GOLD Options History — August 2007

In August 2007, GOLD traded between $10.81 and $12.24. ATM implied volatility averaged 37.8%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 4.1% (HV 20d: 33.7%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.68.

Notable Days

2007-08-15: Highest Volume — 9,616 contracts
2007-08-16: Largest IV spike — 25.5% change
2007-08-16: Highest IV Rank — 100.0%
2007-08-16: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.68	$10.81	$12.24	$11.19	$11.97
Max Pain	$11.25	$11.25	$11.25	$11.25	$11.25
ATM IV	37.8%	30.5%	48.2%	41.3%	30.5%
Expected Move	11.1%	8.7%	13.8%	11.9%	8.7%
HV 20d	33.7%	24.3%	40.7%	25.3%	39.8%
HV 60d	29.6%	27.0%	31.6%	27.6%	29.7%
IV Rank	54.9%	16.4%	100.0%	79.3%	16.4%
IV Percentile	76.3%	18.0%	100.0%	97.9%	18.0%
Term Structure	2.3%	-1.3%	6.0%	-1.3%	6.0%
VWIV	38.4%	32.2%	48.1%	42.0%	34.6%
Skew 25d	5.9%	-6.3%	12.3%	-2.2%	4.7%
Skew 10d	13.2%	-9.8%	24.4%	-1.1%	2.9%
Call IV 25d	35.1%	28.8%	44.9%	43.7%	29.5%
Put IV 25d	41.1%	34.3%	51.8%	41.6%	34.3%
Bid-Ask Spread %	21.18	12.39	31.02	27.00	15.04
Gamma HHI	0.85	0.62	0.93	0.78	0.93
Net GEX	553.5K	317.4K	857.9K	373.2K	617.1K
Net DEX	-10.6M	-15.7M	-4.6M	-4.9M	-13.3M
Net VEX	-55.7K	-66.4K	-39.5K	-41.4K	-62.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.00	4.69	0.63	0.57
Total Volume	1,682.174	76	9,616	644	252
Total OI	35,787.565	32,438	44,684	32,634	35,092

