GOLD Options History — October 2008 In October 2008, GOLD traded between $11.72 and $20.80. ATM implied volatility averaged 115.0%, placing in the 82.1% IV rank vs the trailing year. The 30-day expected move averaged 30.8%. IV traded below realized volatility by 14.6% (HV 20d: 129.6%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.58.
Notable Days 2008-10-08 : Highest Volume — 11,546 contracts2008-10-22 : Largest IV spike — 25.8% change2008-10-02 : Highest IV Rank — 100.0%2008-10-27 : Largest Expected Move — 36.7%Monthly Statistics Metric Avg Min Max Open Close Price $16.03 $11.72 $20.80 $20.25 $15.51 Max Pain $18.37 $15.00 $22.50 $20.00 $15.00 ATM IV 115.0% 80.2% 147.8% 80.2% 108.6% Expected Move 30.8% 23.0% 36.7% 23.0% 31.1% HV 20d 129.6% 95.3% 167.8% 95.3% 160.9% HV 60d 95.7% 75.3% 115.6% 75.3% 115.3% IV Rank 82.1% 48.4% 100.0% 94.8% 63.6% IV Percentile 98.1% 93.3% 100.0% 99.6% 93.3% Term Structure -9.9% -15.9% -5.1% -5.3% -8.6% VWIV 105.2% 82.6% 119.9% 82.6% 100.3% Skew 25d 11.0% 1.3% 24.2% 7.7% 18.4% Skew 10d 19.4% 3.3% 46.6% 15.6% 38.1% Call IV 25d 101.3% 77.5% 116.4% 77.5% 97.1% Put IV 25d 112.3% 85.2% 133.3% 85.2% 115.5% Bid-Ask Spread % 16.39 8.93 33.83 16.35 23.27 Gamma HHI 0.18 0.12 0.38 0.23 0.15 Net GEX 272.4K -296.4K 681.7K 556.0K 382.3K Net DEX 419.2K -30.3M 14.9M -18.6M 901.4K Net VEX -199.6K -300.0K -104.7K -278.0K -190.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.18 1.72 0.44 0.34 Total Volume 4,217.565 866 11,546 3,148 866 Total OI 92,138.348 84,332 99,692 84,674 99,344
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 2008-10-01 $20.25 $20.00 80.2% 23.0% 95.3% 94.8% 82.6% 7.7% -5.3% 556.0K -18.6M -278.0K 0.44 16.35 N/A N/A 2,182 966 55,888 28,786 2008-10-02 $17.60 $20.00 98.0% 28.1% 106.6% 100.0% 100.1% 8.1% -11.3% 289.5K -2.5M -235.2K 1.46 18.08 N/A N/A 2,578 3,766 56,950 28,718 2008-10-03 $17.38 $20.00 92.5% 26.5% 106.7% 90.5% 93.3% 7.2% -7.0% 285.1K 146.6K -221.4K 1.15 25.72 N/A N/A 1,676 1,926 58,138 27,804 2008-10-06 $16.73 $22.50 112.6% 27.3% 107.2% 100.0% 97.0% 1.3% -6.2% 261.2K 1.1M -212.2K 0.74 10.48 N/A N/A 1,668 1,230 58,418 27,560 2008-10-07 $16.94 $20.00 111.5% 28.0% 100.0% 98.4% 97.8% 3.1% -8.5% 283.8K -1.2M -220.7K 0.84 9.09 N/A N/A 2,420 2,034 58,846 27,910 2008-10-08 $20.80 $20.00 112.1% 28.4% 122.3% 99.3% 98.9% 6.8% -11.5% 681.7K -30.3M -300.0K 0.40 11.38 N/A N/A 8,276 