GOLD Options History — December 2008 In December 2008, GOLD traded between $16.11 and $22.34. ATM implied volatility averaged 85.9%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded below realized volatility by 28.8% (HV 20d: 114.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.64.
Notable Days 2008-12-10 : Highest Volume — 9,236 contracts2008-12-19 : Largest IV drop — 10.5% change2008-12-01 : Highest IV Rank — 64.3%2008-12-01 : Largest Expected Move — 31.3%Monthly Statistics Metric Avg Min Max Open Close Price $19.87 $16.11 $22.34 $16.11 $21.96 Max Pain $19.77 $17.50 $20.00 $20.00 $20.00 ATM IV 85.9% 69.6% 109.3% 109.3% 69.6% Expected Move 24.7% 20.0% 31.3% 31.3% 20.0% HV 20d 114.7% 65.1% 150.9% 150.4% 65.1% HV 60d 135.1% 131.0% 139.4% 139.0% 131.0% IV Rank 42.5% 27.4% 64.3% 64.3% 27.4% IV Percentile 80.1% 70.6% 91.7% 91.7% 70.6% Term Structure 0.7% -5.5% 5.5% -5.5% 5.5% VWIV 86.1% 69.2% 105.7% 105.7% 69.2% Skew 25d 13.0% 6.6% 17.3% 10.7% 11.4% Skew 10d 25.3% 11.3% 34.0% 11.3% 22.4% Call IV 25d 80.1% 65.1% 101.7% 101.7% 65.1% Put IV 25d 93.1% 76.5% 112.4% 112.4% 76.5% Bid-Ask Spread % 14.32 7.05 18.50 18.32 9.04 Gamma HHI 0.20 0.15 0.47 0.16 0.17 Net GEX 668.1K 299.6K 1.2M 309.1K 625.8K Net DEX -19.4M -48.9M 3.8M 2.3M -24.6M Net VEX -192.9K -213.3K -158.3K -162.6K -202.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.06 2.72 2.12 0.18 Total Volume 4,117.364 714 9,236 2,002 5,550 Total OI 91,061.364 62,764 112,616 96,342 66,218
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 2008-12-01 $16.11 $20.00 109.3% 31.3% 150.4% 64.3% 105.7% 10.7% -5.5% 309.1K 2.3M -162.6K 2.12 18.32 N/A N/A 642 1,360 66,758 29,584 2008-12-02 $16.98 $20.00 101.5% 29.1% 150.9% 57.0% 100.1% 14.3% -3.7% 376.0K -622.4K -174.0K 0.26 18.44 N/A N/A 2,686 704 66,868 30,042 2008-12-03 $16.34 $20.00 99.9% 28.6% 144.4% 55.5% 97.8% 15.1% -3.0% 299.6K 3.8M -158.3K 0.19 14.68 N/A N/A 602 112 67,764 30,072 2008-12-04 $16.58 $20.00 97.9% 28.1% 141.1% 53.7% 100.6% 13.5% -0.9% 332.7K 2.1M -161.7K 0.06 13.89 N/A N/A 1,176 72 68,016 30,012 2008-12-05 $17.13 $17.50 95.4% 27.5% 129.7% 51.4% 104.7% 17.0% -2.1% 387.8K 330.5K -166.3K 0.71 18.50 N/A N/A 676 478 68,842 30,002 2008-12-08 $18.07 $17.50 94.9% 27.0% 128.8% 50.9% 94.5% 14.5% -1.6% 529.5K -6.8M -178.3K 0.24 15.00 N/A N/A 2,472 592 69,120 30,206 2008-12-09 $18.67 $20.00 91.5% 26.4% 128.2% 47.8% 89.0% 15.0% -0.8% 632.1K -11.2M -182.0K 0.20 16.80 N/A N/A 6,476 1,322 69,860 30,118 2008-12-10 $20.12 $20.00 84.8% 25.1% 127.0% 41.6% 86.9% 14.9% 0.6% 867.6K -24.6M -201.3K 1.23 15.91 N/A N/A 4,136 5,100 70,276 30,790 2008-12-11 $19.98 $20.00 87.4% 25.1% 120.2% 44.0% 87.9% 14.2% 1.8% 851.2K -22.1M -201.2K 0.27 14.93 N/A N/A 2,820 770 71,578 33,530 2008-12-12 $20.32 $20.00 88.7% 25.4% 117.7% 45.2% 89.1% 16.4% 0.9% 893.0K -24.6M -203.8K 1.50 13.85 N/A N/A 966 1,452 72,026 34,128 2008-12-15 $21.50 $20.00 87.4% 25.1% 114.3% 44.0% 89.8% 15.2% 0.1% 1.1M -39.2M -212.2K 0.42 17.91 N/A N/A 4,088 1,722 72,204 34,602 2008-12-16 $22.34 $20.00 82.7% 23.7% 114.2% 39.6% 83.3% 17.3% 1.0% 1.1M -48.9M -213.3K 0.28 15.46 N/A N/A 5,622 1,564 72,564 35,086 2008-12-17 $21.80 $20.00 80.9% 23.2% 115.0% 37.9% 75.3% 14.1% 2.3% 971.5K -41.6M -208.3K 0.32 14.71 N/A N/A 4,890 1,552 73,616 35,348 2008-12-18 $20.08 $20.00 85.2% 24.4% 117.7% 41.9% 81.6% 12.9% 1.1% 1.2M -19.8M -186.2K 0.58 15.08 N/A N/A 4,684 2,732 75,336 35,648 2008-12-19 $21.61 $20.00 76.3% 21.9% 119.2% 33.6% 74.7% 14.4% 3.4% 977.5K -39.3M -206.6K 0.15 13.96 N/A N/A 7,792 1,134 76,128 36,488 2008-12-22 $20.68 $20.00 80.4% 23.0% 95.3% 37.4% 81.1% 10.5% 3.0% 489.8K -18.8M -197.7K 1.08 15.07 N/A N/A 1,550 1,668 42,572 20,192 2008-12-23 $21.37 $20.00 73.9% 21.2% 95.0% 31.4% 74.1% 10.4% 3.5% 573.6K -23.5M -209.0K 0.15 10.96 N/A N/A 3,922 588 44,036 20,888 2008-12-24 $21.01 $20.00 78.2% 22.4% 95.3% 35.4% 77.4% 8.3% 4.0% 537.6K -21.4M -207.3K 0.38 12.27 N/A N/A 656 246 44,398 21,386 2008-12-26 $21.39 $20.00 73.9% 21.2% 95.3% 31.4% 76.8% 9.9% 2.6% 563.7K -22.8M -207.1K 0.42 12.70 N/A N/A 2,678 1,132 44,046 21,320 2008-12-29 $21.71 $20.00 76.0% 21.8% 92.9% 33.4% 76.2% 8.9% 2.0% 579.1K -24.1M -206.2K 0.63 7.05 N/A N/A 564 356 43,668 22,140 2008-12-30 $21.29 $20.00 73.8% 21.2% 66.3% 31.3% 78.0% 6.6% 2.5% 544.5K -21.2M -198.3K 2.72 10.56 N/A N/A 344 934 43,696 22,178 2008-12-31 $21.96 $20.00 69.6% 20.0% 65.1% 27.4% 69.2% 11.4% 5.5% 625.8K -24.6M -202.4K 0.18 9.04 N/A N/A 4,710 840 43,946 22,272
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