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+# GLD ETF vs Gold Futures Basis: Implementation Guide
+
+## Executive Summary
+
+GLD (SPDR Gold Shares ETF) does **not** track gold at a simple 10:1 ratio. Two mechanical factors affect the conversion between GLD and physical gold/futures.
+
+## Key Findings for Dashboard Implementation
+
+### 1. Expense Ratio Decay (Permanent, Predictable)
+
+| Metric | Launch (2004) | Current (2026) |
+|--------|----------------|-----------------|
+| Gold per share | 0.1000 oz | ~0.0919 oz |
+| Effective ratio | 10:1 | **10.9:1** |
+| Cumulative decay | — | 8.1% |
+
+**Formula:**
+```
+ounces_per_share = 0.10 * e^(-0.004 * years_since_2004)
+```
+
+**Dashboard Implementation:**
+```python
+# Current GLD backing (as of 2026)
+GLD_OUNCES_PER_SHARE = 0.0919
+
+def gld_price_to_gold_spot(gld_price: float) -> float:
+    """Convert GLD price to implied gold spot price."""
+    return gld_price / GLD_OUNCES_PER_SHARE
+
+def gold_spot_to_gld_price(gold_spot: float) -> float:
+    """Convert gold spot price to GLD equivalent."""
+    return gold_spot * GLD_OUNCES_PER_SHARE
+
+# Example: At $4,600/oz gold
+# GLD ≈ $4,600 × 0.0919 ≈ $423 (NOT $460)
+```
+
+### 2. Futures-Spot Basis (Variable, Market-Dependent)
+
+| Market State | Futures vs. Spot | GLD vs. GC=F÷10 |
+|--------------|------------------|-----------------|
+| **Contango** (normal) | Futures > Spot by $10-15/oz | GLD appears at "discount" |
+| **Backwardation** (stress) | Spot > Futures | GLD appears at "premium" |
+
+**During stress events:**
+- March 2020 COVID: COMEX futures $50-70 above London spot
+- GLD holders benefited (physical-backed)
+- Futures traders suffered negative roll yield
+
+### 3. After-Hours Pricing Gap
+
+| Instrument | Trading Hours |
+|------------|---------------|
+| GLD | US market hours (9:30 AM - 4 PM ET) |
+| GC=F (futures) | 23 hours/day, 6 days/week |
+
+**Implication:** GLD opens with gaps after weekend/overnight gold moves. Dashboard should show "last regular session close" vs. "current futures indication."
+
+## Dashboard Recommendations
+
+### Data Display
+
+```python
+class GoldPriceDisplay:
+    """Recommended price display for vault-dash."""
+    
+    def __init__(self, gld_price: float, gold_futures_price: float):
+        self.gld_price = gld_price
+        self.gold_futures_price = gold_futures_price
+        self.ounces_per_share = 0.0919  # Current GLD backing
+        
+    @property
+    def implied_spot_from_gld(self) -> float:
+        """Gold spot implied from GLD price."""
+        return self.gld_price / self.ounces_per_share
+    
+    @property
+    def gld_fair_value(self) -> float:
+        """What GLD 'should' trade at based on futures."""
+        # Adjust for contango (~$10/oz typically)
+        spot_estimate = self.gold_futures_price - 10
+        return spot_estimate * self.ounces_per_share
+    
+    @property
+    def basis_bps(self) -> float:
+        """Basis between GLD and fair value in basis points."""
+        diff_bps = (self.gld_price / self.gld_fair_value - 1) * 10000
+        return diff_bps
+```
+
+### Warning Thresholds
+
+```python
+# Raise warnings when basis exceeds normal bounds
+BASIS_WARNING_THRESHOLD = 50  # 50 bps = 0.5%
+
+if abs(basis_bps) > BASIS_WARNING_THRESHOLD:
+    # GLD trading at unusual premium/discount
+    # Possible causes: after-hours gap, physical stress, AP arb failure
+    show_warning(f"GLD basis elevated: {basis_bps:.0f} bps")
+```
+
+### Options Pricing
+
+For Lombard hedge calculations:
+
+```python
+def calculate_hedge_strikes(
+    portfolio_gold_ounces: float,
+    margin_call_price: float,
+    current_gold_spot: float
+) -> dict:
+    """
+    Calculate appropriate GLD option strikes for hedge.
+    
+    IMPORTANT: Use GLD price directly, not converted from futures.
+    """
+    # Convert gold price thresholds to GLD strikes
+    gld_current = current_gold_spot * GLD_OUNCES_PER_SHARE
+    gld_margin_call = margin_call_price * GLD_OUNCES_PER_SHARE
+    
+    # Recommended strikes
+    atm_strike = round(gld_current)  # e.g., $423
+    otm_10_strike = round(gld_current * 0.90)  # 10% OTM: ~$381
+    otm_5_strike = round(gld_current * 0.95)  # 5% OTM: ~$402
+    
+    return {
+        "current_gld": gld_current,
+        "margin_call_gld": gld_margin_call,
+        "atm_strike": atm_strike,
+        "otm_5pct_strike": otm_5_strike,
+        "otm_10pct_strike": otm_10_strike,
+        "contracts_needed": math.ceil(portfolio_gold_ounces / (100 * GLD_OUNCES_PER_SHARE))
+    }
+```
+
+## Data Sources
+
+| Data Point | Source | Notes |
+|------------|--------|-------|
+| GLD NAV/ounce | spdrgoldshares.com | Daily updated |
+| GLD price | Market data API | Real-time |
+| GC=F price | CME/futures API | Extended hours |
+| Contango estimate | Futures curve | Calculate from term structure |
+
+## Key Takeaways for Vault-Dash
+
+1. **Never use a fixed 10:1 ratio** — always use current GLD backing (~0.092 oz/share)
+
+2. **Display both measures:**
+   - GLD implied spot = GLD ÷ 0.0919
+   - GC=F adjusted = GC=F ÷ 10 (naive) for comparison
+
+3. **Show basis indicator:**
+   - Green: basis within ±25 bps (normal)
+   - Yellow: basis ±25-50 bps (elevated)
+   - Red: basis > 50 bps (unusual — possible stress)
+
+4. **For hedging:**
+   - Use GLD's actual price for strike selection
+   - Contract count = gold ounces ÷ (100 × 0.0919)
+   - Don't convert from GC=F to GLD — use GLD directly
+
+## References
+
+- SEC GLD Registration Statement (2004)
+- SPDR Gold Shares: GLDM methodology updates
+- CME Gold Futures specifications
+- Research paper: "Optimal Hedging Strategies for Gold-Backed Lombard Loans"
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