GOLD Options History — December 2009 In December 2009, GOLD traded between $38.90 and $44.23. ATM implied volatility averaged 42.5%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 3.7% (HV 20d: 38.8%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.24.
Notable Days 2009-12-01 : Highest Volume — 27,278 contracts2009-12-28 : Largest IV spike — 8.6% change2009-12-07 : Highest IV Rank — 14.3%2009-12-08 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $40.83 $38.90 $44.23 $44.23 $39.57 Max Pain $35.57 $35.00 $37.50 $37.50 $37.50 ATM IV 42.5% 38.2% 48.3% 43.1% 38.8% Expected Move 12.2% 10.9% 13.6% 12.4% 11.1% HV 20d 38.8% 29.8% 45.3% 35.7% 39.8% HV 60d 43.4% 40.1% 45.2% 42.6% 40.1% IV Rank 5.3% 0.0% 14.3% 4.0% 1.1% IV Percentile 5.5% 0.0% 25.0% 2.8% 0.8% Term Structure 3.1% 1.4% 4.8% 1.7% 4.2% VWIV 43.1% 37.2% 48.8% 43.6% 39.7% Skew 25d 3.4% 2.2% 4.3% 3.1% 2.3% Skew 10d 6.4% 4.8% 8.0% 6.4% 5.1% Call IV 25d 41.4% 36.2% 46.1% 42.5% 38.6% Put IV 25d 44.7% 40.1% 49.5% 45.6% 40.9% Bid-Ask Spread % 7.64 3.81 11.41 9.37 3.81 Gamma HHI 0.17 0.12 0.52 0.19 0.13 Net GEX 2.5M -5.4M 6.4M 6.4M 1.5M Net DEX -137.9M -267.7M -78.6M -267.7M -84.4M Net VEX -741.6K -859.1K -651.1K -859.1K -651.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.15 4.01 0.58 0.54 Total Volume 11,120.273 2,780 27,278 27,278 3,840 Total OI 196,930.818 145,214 232,728 203,580 158,222
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 2009-12-01 $44.23 $37.50 43.1% 12.4% 35.7% 4.0% 43.6% 3.1% 1.7% 6.4M -267.7M -859.1K 0.58 9.37 N/A N/A 17,288 9,990 122,886 80,694 2009-12-02 $44.02 $37.50 42.1% 12.1% 29.8% 2.9% 43.2% 3.3% 2.1% 6.2M -252.6M -855.5K 0.65 8.46 N/A N/A 6,988 4,514 123,780 82,828 2009-12-03 $42.94 $37.50 45.5% 13.0% 31.3% 8.5% 47.1% 4.3% 1.4% 5.5M -219.8M -857.5K 2.21 11.41 N/A N/A 5,944 13,162 125,436 83,850 2009-12-04 $41.11 $35.00 46.4% 13.5% 36.1% 10.4% 46.3% 3.3% 2.2% 3.4M -156.3M -840.1K 1.10 8.52 N/A N/A 10,758 11,854 127,860 90,422 2009-12-07 $41.17 $35.00 48.3% 13.6% 34.7% 14.3% 48.8% 4.3% 2.4% 3.5M -154.7M -824.6K 1.74 8.29 N/A N/A 5,734 9,986 129,520 91,940 2009-12-08 $39.76 $35.00 46.2% 13.6% 36.7% 10.7% 48.0% 3.5% 2.0% 2.2M -113.0M -793.4K 2.08 5.23 N/A N/A 6,198 12,894 130,492 94,076 2009-12-09 $40.69 $35.00 44.6% 13.4% 37.5% 8.2% 46.6% 4.0% 2.1% 3.3M -143.2M -794.9K 0.56 6.11 N/A N/A 4,254 2,390 131,796 92,108 2009-12-10 $40.49 $35.00 45.3% 13.0% 36.1% 9.7% 45.5% 3.3% 2.9% 3.2M -138.2M -768.0K 1.39 6.34 N/A N/A 2,068 2,880 132,192 91,728 2009-12-11 $40.40 $35.00 44.8% 12.8% 35.7% 8.7% 46.6% 3.4% 3.2% 2.8M -133.9M -745.1K 1.71 8.44 N/A N/A 2,224 3,800 132,200 92,084 2009-12-14 $41.30 $35.00 43.4% 12.5% 36.1% 6.0% 45.7% 3.6% 3.7% 3.6M -162.1M -726.2K 1.40 7.21 N/A N/A 1,872 2,628 131,336 92,282 2009-12-15 $40.01 $35.00 43.9% 12.6% 35.4% 7.0% 44.2% 3.6% 3.4% 1.3M -120.9M -687.7K 1.10 6.74 N/A N/A 4,384 4,824 131,816 92,164 2009-12-16 $41.27 $35.00 42.5% 12.2% 37.3% 4.3% 43.4% 3.1% 4.2% 3.6M -164.4M -721.5K 2.23 9.51 N/A N/A 3,050 6,806 133,540 92,710 2009-12-17 $38.90 $35.00 44.1% 12.7% 42.7% 7.4% 44.1% 2.2% 2.9% 119.5K -78.6M -685.6K 1.12 7.48 N/A N/A 7,648 8,546 133,648 96,284 2009-12-18 $40.19 $37.50 42.4% 12.1% 44.6% 3.9% 42.5% 3.4% 3.7% -5.4M -140.0M -694.5K 0.51 8.07 N/A N/A 8,582 4,384 137,462 95,266 2009-12-21 $39.78 $35.00 39.3% 11.3% 44.7% 0.0% 39.4% 2.8% 4.1% 1.7M -90.5M -662.0K 0.45 8.41 N/A N/A 6,122 2,744 86,848 58,366 2009-12-22 $40.03 $35.00 38.9% 11.1% 44.6% 0.0% 38.2% 3.5% 4.1% 1.9M -95.8M -667.3K 0.15 6.81 N/A N/A 13,254 2,020 89,216 59,308 2009-12-23 $41.07 $35.00 38.2% 10.9% 45.3% 0.0% 37.2% 3.9% 4.6% 2.6M -115.6M -695.0K 0.93 6.69 N/A N/A 7,836 7,288 91,154 60,216 2009-12-24 $40.74 $35.00 38.2% 11.0% 44.1% 0.1% 38.5% 3.7% 4.8% 2.8M -113.6M -736.1K 0.82 6.53 N/A N/A 1,524 1,256 95,822 65,216 2009-12-28 $40.64 $35.00 41.5% 11.9% 43.1% 6.3% 40.9% 3.4% 2.3% 2.2M -105.6M -702.2K 0.89 7.91 N/A N/A 2,372 2,120 92,522 65,278 2009-12-29 $40.22 $35.00 39.4% 11.3% 43.2% 2.4% 39.5% 3.6% 3.7% 1.9M -97.0M -684.0K 1.14 9.43 N/A N/A 1,814 2,060 93,306 65,606 2009-12-30 $39.73 $35.00 38.9% 11.2% 39.8% 1.5% 39.1% 2.6% 3.6% 1.5M -84.8M -663.1K 4.01 7.39 N/A N/A 948 3,798 92,920 66,078 2009-12-31 $39.57 $37.50 38.8% 11.1% 39.8% 1.1% 39.7% 2.3% 4.2% 1.5M -84.4M -651.1K 0.54 3.81 N/A N/A 2,494 1,346 93,084 65,138
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