3,270 59,798 28,632 2008-10-09 $19.27 $20.00 113.1% 29.7% 125.3% 100.0% 104.6% 6.1% -12.1% 539.6K -19.1M -288.4K 0.29 13.29 N/A N/A 1,680 492 63,372 30,292 2008-10-10 $17.59 $20.00 141.8% 33.8% 127.8% 100.0% 119.9% 6.0% -10.2% 360.1K -10.0M -262.3K 0.56 14.15 N/A N/A 3,708 2,090 63,348 30,382 2008-10-13 $18.38 $20.00 142.7% 31.0% 127.2% 100.0% 108.4% 6.3% -11.8% 461.1K -13.4M -268.1K 1.72 8.93 N/A N/A 1,474 2,532 64,948 30,430 2008-10-14 $18.50 $20.00 128.5% 29.4% 127.2% 86.2% 102.7% 6.1% -10.0% 427.3K -10.7M -260.4K 0.24 11.09 N/A N/A 2,642 640 64,958 31,066 2008-10-15 $15.99 $20.00 147.8% 32.6% 130.4% 100.0% 112.9% 5.9% -9.8% 168.6K 3.7M -212.8K 0.23 11.05 N/A N/A 2,536 582 66,090 31,054 2008-10-16 $15.03 $20.00 121.0% 34.7% 130.8% 75.1% 119.3% 9.2% -13.5% 119.5K 7.5M -193.4K 1.41 10.91 N/A N/A 1,962 2,774 68,752 30,940 2008-10-17 $14.86 $20.00 111.5% 32.0% 130.5% 66.3% 110.5% 8.5% -13.1% -296.4K 13.1M -173.0K 0.25 18.31 N/A N/A 6,280 1,574 68,410 30,916 2008-10-20 $15.99 $17.50 102.1% 29.3% 119.7% 57.6% 96.6% 16.4% -12.5% 264.8K 6.2M -180.3K 0.28 16.18 N/A N/A 1,888 524 59,288 25,044 2008-10-21 $14.96 $17.50 92.2% 26.4% 120.8% 48.4% 86.8% 14.6% -5.1% 189.6K 10.8M -150.2K 0.27 18.68 N/A N/A 4,588 1,220 60,250 25,174 2008-10-22 $12.26 $17.50 116.0% 33.2% 136.4% 70.5% 114.6% 5.8% -15.9% 98.4K 14.9M -106.2K 0.75 33.83 N/A N/A 3,396 2,562 63,240 25,436 2008-10-23 $11.72 $17.50 118.0% 33.8% 136.3% 72.4% 113.2% 5.6% -7.4% 94.9K 14.1M -110.3K 0.27 22.22 N/A N/A 2,918 778 65,272 27,002 2008-10-24 $12.88 $15.00 121.0% 34.7% 143.1% 75.1% 118.0% 24.0% -10.3% 140.1K 12.6M -127.8K 0.24 16.44 N/A N/A 1,992 480 66,582 26,868 2008-10-27 $11.79 $15.00 128.1% 36.7% 144.8% 81.8% 117.8% 17.6% -11.5% 93.5K 14.4M -104.7K 0.58 13.75 N/A N/A 874 506 67,914 27,034 2008-10-28 $13.13 $15.00 118.2% 33.9% 152.3% 72.6% 111.5% 24.0% -9.4% 152.1K 12.6M -125.0K 0.19 16.14 N/A N/A 1,042 198 68,188 27,444 2008-10-29 $15.65 $15.00 115.7% 33.2% 167.8% 70.2% 110.4% 24.2% -11.0% 362.6K 1.1M -184.3K 0.18 18.38 N/A N/A 5,374 958 68,294 27,412 2008-10-30 $15.49 $15.00 111.3% 31.9% 160.9% 66.1% 102.3% 20.8% -6.7% 350.0K 2.4M -186.0K 0.46 19.29 N/A N/A 2,668 1,214 69,546 27,444 2008-10-31 $15.51 $15.00 108.6% 31.1% 160.9% 63.6% 100.3% 18.4% -8.6% 382.3K 901.4K -190.4K 0.34 23.27 N/A N/A 648 218 71,216 28,128
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