GOLD Options History — October 2009 In October 2009, GOLD traded between $32.61 and $38.20. ATM implied volatility averaged 49.0%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 2.9% (HV 20d: 46.1%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.61.
Notable Days 2009-10-08 : Highest Volume — 21,208 contracts2009-10-15 : Largest IV spike — 15.3% change2009-10-30 : Highest IV Rank — 18.3%2009-10-30 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $35.72 $32.61 $38.20 $33.01 $33.35 Max Pain $35.68 $35.00 $37.50 $35.00 $35.00 ATM IV 49.0% 43.7% 54.9% 52.9% 54.9% Expected Move 14.4% 12.5% 15.7% 15.2% 15.7% HV 20d 46.1% 39.1% 50.4% 46.1% 49.6% HV 60d 47.9% 45.5% 49.4% 46.8% 47.9% IV Rank 9.1% 3.4% 18.3% 11.7% 18.3% IV Percentile 17.0% 2.8% 36.9% 23.8% 36.9% Term Structure -0.2% -1.6% 2.5% 1.3% -1.4% VWIV 50.7% 44.2% 55.2% 52.3% 54.5% Skew 25d 3.4% 2.9% 4.4% 2.9% 2.9% Skew 10d 6.1% 3.8% 8.0% 5.9% 3.8% Call IV 25d 49.2% 43.2% 53.5% 51.3% 53.5% Put IV 25d 52.6% 46.4% 56.8% 54.2% 56.5% Bid-Ask Spread % 9.06 4.15 14.06 13.85 13.51 Gamma HHI 0.18 0.12 0.48 0.13 0.12 Net GEX 3.3M 992.4K 9.4M 1.6M 1.4M Net DEX -110.5M -178.8M -38.5M -56.5M -50.0M Net VEX -827.5K -929.7K -698.6K -804.6K -740.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.24 1.41 0.62 0.49 Total Volume 8,603.636 3,650 21,208 11,052 9,508 Total OI 186,734.455 164,838 203,778 184,980 183,524
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 2009-10-01 $33.01 $35.00 52.9% 15.2% 46.1% 11.7% 52.3% 2.9% 1.3% 1.6M -56.5M -804.6K 0.62 13.85 N/A N/A 6,830 4,222 119,860 65,120 2009-10-02 $32.61 $35.00 51.7% 14.8% 39.1% 10.5% 51.8% 2.9% 2.5% 1.4M -47.7M -796.8K 1.14 8.64 N/A N/A 4,578 5,198 122,730 66,420 2009-10-05 $34.14 $35.00 51.4% 15.1% 42.5% 10.3% 52.7% 4.4% -1.2% 2.2M -79.5M -840.6K 0.28 4.62 N/A N/A 7,838 2,158 123,912 68,892 2009-10-06 $36.56 $35.00 52.1% 15.3% 48.7% 10.9% 55.2% 4.4% -1.2% 3.8M -144.5M -917.5K 0.33 4.15 N/A N/A 13,314 4,348 122,652 69,588 2009-10-07 $36.16 $35.00 51.8% 15.5% 48.7% 10.6% 54.3% 3.3% -0.5% 3.8M -136.2M -908.8K 0.61 5.63 N/A N/A 6,170 3,734 125,350 70,184 2009-10-08 $37.08 $35.00 48.8% 15.2% 47.4% 7.9% 53.8% 4.0% -1.0% 4.5M -161.6M -929.7K 0.30 6.39 N/A N/A 16,276 4,932 125,944 71,572 2009-10-09 $36.60 $35.00 45.8% 14.8% 47.6% 5.0% 52.7% 3.8% -0.4% 4.2M -146.3M -928.0K 0.36 5.47 N/A N/A 3,194 1,152 130,062 73,716 2009-10-12 $36.26 $35.00 51.5% 15.3% 47.2% 10.4% 53.3% 3.6% -1.6% 3.8M -131.2M -878.5K 0.65 5.11 N/A N/A 3,878 2,516 127,004 73,952 2009-10-13 $36.85 $35.00 47.2% 14.9% 47.4% 6.4% 53.6% 4.2% -0.5% 4.7M -148.2M -881.5K 0.48 6.12 N/A N/A 3,000 1,444 128,240 74,512 2009-10-14 $36.88 $35.00 44.1% 14.6% 44.0% 3.4% 52.9% 3.5% -0.4% 5.1M -150.0M -869.6K 0.39 5.49 N/A N/A 5,380 2,102 128,624 74,626 2009-10-15 $36.46 $35.00 50.8% 14.6% 44.1% 9.7% 52.1% 3.7% -1.1% 4.4M -130.5M -838.5K 0.62 5.67 N/A N/A 4,908 3,034 127,704 74,556 2009-10-16 $37.70 $35.00 49.1% 14.1% 45.6% 9.9% 49.3% 4.2% 0.2% 9.4M -178.8M -854.5K 0.24 8.08 N/A N/A 13,586 3,232 128,920 74,754 2009-10-19 $38.20 $35.00 48.0% 13.8% 44.8% 8.7% 48.4% 3.1% 0.3% 3.6M -151.1M -845.9K 1.41 12.37 N/A N/A 2,522 3,550 107,198 57,640 2009-10-20 $37.02 $35.00 47.0% 13.5% 46.3% 7.5% 47.5% 3.0% 0.1% 3.1M -124.6M -821.8K 0.59 10.31 N/A N/A 3,504 2,066 108,516 59,206 2009-10-21 $37.12 $35.00 46.0% 13.2% 46.1% 6.4% 46.1% 3.0% -0.1% 3.2M -125.6M -821.5K 0.90 13.43 N/A N/A 2,372 2,140 109,698 60,424 2009-10-22 $36.48 $37.50 44.9% 12.9% 44.7% 5.2% 45.4% 3.3% 0.8% 2.8M -109.3M -796.3K 0.68 9.05 N/A N/A 2,810 1,902 109,910 61,334 2009-10-23 $36.27 $37.50 43.7% 12.5% 44.2% 3.8% 44.2% 3.2% 1.0% 2.7M -103.5M -790.2K 1.13 12.93 N/A N/A 2,308 2,606 110,350 62,332 2009-10-26 $35.05 $37.50 46.9% 13.4% 45.9% 7.4% 46.7% 3.1% 0.1% 2.0M -77.9M -751.1K 0.71 9.96 N/A N/A 3,300 2,334 111,256 64,250 2009-10-27 $34.95 $37.50 47.2% 13.5% 45.1% 7.8% 47.2% 3.3% 0.2% 2.0M -75.9M -749.5K 0.39 11.00 N/A N/A 2,618 1,032 111,914 64,084 2009-10-28 $32.81 $37.50 52.6% 15.1% 50.4% 15.4% 52.1% 2.9% -1.2% 992.4K -38.5M -698.6K 0.83 14.06 N/A N/A 4,376 3,628 113,362 64,312 2009-10-29 $34.27 $37.50 50.2% 14.4% 48.8% 12.4% 49.9% 3.0% -0.5% 1.7M -63.9M -742.4K 0.26 13.56 N/A N/A 7,684 1,996 114,496 65,458 2009-10-30 $33.35 $35.00 54.9% 15.7% 49.6% 18.3% 54.5% 2.9% -1.4% 1.4M -50.0M -740.1K 0.49 13.51 N/A N/A 6,386 3,122 117,522 66,002
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