.2%4.6%13.5%57.0%16.2%-0.5%0.0%1.04B-15.40B-59.5M0.991.4052,10951,8511,709,262979,855
2024-09-05$232.35$220.0015.6%4.4%13.7%60.6%15.9%-0.7%-0.1%1.16B-17.33B-60.4M0.681.5687,40359,1041,711,806993,661
2024-09-06$230.56$220.0015.5%4.4%13.4%59.4%15.7%-0.4%0.0%1.01B-15.45B-60.5M0.951.61111,738105,6031,744,3041,019,823
2024-09-09$231.50$220.0015.3%4.3%13.4%57.4%15.1%-0.5%-0.2%1.07B-16.31B-59.1M1.221.5349,79660,5911,731,6371,050,031
2024-09-10$232.37$220.0015.2%4.3%12.1%56.4%15.2%-0.5%-0.2%1.15B-17.23B-58.2M0.661.3887,97358,4481,731,6591,051,772
2024-09-11$231.97$221.0014.5%4.2%12.0%50.5%14.9%-0.6%-0.0%1.00B-16.87B-57.5M0.731.6270,80252,0001,758,3971,077,966
2024-09-12$236.31$221.0015.8%4.5%13.1%62.5%15.7%-0.9%-0.3%1.37B-21.06B-57.8M0.651.51163,439106,4571,759,2461,074,619
2024-09-13$238.59$223.0015.8%4.5%13.4%62.5%16.2%-0.9%-0.1%1.33B-23.30B-58.0M0.402.05252,473101,2861,798,4511,120,957
2024-09-16$238.59$223.0015.8%4.5%11.7%62.5%16.2%-0.7%-0.3%1.44B-23.19B-58.7M0.901.4369,04961,8871,841,7691,127,546
2024-09-17$237.32$224.0015.9%4.6%11.9%63.9%16.3%-0.5%-0.4%1.28B-21.28B-59.5M0.581.79130,63476,1231,825,6561,142,667
2024-09-18$235.92$225.0015.6%4.5%12.1%60.9%16.4%-0.6%-0.4%1.18B-19.80B-59.2M0.622.30237,923147,5411,841,2981,172,325
2024-09-19$238.95$225.0015.3%4.4%12.9%58.0%15.8%-0.8%-0.2%1.57B-22.95B-58.4M0.971.3687,55685,0541,886,0711,204,392
2024-09-20$242.35$226.0015.7%4.5%12.4%61.8%16.0%-1.0%-0.3%1.33B-26.66B-57.4M0.931.71172,929160,1031,901,5461,236,935
2024-09-23$242.63$228.0016.1%4.7%12.1%65.2%16.6%-0.8%-0.2%1.19B-20.54B-59.0M0.491.72117,93857,9441,601,622989,579
2024-09-24$246.00$230.0017.1%5.0%12.7%75.2%17.9%-0.9%-0.2%1.23B-22.92B-59.0M0.542.10202,536110,2731,611,1101,002,302
2024-09-25$245.76$230.0016.9%4.9%12.8%72.4%18.0%-0.3%0.0%1.30B-22.56B-61.8M0.832.27129,491107,1541,675,2941,050,130
2024-09-26$246.97$230.0016.9%4.9%12.3%73.2%17.8%-0.4%-0.0%1.27B-23.39B-61.8M1.062.02115,347121,9121,674,8421,088,910
2024-09-27$244.89$230.0016.5%4.8%13.0%69.0%17.2%-0.3%0.0%1.27B-21.33B-64.5M0.752.24189,763142,2761,728,6441,150,094
2024-09-30$243.00$230.0016.1%4.7%13.0%65.1%16.7%-0.4%0.9%876.5M-19.08B-61.8M0.711.96115,42682,0211,680,9121,122,253