GOLD Options History — April 2009 In April 2009, GOLD traded between $20.80 and $28.45. ATM implied volatility averaged 65.9%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 3.4% (HV 20d: 69.3%). Max pain ranged from $22.50 to $27.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.85.
Notable Days 2009-04-03 : Highest Volume — 21,432 contracts2009-04-06 : Largest IV spike — 16.9% change2009-04-06 : Highest IV Rank — 29.6%2009-04-06 : Largest Expected Move — 20.4%Monthly Statistics Metric Avg Min Max Open Close Price $23.70 $20.80 $28.45 $28.45 $24.20 Max Pain $24.29 $22.50 $27.50 $25.00 $22.50 ATM IV 65.9% 59.4% 72.0% 60.6% 63.1% Expected Move 19.0% 17.0% 20.4% 17.4% 18.1% HV 20d 69.3% 57.8% 78.8% 61.1% 74.8% HV 60d 67.2% 63.6% 70.1% 67.6% 67.6% IV Rank 24.0% 17.9% 29.6% 19.0% 21.4% IV Percentile 50.7% 40.5% 64.7% 44.8% 40.5% Term Structure -1.1% -3.8% 3.8% 3.4% -2.4% VWIV 65.6% 60.0% 68.7% 60.0% 65.5% Skew 25d 8.8% 8.0% 9.9% 9.3% 8.1% Skew 10d 17.0% 13.8% 20.1% 20.1% 17.5% Call IV 25d 62.2% 56.0% 65.0% 56.0% 61.0% Put IV 25d 71.0% 65.4% 74.8% 65.4% 69.1% Bid-Ask Spread % 12.61 9.24 16.84 16.67 16.84 Gamma HHI 0.14 0.10 0.30 0.16 0.12 Net GEX 475.8K -364.1K 1.3M 1.3M 696.7K Net DEX -33.1M -96.9M 12.6M -96.9M -42.7M Net VEX -498.0K -573.5K -399.9K -555.1K -493.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.09 3.85 0.67 0.27 Total Volume 7,159.143 1,774 21,432 17,978 10,136 Total OI 114,966.857 91,756 127,224 91,756 111,758
Daily Data (21 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 2009-04-01 $28.45 $25.00 60.6% 17.4% 61.1% 19.0% 60.0% 9.3% 3.4% 1.3M -96.9M -555.1K 0.67 16.67 N/A N/A 10,754 7,224 67,290 24,466 2009-04-02 $27.05 $25.00 59.4% 17.0% 61.2% 17.9% 60.0% 8.2% 3.8% 1.2M -79.7M -573.5K 0.44 12.10 N/A N/A 5,020 2,226 73,904 30,114 2009-04-03 $24.92 $27.50 61.6% 19.0% 68.7% 19.9% 66.8% 8.8% -0.1% 871.1K -52.1M -535.2K 0.98 13.19 N/A N/A 10,820 10,612 76,060 30,590 2009-04-06 $23.34 $27.50 72.0% 20.4% 72.4% 29.6% 68.4% 9.9% -1.9% 329.3K -26.3M -525.0K 1.08 11.80 N/A N/A 4,876 5,272 80,866 38,140 2009-04-07 $23.94 $25.00 64.6% 19.2% 66.8% 22.8% 68.2% 9.3% -0.6% 435.7K -33.6M -551.8K 0.56 10.06 N/A N/A 4,426 2,470 82,648 40,480 2009-04-08 $23.63 $25.00 67.2% 20.0% 65.7% 25.2% 66.1% 9.4% -0.5% 387.7K -29.2M -538.5K 0.74 13.06 N/A N/A 1,108 820 83,240 40,500 2009-04-09 $22.76 $25.00 67.8% 19.4% 67.0% 25.7% 66.8% 9.3% -0.7% 200.6K -17.0M -503.8K 0.58 10.70 N/A N/A 2,466 1,424 83,916 40,818 2009-04-13 $22.96 $25.00 70.4% 20.2% 67.0% 28.2% 67.4% 9.7% -2.1% 171.0K -17.7M -492.0K 1.84 9.54 N/A N/A 1,494 2,748 83,052 41,194 2009-04-14 $22.76 $25.00 70.0% 20.1% 67.1% 27.8% 68.7% 9.5% -1.6% -7.1K -14.8M -487.5K 3.85 12.91 N/A N/A 366 1,408 83,756 42,936 2009-04-15 $23.00 $25.00 67.7% 19.4% 65.8% 25.7% 66.5% 8.8% -1.8% -112.0K -15.5M -490.2K 1.37 14.86 N/A N/A 1,884 2,588 83,714 43,510 2009-04-16 $21.95 $25.00 65.9% 18.9% 64.7% 24.0% 65.1% 8.4% -0.1% -364.1K -258.0K -441.3K 0.56 12.95 N/A N/A 2,486 1,400 82,500 43,414 2009-04-17 $20.80 $25.00 67.7% 19.4% 57.8% 25.6% 64.8% 8.0% -0.6% 143.9K 12.6M -399.9K 0.54 9.24 N/A N/A 3,342 1,816 82,966 43,594 2009-04-20 $22.89 $25.00 67.6% 19.4% 68.9% 25.5% 66.5% 8.9% -2.3% 416.3K -26.3M -461.1K 0.40 9.82 N/A N/A 7,362 2,972 71,180 31,450 2009-04-21 $21.75 $22.50 66.0% 18.9% 70.3% 24.1% 67.0% 8.6% -1.4% 308.9K -16.0M -432.3K 0.64 9.69 N/A N/A 4,146 2,662 73,244 32,810 2009-04-22 $22.16 $22.50 65.4% 18.7% 70.9% 23.5% 63.5% 8.8% -1.5% 368.3K -19.8M -452.3K 0.64 12.61 N/A N/A 1,284 820 75,482 34,516 2009-04-23 $23.21 $22.50 66.0% 18.9% 72.3% 24.1% 63.6% 8.4% -1.4% 544.5K -32.3M -483.2K 0.51 12.07 N/A N/A 4,594 2,358 75,954 34,670 2009-04-24 $25.11 $22.50 62.6% 18.0% 78.5% 20.9% 63.3% 8.3% -1.0% 901.1K -56.1M -529.6K 1.09 16.41 N/A N/A 2,842 3,100 76,702 35,016 2009-04-27 $24.57 $22.50 66.1% 19.0% 78.2% 24.2% 66.1% 8.2% -2.9% 799.2K -48.7M -519.0K 0.58 12.62 N/A N/A 1,468 850 77,728 36,148 2009-04-28 $23.82 $22.50 66.5% 19.1% 78.8% 24.6% 66.8% 8.0% -3.8% 639.1K -37.7M -490.1K 0.09 11.77 N/A N/A 11,224 1,016 77,750 36,220 2009-04-29 $24.34 $22.50 65.5% 18.8% 77.2% 23.6% 67.1% 9.1% -3.6% 691.7K -44.0M -502.3K 0.48 15.90 N/A N/A 3,016 1,442 73,614 36,394 2009-04-30 $24.20 $22.50 63.1% 18.1% 74.8% 21.4% 65.5% 8.1% -2.4% 696.7K -42.7M -493.4K 0.27 16.84 N/A N/A 7,974 2,162 75,080 36,678
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