GOLD Options History — July 2008

In July 2008, GOLD traded between $22.55 and $27.36. ATM implied volatility averaged 53.7%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 0.7% (HV 20d: 53.0%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.72.

Notable Days

2008-07-18: Highest Volume — 29,342 contracts
2008-07-10: Largest IV spike — 15.9% change
2008-07-24: Highest IV Rank — 83.2%
2008-07-24: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.45	$22.55	$27.36	$23.54	$25.59
Max Pain	$22.73	$20.00	$25.00	$22.50	$25.00
ATM IV	53.7%	46.6%	59.5%	47.0%	50.0%
Expected Move	15.6%	13.5%	17.0%	13.5%	14.3%
HV 20d	53.0%	43.3%	62.9%	52.2%	62.9%
HV 60d	50.1%	47.2%	53.6%	47.9%	53.6%
IV Rank	66.7%	46.3%	83.2%	47.7%	56.1%
IV Percentile	71.2%	32.5%	96.4%	40.1%	52.0%
Term Structure	-0.8%	-4.3%	5.8%	4.0%	4.4%
VWIV	54.6%	46.5%	60.4%	46.5%	50.2%
Skew 25d	2.0%	-0.2%	4.2%	4.0%	-0.0%
Skew 10d	4.2%	-0.8%	9.8%	9.8%	1.3%
Call IV 25d	53.9%	46.4%	60.0%	46.4%	50.7%
Put IV 25d	56.0%	50.4%	61.1%	50.4%	50.7%
Bid-Ask Spread %	14.27	7.73	27.85	20.57	12.92
Gamma HHI	0.30	0.23	0.80	0.23	0.30
Net GEX	2.2M	1.4M	8.9M	2.2M	1.8M
Net DEX	-76.5M	-145.1M	-42.1M	-68.5M	-82.1M
Net VEX	-336.4K	-361.3K	-297.5K	-351.1K	-345.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.04	2.06	0.76	0.33
Total Volume	6,209.091	1,420	29,342	5,998	10,654
Total OI	114,509.364	104,006	130,316	115,168	109,470

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
2008-07-01	$23.54	$22.50	47.0%	13.5%	52.2%	47.7%	46.5%	4.0%	4.0%	2.2M	-68.5M	-351.1K	0.76	20.57	N/A	N/A	3,402	2,596	76,528	38,640
2008-07-02	$23.19	$22.50	48.9%	14.0%	51.4%	52.9%	48.8%	4.2%	3.6%	2.1M	-61.0M	-345.6K	0.26	23.11	N/A	N/A	1,654	438	75,920	39,840
2008-07-03	$22.79	$22.50	48.0%	13.8%	48.9%	50.4%	48.7%	3.8%	5.8%	2.0M	-54.5M	-343.6K	0.54	27.85	N/A	N/A	2,114	1,152	76,200	40,006
2008-07-07	$22.55	$20.00	48.6%	15.4%	48.6%	52.1%	53.7%	3.3%	-1.3%	2.1M	-48.1M	-326.6K	0.32	9.46	N/A	N/A	1,932	618	77,126	40,504
2008-07-08	$22.65	$20.00	47.3%	15.5%	46.3%	48.4%	53.7%	2.5%	-1.9%	2.3M	-51.4M	-322.3K	0.60	11.01	N/A	N/A	1,240	742	77,292	40,510
2008-07-09	$22.88	$20.00	46.6%	15.3%	43.8%	46.3%	53.2%	1.0%	-1.3%	2.4M	-56.6M	-327.8K	0.31	14.08	N/A	N/A	1,084	336	77,680	40,578
2008-07-10	$23.52	$20.00	54.1%	15.5%	43.3%	67.7%	53.6%	1.9%	-1.6%	2.6M	-69.6M	-331.2K	1.45	14.81	N/A	N/A	654	948	77,886	40,584
2008-07-11	$25.55	$20.00	56.0%	16.1%	45.8%	73.3%	55.5%	3.2%	-1.7%	2.4M	-111.1M	-333.7K	0.33	7.73	N/A	N/A	5,018	1,644	78,086	41,150
2008-07-14	$27.36	$20.00	55.1%	15.8%	49.4%	70.7%	56.4%	1.7%	-1.4%	1.8M	-143.8M	-297.5K	0.60	10.83	N/A	N/A	5,746	3,444	77,342	39,854
2008-07-15	$27.28	$20.00	59.1%	16.9%	48.9%	82.1%	59.4%	1.6%	-2.8%	1.9M	-145.1M	-328.0K	0.83	11.95	N/A	N/A	5,138	4,290	80,402	43,822
2008-07-16	$26.17	$22.50	58.9%	16.9%	53.3%	81.6%	59.1%	1.1%	-2.7%	1.9M	-119.8M	-333.4K	1.04	20.41	N/A	N/A	3,142	3,260	80,102	46,826
2008-07-17	$25.69	$22.50	58.7%	16.8%	54.6%	81.1%	58.1%	-0.2%	-3.5%	2.1M	-111.0M	-338.9K	0.87	13.43	N/A	N/A	3,428	2,978	80,630	48,308
2008-07-18	$25.09	$22.50	54.1%	15.5%	56.2%	67.8%	54.1%	0.6%	-1.1%	8.9M	-99.8M	-329.6K	0.18	12.66	N/A	N/A	24,792	4,550	81,194	49,122
2008-07-21	$25.80	$25.00	52.5%	15.0%	55.9%	63.1%	52.2%	1.2%	-0.7%	1.7M	-85.1M	-361.3K	0.46	13.45	N/A	N/A	2,296	1,054	72,980	31,026
2008-07-22	$24.94	$25.00	52.3%	15.0%	57.8%	62.5%	51.8%	0.8%	-0.5%	1.7M	-70.0M	-356.3K	0.47	16.83	N/A	N/A	1,500	704	73,060	31,246
2008-07-23	$24.48	$25.00	55.5%	15.9%	58.6%	71.9%	53.6%	1.3%	-1.4%	1.6M	-62.9M	-351.0K	1.49	8.61	N/A	N/A	2,260	3,366	73,450	31,276
2008-07-24	$23.35	$25.00	59.5%	17.0%	62.0%	83.2%	59.9%	1.2%	-3.0%	1.4M	-42.4M	-337.7K	1.17	17.05	N/A	N/A	2,390	2,792	73,144	31,758
2008-07-25	$24.28	$25.00	57.1%	16.4%	60.8%	76.5%	57.6%	3.4%	-2.2%	1.6M	-57.2M	-349.6K	0.82	9.44	N/A	N/A	890	726	73,600	32,692
2008-07-28	$24.32	$25.00	58.4%	16.7%	54.0%	80.1%	58.3%	3.6%	-3.4%	1.6M	-57.2M	-336.8K	0.04	13.50	N/A	N/A	12,110	434	73,500	32,582
2008-07-29	$23.46	$25.00	58.7%	16.8%	55.7%	80.9%	60.4%	2.0%	-4.3%	1.5M	-43.7M	-326.3K	2.06	15.15	N/A	N/A	1,556	3,208	72,596	32,572
2008-07-30	$23.46	$25.00	55.2%	15.8%	55.2%	70.8%	55.9%	2.7%	-0.2%	1.5M	-42.1M	-327.1K	0.97	9.07	N/A	N/A	2,194	2,126	73,266	34,856
2008-07-31	$25.59	$25.00	50.0%	14.3%	62.9%	56.1%	50.2%	-0.0%	4.4%	1.8M	-82.1M	-345.6K	0.33	12.92	N/A	N/A	7,998	2,656	73,802	35,668