GOLD Options History — June 2009 In June 2009, GOLD traded between $30.82 and $36.98. ATM implied volatility averaged 53.8%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 1.7% (HV 20d: 52.1%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.62.
Notable Days 2009-06-02 : Highest Volume — 19,466 contracts2009-06-25 : Largest IV drop — 10.9% change2009-06-01 : Highest IV Rank — 16.8%2009-06-01 : Largest Expected Move — 16.7%Monthly Statistics Metric Avg Min Max Open Close Price $33.89 $30.82 $36.98 $35.26 $32.09 Max Pain $32.05 $30.00 $32.50 $30.00 $32.50 ATM IV 53.8% 46.4% 58.4% 58.1% 46.4% Expected Move 15.5% 13.3% 16.7% 16.7% 13.3% HV 20d 52.1% 46.2% 57.7% 50.1% 52.8% HV 60d 62.3% 59.6% 64.3% 63.1% 59.6% IV Rank 8.5% 0.0% 16.8% 16.8% 0.0% IV Percentile 14.1% 0.0% 26.6% 26.2% 0.0% Term Structure 1.1% -2.2% 5.1% -1.1% 5.1% VWIV 53.4% 46.1% 58.6% 57.3% 46.1% Skew 25d 5.8% 4.4% 7.0% 6.7% 4.8% Skew 10d 11.4% 8.8% 15.4% 13.8% 8.8% Call IV 25d 51.0% 44.0% 55.1% 55.1% 44.0% Put IV 25d 56.9% 48.9% 62.1% 61.8% 48.9% Bid-Ask Spread % 11.35 4.70 16.34 8.64 9.65 Gamma HHI 0.20 0.15 0.28 0.19 0.18 Net GEX 2.7M 1.3M 4.7M 3.5M 1.6M Net DEX -155.6M -265.8M -65.2M -216.4M -90.2M Net VEX -1.1M -1.2M -930.5K -1.1M -964.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.27 1.88 0.42 0.79 Total Volume 11,932.818 7,644 19,466 12,356 9,092 Total OI 212,554.364 166,822 243,158 210,836 175,834
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 2009-06-01 $35.26 $30.00 58.1% 16.7% 50.1% 16.8% 57.3% 6.7% -1.1% 3.5M -216.4M -1.1M 0.42 8.64 N/A N/A 8,730 3,626 133,956 76,880 2009-06-02 $36.98 $30.00 58.0% 16.6% 50.9% 16.7% 58.2% 7.0% -2.2% 4.2M -265.8M -1.1M 0.42 4.70 N/A N/A 13,682 5,784 136,600 78,850 2009-06-03 $35.27 $30.00 57.7% 16.5% 54.0% 16.4% 56.7% 5.5% -0.8% 4.0M -215.0M -1.1M 0.49 7.04 N/A N/A 12,338 6,042 142,512 80,976 2009-06-04 $36.10 $30.00 56.4% 16.2% 52.4% 15.2% 55.9% 5.1% 0.7% 4.7M -251.6M -1.2M 0.91 4.85 N/A N/A 4,098 3,720 150,156 82,664 2009-06-05 $34.27 $32.50 54.9% 16.3% 57.7% 13.8% 55.8% 6.9% -0.4% 3.8M -184.3M -1.1M 0.66 16.34 N/A N/A 11,068 7,356 148,490 83,574 2009-06-08 $35.42 $32.50 58.4% 16.4% 52.5% 15.2% 58.6% 6.4% 0.1% 3.9M -214.1M -1.1M 0.75 13.43 N/A N/A 7,506 5,598 141,596 83,622 2009-06-09 $35.27 $32.50 55.3% 16.1% 52.6% 8.7% 55.5% 6.3% 0.3% 3.5M -203.7M -1.1M 0.49 9.38 N/A N/A 5,770 2,852 141,658 84,674 2009-06-10 $35.34 $32.50 53.5% 15.7% 52.0% 6.9% 53.9% 6.3% 0.9% 3.7M -207.8M -1.1M 0.31 14.05 N/A N/A 11,228 3,508 142,748 85,410 2009-06-11 $35.47 $32.50 54.6% 15.7% 48.1% 7.9% 54.2% 6.3% 0.3% 4.1M -215.4M -1.1M 0.82 13.94 N/A N/A 5,096 4,174 146,732 86,342 2009-06-12 $33.84 $32.50 52.9% 15.2% 49.1% 6.2% 53.3% 5.8% 1.6% 2.7M -154.5M -1.1M 0.98 12.46 N/A N/A 8,094 7,938 147,754 87,672 2009-06-15 $33.02 $32.50 55.8% 16.0% 49.7% 9.0% 54.2% 5.2% 0.9% 2.2M -128.1M -1.0M 0.58 13.06 N/A N/A 6,936 4,002 148,816 90,938 2009-06-16 $33.30 $32.50 54.7% 15.7% 49.7% 8.0% 53.7% 5.4% 1.1% 2.3M -136.0M -1.0M 0.61 15.18 N/A N/A 4,862 2,944 148,300 91,420 2009-06-17 $32.60 $32.50 54.5% 15.6% 48.7% 7.8% 55.2% 6.7% 1.1% 1.6M -112.5M -998.7K 0.46 12.09 N/A N/A 9,712 4,448 148,360 92,042 2009-06-18 $31.58 $32.50 52.5% 15.1% 46.2% 5.8% 51.6% 6.6% 2.3% 1.3M -82.8M -963.8K 0.74 9.56 N/A N/A 4,730 3,502 150,642 92,516 2009-06-19 $32.87 $32.50 51.5% 14.8% 48.5% 4.8% 50.7% 5.9% 2.8% 1.4M -128.2M -986.7K 1.88 15.40 N/A N/A 4,398 8,278 149,608 91,950 2009-06-22 $30.82 $32.50 55.4% 15.9% 53.5% 8.7% 52.7% 6.3% 0.2% 1.3M -65.2M -930.5K 0.57 11.38 N/A N/A 7,660 4,352 108,040 58,782 2009-06-23 $32.22 $32.50 53.5% 15.3% 55.7% 6.8% 53.2% 5.3% 1.3% 1.6M -86.6M -1.0M 0.32 11.69 N/A N/A 5,784 1,860 108,526 61,442 2009-06-24 $33.20 $32.50 54.3% 15.6% 56.6% 7.5% 53.9% 4.4% 0.1% 1.9M -107.1M -1.0M 0.33 11.57 N/A N/A 7,712 2,570 109,242 61,968 2009-06-25 $34.02 $32.50 48.4% 13.9% 54.6% 1.7% 49.2% 4.6% 2.5% 2.1M -124.9M -1.0M 0.27 14.76 N/A N/A 9,560 2,540 111,196 62,792 2009-06-26 $33.28 $32.50 47.9% 13.7% 55.1% 1.2% 47.1% 5.0% 4.0% 2.0M -121.9M -1.0M 0.45 10.92 N/A N/A 7,138 3,190 114,622 62,356 2009-06-29 $33.31 $32.50 48.9% 14.0% 54.9% 2.2% 48.2% 5.7% 3.2% 1.9M -110.5M -995.3K 0.31 9.55 N/A N/A 6,908 2,136 111,112 62,826 2009-06-30 $32.09 $32.50 46.4% 13.3% 52.8% 0.0% 46.1% 4.8% 5.1% 1.6M -90.2M -964.2K 0.79 9.65 N/A N/A 5,080 4,012 113,562 62,272
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