GOLD Options History — March 2009 In March 2009, GOLD traded between $21.67 and $27.18. ATM implied volatility averaged 65.3%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 0.5% (HV 20d: 64.9%). 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 20 of 22 days. Put/call ratio averaged 0.96.
Notable Days 2009-03-06 : Highest Volume — 18,228 contracts2009-03-09 : Largest IV spike — 14.4% change2009-03-02 : Highest IV Rank — 32.3%2009-03-02 : Largest Expected Move — 21.5%Monthly Statistics Metric Avg Min Max Open Close Price $24.27 $21.67 $27.18 $21.73 $27.18 Max Pain $24.43 $22.50 $25.00 $22.50 $25.00 ATM IV 65.3% 58.6% 74.9% 74.9% 58.7% Expected Move 18.8% 16.8% 21.5% 21.5% 16.8% HV 20d 64.9% 58.4% 74.0% 68.4% 59.8% HV 60d 69.1% 67.7% 70.6% 70.2% 68.3% IV Rank 23.4% 17.2% 32.3% 32.3% 17.3% IV Percentile 52.3% 38.1% 69.8% 69.8% 38.5% Term Structure 2.2% -1.6% 3.9% -1.6% 3.9% VWIV 65.2% 59.4% 76.0% 76.0% 59.4% Skew 25d 8.5% 6.2% 10.1% 8.0% 8.0% Skew 10d 14.3% 9.2% 19.5% 18.1% 14.0% Call IV 25d 61.3% 55.5% 72.3% 72.3% 56.3% Put IV 25d 69.8% 64.3% 80.4% 80.4% 64.3% Bid-Ask Spread % 9.73 5.23 16.78 12.22 12.81 Gamma HHI 0.15 0.13 0.21 0.14 0.16 Net GEX 855.8K 369.2K 1.7M 382.4K 1.2M Net DEX -53.0M -94.6M -14.3M -14.3M -83.2M Net VEX -448.6K -543.5K -269.9K -269.9K -538.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.14 2.16 0.69 0.86 Total Volume 5,454.182 2,132 18,228 3,402 2,846 Total OI 102,316.818 81,734 127,560 86,522 90,870
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 2009-03-02 $21.73 $22.50 74.9% 21.5% 68.4% 32.3% 76.0% 8.0% -1.6% 382.4K -14.3M -269.9K 0.69 12.22 N/A N/A 2,008 1,394 53,618 32,904 2009-03-03 $22.04 $22.50 73.5% 21.1% 66.2% 31.1% 74.0% 7.2% -1.4% 421.0K -16.0M -274.3K 0.81 13.62 N/A N/A 3,302 2,674 54,492 33,474 2009-03-04 $22.30 $22.50 66.0% 18.9% 65.8% 24.1% 66.0% 8.0% 2.7% 428.4K -17.5M -285.9K 0.79 11.13 N/A N/A 3,212 2,528 55,340 35,472 2009-03-05 $23.86 $22.50 64.3% 18.4% 69.8% 22.5% 68.7% 8.1% 1.9% 769.7K -32.8M -314.1K 1.44 12.08 N/A N/A 1,546 2,228 56,904 36,474 2009-03-06 $23.93 $25.00 62.5% 19.2% 69.5% 20.9% 66.0% 8.8% 2.2% 777.4K -33.7M -317.0K 0.14 6.07 N/A N/A 15,944 2,284 57,396 38,148 2009-03-09 $23.41 $25.00 71.5% 20.4% 69.0% 29.2% 66.9% 9.3% 1.3% 745.9K -48.3M -466.1K 0.82 5.23 N/A N/A 3,588 2,954 72,622 38,860 2009-03-10 $21.67 $25.00 70.1% 20.0% 72.7% 27.9% 69.1% 6.2% 2.0% 369.2K -27.8M -433.1K 0.34 8.05 N/A N/A 5,012 1,698 74,148 39,448 2009-03-11 $22.57 $22.50 68.4% 19.8% 74.0% 26.3% 69.7% 8.6% 1.9% 593.3K -40.0M -456.8K 0.46 6.94 N/A N/A 2,302 1,060 76,076 39,438 2009-03-12 $22.93 $25.00 67.5% 19.3% 61.5% 25.5% 65.3% 8.6% 2.8% 669.1K -43.1M -460.7K 0.37 8.27 N/A N/A 2,802 1,040 76,640 39,762 2009-03-13 $23.05 $25.00 66.2% 19.0% 61.5% 24.2% 63.1% 8.7% 3.4% 788.5K -46.3M -468.2K 2.16 7.22 N/A N/A 1,128 2,432 78,226 39,958 2009-03-16 $23.14 $25.00 66.3% 19.0% 61.0% 24.3% 65.0% 9.0% 2.9% 766.6K -45.9M -460.3K 1.17 7.85 N/A N/A 1,576 1,836 78,118 40,612 2009-03-17 $22.29 $25.00 64.2% 18.4% 59.4% 22.4% 65.4% 7.3% 3.5% 498.0K -32.2M -432.2K 0.93 12.71 N/A N/A 1,430 1,326 78,606 40,962 2009-03-18 $23.56 $25.00 65.8% 18.9% 63.2% 23.9% 64.2% 9.1% 1.5% 926.7K -50.9M -462.3K 0.60 11.31 N/A N/A 9,152 5,456 79,168 40,916 2009-03-19 $25.66 $25.00 64.9% 18.6% 69.5% 23.0% 63.8% 9.5% 1.9% 1.7M -90.7M -516.1K 0.68 6.22 N/A N/A 6,218 4,206 82,032 42,410 2009-03-20 $25.85 $25.00 63.2% 18.1% 68.0% 21.5% 62.7% 7.7% 3.2% 1.4M -94.6M -522.7K 1.06 7.00 N/A N/A 2,056 2,174 83,788 43,772 2009-03-23 $26.18 $25.00 63.7% 18.3% 67.6% 21.9% 61.4% 8.3% 2.6% 1.0M -72.6M -522.0K 0.77 7.35 N/A N/A 3,164 2,422 62,262 19,472 2009-03-24 $26.19 $25.00 63.5% 18.2% 60.7% 21.8% 63.4% 10.1% 2.7% 1.1M -72.5M -529.3K 1.59 7.46 N/A N/A 1,192 1,892 64,172 20,870 2009-03-25 $27.00 $25.00 59.6% 17.1% 60.3% 18.1% 59.4% 8.9% 3.0% 1.1M -79.9M -536.9K 0.52 8.81 N/A N/A 2,624 1,370 64,342 21,492 2009-03-26 $27.11 $25.00 58.8% 16.9% 59.9% 17.4% 60.3% 8.8% 3.5% 1.1M -82.5M -543.5K 1.78 9.73 N/A N/A 962 1,714 65,814 22,622 2009-03-27 $26.34 $25.00 58.6% 16.8% 61.0% 17.2% 60.1% 8.2% 3.9% 1.1M -73.6M -534.4K 1.11 16.78 N/A N/A 1,010 1,122 66,096 23,374 2009-03-30 $25.97 $25.00 64.9% 18.6% 58.4% 23.1% 64.5% 9.8% 1.3% 1.0M -68.6M -525.6K 2.03 15.13 N/A N/A 1,026 2,082 66,364 23,436 2009-03-31 $27.18 $25.00 58.7% 16.8% 59.8% 17.3% 59.4% 8.0% 3.9% 1.2M -83.2M -538.2K 0.86 12.81 N/A N/A 1,528 1,318 66,762 24,108
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