GOLD Options History — April 2008 In April 2008, GOLD traded between $22.25 and $27.63. ATM implied volatility averaged 55.6%, placing in the 74.5% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 13.3% (HV 20d: 68.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.63.
Notable Days 2008-04-29 : Highest Volume — 12,888 contracts2008-04-10 : Largest IV spike — 9.2% change2008-04-14 : Highest IV Rank — 84.3%2008-04-04 : Largest Expected Move — 17.3%Monthly Statistics Metric Avg Min Max Open Close Price $25.42 $22.25 $27.63 $22.30 $22.76 Max Pain $23.64 $22.50 $25.00 $22.50 $25.00 ATM IV 55.6% 50.5% 59.3% 59.1% 53.6% Expected Move 16.1% 14.5% 17.3% 16.9% 15.4% HV 20d 68.9% 46.9% 83.9% 74.4% 46.9% HV 60d 63.8% 60.7% 69.1% 66.1% 62.4% IV Rank 74.5% 61.2% 84.3% 83.7% 69.4% IV Percentile 83.8% 64.3% 96.4% 95.2% 73.8% Term Structure -2.1% -4.4% 2.0% 0.2% -3.4% VWIV 57.1% 51.3% 60.5% 59.7% 53.7% Skew 25d 4.8% 2.4% 6.5% 5.5% 3.4% Skew 10d 9.6% 0.3% 16.6% 9.4% 0.3% Call IV 25d 55.0% 50.5% 58.9% 56.9% 52.5% Put IV 25d 59.8% 55.9% 62.8% 62.4% 55.9% Bid-Ask Spread % 14.18 9.79 19.16 16.36 15.98 Gamma HHI 0.38 0.32 0.52 0.34 0.32 Net GEX 1.5M 840.0K 2.0M 907.0K 1.2M Net DEX -66.6M -116.1M -17.8M -25.8M -26.6M Net VEX -331.8K -362.4K -271.6K -271.6K -345.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.12 1.31 0.15 0.89 Total Volume 5,491.364 1,078 12,888 10,454 3,768 Total OI 90,406.909 77,876 99,628 77,876 99,628
Daily Data (22 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 2008-04-01 $22.30 $22.50 59.1% 16.9% 74.4% 83.7% 59.7% 5.5% 0.2% 907.0K -25.8M -271.6K 0.15 16.36 N/A N/A 9,114 1,340 54,586 23,290 2008-04-02 $24.75 $22.50 57.0% 16.3% 83.9% 78.3% 59.2% 5.9% 2.0% 1.3M -57.6M -316.1K 0.35 10.82 N/A N/A 6,394 2,236 57,666 23,914 2008-04-03 $25.68 $22.50 58.9% 16.9% 83.4% 83.3% 58.5% 4.4% 0.1% 1.5M -72.3M -337.2K 1.14 13.10 N/A N/A 2,932 3,332 61,430 24,832 2008-04-04 $25.89 $22.50 58.6% 17.3% 82.9% 82.5% 59.8% 3.9% -4.4% 1.5M -73.5M -335.7K 0.55 10.52 N/A N/A 1,988 1,092 62,168 26,268 2008-04-07 $26.55 $22.50 55.3% 16.7% 82.6% 73.9% 60.2% 4.6% -3.0% 1.6M -84.3M -334.7K 0.75 11.96 N/A N/A 2,778 2,082 62,694 26,564 2008-04-08 $26.48 $22.50 53.1% 16.5% 76.2% 68.1% 60.3% 5.2% -3.2% 1.6M -82.8M -338.7K 0.88 12.69 N/A N/A 1,280 1,126 62,992 27,358 2008-04-09 $26.39 $22.50 52.1% 16.5% 72.4% 65.5% 60.5% 6.0% -2.8% 1.6M -81.3M -335.5K 0.67 12.94 N/A N/A 644 434 63,068 27,612 2008-04-10 $26.45 $22.50 56.9% 16.3% 72.4% 78.0% 57.5% 5.8% -2.6% 1.7M -82.7M -332.1K 0.54 14.21 N/A N/A 2,646 1,440 62,816 27,572 2008-04-11 $25.49 $22.50 58.2% 16.7% 73.5% 81.3% 58.2% 4.2% -2.6% 1.7M -69.9M -334.2K 1.31 13.73 N/A N/A 1,448 1,900 64,476 28,240 2008-04-14 $26.21 $22.50 59.3% 17.0% 74.2% 84.3% 58.4% 6.5% -3.3% 1.9M -82.1M -333.0K 0.47 18.67 N/A N/A 1,810 850 65,256 27,728 2008-04-15 $26.34 $22.50 56.6% 16.2% 73.7% 77.3% 58.4% 4.9% -2.6% 1.9M -85.7M -331.3K 0.12 14.72 N/A N/A 9,954 1,184 65,800 27,604 2008-04-16 $27.63 $22.50 56.9% 16.3% 74.7% 78.1% 58.4% 4.8% -2.6% 2.0M -116.1M -336.7K 0.42 12.86 N/A N/A 5,868 2,466 70,462 27,670 2008-04-17 $27.10 $25.00 56.7% 16.3% 66.6% 77.5% 58.0% 4.8% -2.8% 1.9M -95.4M -334.8K 0.38 11.74 N/A N/A 2,818 1,076 66,706 28,620 2008-04-18 $26.70 $25.00 54.8% 15.7% 63.6% 72.5% 56.6% 6.0% -1.5% 1.4M -88.8M -331.9K 0.48 17.81 N/A N/A 2,842 1,376 67,132 28,824 2008-04-21 $26.64 $25.00 54.5% 15.6% 63.4% 71.8% 56.4% 3.5% -1.5% 1.4M -74.7M -328.2K 0.84 14.83 N/A N/A 2,224 1,866 58,192 23,866 2008-04-22 $26.59 $25.00 52.8% 15.2% 58.5% 67.4% 53.6% 3.7% -1.0% 1.4M -74.5M -325.4K 0.66 19.16 N/A N/A 2,018 1,336 58,192 23,866 2008-04-23 $25.63 $25.00 53.9% 15.5% 58.1% 70.3% 54.3% 4.6% -2.8% 1.4M -62.1M -333.9K 0.79 16.14 N/A N/A 2,926 2,320 60,402 25,720 2008-04-24 $24.00 $25.00 54.2% 15.5% 58.1% 70.8% 55.4% 4.9% -1.6% 1.1M -40.2M -323.6K 0.86 11.40 N/A N/A 4,884 4,198 61,048 27,176 2008-04-25 $23.84 $25.00 50.5% 14.5% 58.1% 61.2% 51.3% 5.6% -0.2% 1.1M -37.4M -347.3K 0.82 14.79 N/A N/A 2,664 2,196 63,936 29,502 2008-04-28 $23.59 $25.00 55.0% 15.8% 58.0% 73.1% 52.2% 4.5% -3.8% 1.1M -34.6M -362.4K 0.31 9.79 N/A N/A 2,346 726 65,034 31,192 2008-04-29 $22.25 $25.00 54.4% 15.6% 60.2% 71.4% 55.7% 2.4% -2.8% 840.0K -17.8M -328.9K 0.36 17.65 N/A N/A 9,476 3,412 66,430 31,420 2008-04-30 $22.76 $25.00 53.6% 15.4% 46.9% 69.4% 53.7% 3.4% -3.4% 1.2M -26.6M -345.6K 0.89 15.98 N/A N/A 1,992 1,776 69,586 30,042
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