Daily Data (23 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 Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-08-01	$11.19	$11.25	41.3%	11.9%	25.3%	79.3%	42.0%	-2.2%	-1.3%	373.2K	-4.9M	-41.4K	0.63	27.00	N/A	N/A	394	250	24,840	7,794
2007-08-02	$11.24	$11.25	37.3%	10.7%	25.3%	56.9%	38.2%	2.6%	0.8%	381.0K	-4.6M	-39.5K	0.21	31.02	N/A	N/A	572	118	24,698	7,740
2007-08-03	$11.43	$11.25	37.3%	10.7%	24.3%	56.6%	35.7%	-6.3%	3.3%	456.0K	-6.7M	-42.1K	0.00	24.68	N/A	N/A	1,048	0	25,044	7,782
2007-08-06	$11.56	$11.25	40.4%	12.0%	24.5%	73.9%	42.9%	8.6%	1.0%	497.6K	-7.5M	-43.1K	0.12	23.07	N/A	N/A	2,070	256	25,626	7,782
2007-08-07	$11.66	$11.25	36.5%	11.9%	24.4%	52.5%	40.4%	8.8%	0.7%	578.9K	-9.3M	-47.8K	0.25	22.45	N/A	N/A	674	170	27,128	7,918
2007-08-08	$12.24	$11.25	34.5%	10.0%	29.6%	41.5%	34.9%	2.2%	4.9%	839.4K	-15.4M	-50.8K	0.13	27.81	N/A	N/A	3,242	422	27,376	7,952
2007-08-09	$12.16	$11.25	37.6%	10.6%	28.8%	58.4%	36.5%	12.3%	4.0%	857.9K	-15.7M	-53.8K	0.56	22.55	N/A	N/A	280	156	29,268	7,942
2007-08-10	$12.21	$11.25	35.4%	10.8%	28.5%	46.5%	40.2%	3.5%	2.9%	840.9K	-15.2M	-49.9K	0.15	25.96	N/A	N/A	404	60	27,308	7,934
2007-08-13	$12.03	$11.25	36.8%	11.0%	29.0%	53.8%	39.4%	12.0%	2.6%	812.5K	-12.9M	-46.9K	0.09	13.40	N/A	N/A	4,304	388	27,544	7,974
2007-08-14	$11.83	$11.25	37.4%	11.8%	29.6%	57.5%	37.6%	9.9%	2.1%	663.6K	-11.8M	-54.3K	0.09	16.20	N/A	N/A	682	60	29,978	8,258
2007-08-15	$11.51	$11.25	38.4%	12.0%	30.2%	63.2%	38.7%	7.3%	1.7%	390.2K	-8.9M	-51.9K	0.02	14.49	N/A	N/A	9,464	152	30,150	8,318
2007-08-16	$10.81	$11.25	48.2%	13.8%	36.8%	100.0%	48.1%	6.9%	-0.9%	317.4K	-4.9M	-56.3K	0.32	20.61	N/A	N/A	4,094	1,322	35,094	8,128
2007-08-17	$11.10	$11.25	46.3%	13.3%	38.5%	91.0%	45.9%	7.6%	-1.0%	432.9K	-7.4M	-63.5K	4.69	25.00	N/A	N/A	472	2,212	36,368	8,316
2007-08-20	$11.41	$11.25	43.2%	12.4%	39.9%	76.2%	41.4%	7.8%	0.5%	420.4K	-10.1M	-65.4K	0.34	22.72	N/A	N/A	446	152	28,282	6,254
2007-08-21	$11.57	$11.25	40.5%	11.6%	40.2%	63.5%	40.0%	6.5%	1.5%	459.3K	-11.1M	-65.6K	1.18	15.47	N/A	N/A	282	332	28,324	6,354
2007-08-22	$11.87	$11.25	36.7%	10.5%	40.7%	45.7%	34.8%	6.4%	3.0%	534.6K	-13.0M	-66.4K	0.20	22.95	N/A	N/A	866	170	28,382	6,530
2007-08-23	$11.62	$11.25	36.3%	10.4%	40.3%	43.7%	33.5%	6.0%	2.8%	500.9K	-10.8M	-63.9K	0.30	18.59	N/A	N/A	682	208	28,344	6,572
2007-08-24	$11.82	$11.25	36.2%	10.4%	40.1%	43.2%	34.8%	6.6%	2.5%	541.8K	-12.2M	-64.6K	0.59	24.57	N/A	N/A	68	40	28,164	6,704
2007-08-27	$11.91	$11.25	31.6%	9.1%	39.3%	21.5%	32.2%	5.9%	5.7%	580.8K	-13.0M	-63.7K	0.31	12.39	N/A	N/A	312	96	28,194	6,714
2007-08-28	$11.62	$11.25	37.7%	10.8%	40.4%	50.5%	35.2%	6.4%	2.7%	496.4K	-10.5M	-61.1K	0.63	24.26	N/A	N/A	556	348	28,200	6,788
2007-08-29	$11.89	$11.25	32.6%	9.3%	40.1%	26.1%	37.9%	7.9%	4.8%	569.6K	-12.1M	-62.8K	0.49	23.70	N/A	N/A	360	178	28,088	6,780
2007-08-30	$11.88	$11.25	36.8%	10.5%	40.1%	45.8%	0.0%	5.1%	3.1%	568.8K	-12.5M	-62.5K	3.75	13.18	N/A	N/A	16	60	28,204	6,884
2007-08-31	$11.97	$11.25	30.5%	8.7%	39.8%	16.4%	34.6%	4.7%	6.0%	617.1K	-13.3M	-62.6K	0.57	15.04	N/A	N/A	160	92	28,188	6,904