GOLD Options History — July 2009 In July 2009, GOLD traded between $29.01 and $33.63. ATM implied volatility averaged 49.3%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 2.9% (HV 20d: 52.2%). 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 15 of 22 days. Put/call ratio averaged 0.80.
Notable Days 2009-07-09 : Highest Volume — 28,956 contracts2009-07-06 : Largest IV spike — 20.3% change2009-07-08 : Highest IV Rank — 11.9%2009-07-08 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $31.33 $29.01 $33.63 $33.63 $31.06 Max Pain $30.23 $30.00 $32.50 $32.50 $30.00 ATM IV 49.3% 42.5% 57.7% 45.6% 42.5% Expected Move 14.2% 12.2% 16.3% 13.1% 12.2% HV 20d 52.2% 45.3% 56.0% 53.9% 49.0% HV 60d 56.0% 51.7% 60.5% 58.4% 53.3% IV Rank 4.0% 0.0% 11.9% 0.0% 0.0% IV Percentile 5.9% 0.0% 24.6% 0.0% 0.4% Term Structure 0.9% -0.9% 4.8% 4.8% 3.0% VWIV 49.8% 41.8% 57.4% 44.4% 41.8% Skew 25d 4.5% 2.9% 5.7% 3.0% 2.9% Skew 10d 8.8% 4.1% 10.9% 4.1% 8.9% Call IV 25d 47.5% 40.7% 54.7% 43.7% 40.7% Put IV 25d 52.1% 43.6% 59.7% 46.8% 43.6% Bid-Ask Spread % 11.81 6.01 15.59 6.01 13.60 Gamma HHI 0.15 0.12 0.19 0.19 0.14 Net GEX 1.5M 653.5K 2.2M 2.2M 1.5M Net DEX -78.7M -120.6M -31.3M -120.6M -80.3M Net VEX -840.1K -1.0M -739.3K -1.0M -798.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.15 3.19 0.21 0.87 Total Volume 8,529.545 1,104 28,956 12,686 7,922 Total OI 171,901.091 152,088 188,940 178,200 175,314
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 2009-07-01 $33.63 $32.50 45.6% 13.1% 53.9% 0.0% 44.4% 3.0% 4.8% 2.2M -120.6M -1.0M 0.21 6.01 N/A N/A 10,472 2,214 114,234 63,966 2009-07-02 $32.30 $32.50 46.5% 13.3% 54.6% 0.9% 46.8% 3.7% 4.8% 1.9M -103.2M -979.1K 0.25 8.73 N/A N/A 6,594 1,674 119,354 64,294 2009-07-06 $30.57 $30.00 56.0% 15.8% 54.9% 10.2% 54.2% 5.4% -0.5% 1.2M -60.4M -895.2K 0.78 10.93 N/A N/A 4,090 3,170 117,708 64,460 2009-07-07 $30.39 $30.00 54.9% 15.7% 52.9% 9.1% 54.1% 5.7% 0.0% 1.1M -55.3M -883.0K 1.59 10.07 N/A N/A 1,226 1,950 117,660 65,350 2009-07-08 $29.01 $30.00 57.7% 16.3% 54.7% 11.9% 57.4% 5.1% -0.6% 694.0K -31.3M -835.2K 0.75 12.73 N/A N/A 7,066 5,316 118,046 65,518 2009-07-09 $29.45 $30.00 55.1% 16.1% 55.2% 9.3% 56.5% 5.1% -0.9% 882.3K -41.6M -875.4K 0.96 12.41 N/A N/A 14,770 14,186 121,632 67,308 2009-07-10 $29.36 $30.00 52.5% 16.0% 55.1% 6.8% 56.0% 4.9% 0.1% 653.5K -41.2M -830.8K 0.41 13.30 N/A N/A 8,150 3,318 115,228 64,732 2009-07-13 $30.04 $30.00 56.1% 16.2% 54.3% 10.3% 57.4% 5.0% -0.5% 753.3K -51.6M -829.7K 0.46 13.73 N/A N/A 8,204 3,806 114,736 64,568 2009-07-14 $30.61 $30.00 53.5% 15.9% 54.6% 7.7% 55.2% 5.0% -0.5% 1.0M -65.6M -844.2K 3.19 9.45 N/A N/A 1,768 5,634 116,810 63,910 2009-07-15 $31.63 $30.00 48.5% 15.1% 56.0% 2.9% 54.1% 5.0% 0.4% 1.5M -85.9M -865.2K 1.20 10.30 N/A N/A 3,746 4,500 116,110 63,948 2009-07-16 $31.43 $30.00 51.3% 14.7% 55.5% 5.6% 52.4% 5.5% 0.6% 1.4M -81.7M -848.0K 0.66 15.09 N/A N/A 1,932 1,282 116,554 63,836 2009-07-17 $31.99 $30.00 50.2% 14.4% 54.8% 4.5% 49.8% 5.0% 0.9% 1.7M -86.5M -833.0K 0.37 15.59 N/A N/A 3,732 1,384 113,666 61,968 2009-07-20 $33.37 $30.00 49.0% 14.0% 55.0% 3.3% 49.4% 4.5% 0.2% 1.9M -114.3M -846.7K 1.21 11.94 N/A N/A 3,496 4,234 99,508 52,580 2009-07-21 $32.76 $30.00 46.9% 13.5% 50.0% 1.3% 46.6% 4.2% 0.1% 1.8M -103.6M -813.1K 0.42 10.00 N/A N/A 5,192 2,168 100,386 52,868 2009-07-22 $32.86 $30.00 46.9% 13.5% 47.6% 1.3% 47.1% 4.4% -0.3% 2.0M -107.3M -827.9K 1.13 13.52 N/A N/A 518 586 103,476 54,038 2009-07-23 $33.23 $30.00 46.9% 13.5% 46.5% 1.3% 47.5% 5.4% -0.1% 2.1M -114.8M -836.5K 0.26 11.02 N/A N/A 2,014 530 103,366 53,794 2009-07-24 $32.74 $30.00 45.9% 13.2% 45.9% 0.3% 46.5% 4.5% 0.3% 2.0M -106.0M -812.9K 0.76 13.30 N/A N/A 1,058 806 103,542 54,006 2009-07-27 $32.84 $30.00 45.9% 13.2% 45.3% 0.3% 45.9% 4.7% 0.4% 2.0M -106.2M -795.2K 0.45 12.31 N/A N/A 4,890 2,216 103,638 54,198 2009-07-28 $30.35 $30.00 45.4% 13.0% 53.1% 0.0% 45.0% 3.8% 1.7% 1.3M -61.8M -745.3K 0.61 12.94 N/A N/A 4,796 2,932 106,596 55,214 2009-07-29 $29.84 $30.00 44.2% 12.7% 51.9% 0.0% 45.3% 3.0% 2.8% 1.2M -54.4M -739.3K 0.15 10.62 N/A N/A 8,798 1,356 109,158 56,208 2009-07-30 $29.90 $30.00 42.5% 12.2% 48.4% 0.0% 42.5% 4.2% 3.4% 1.3M -58.5M -745.5K 0.88 12.21 N/A N/A 7,432 6,522 111,556 56,782 2009-07-31 $31.06 $30.00 42.5% 12.2% 49.0% 0.0% 41.8% 2.9% 3.0% 1.5M -80.3M -798.9K 0.87 13.60 N/A N/A 4,240 3,682 113,218 62,096
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