GOLD Options History — February 2010

In February 2010, GOLD traded between $33.65 and $37.01. ATM implied volatility averaged 42.3%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 4.7% (HV 20d: 47.0%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.81.

Notable Days

2010-02-05: Highest Volume — 12,590 contracts
2010-02-04: Largest IV spike — 10.4% change
2010-02-04: Highest IV Rank — 36.1%
2010-02-04: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.66	$33.65	$37.01	$36.38	$36.01
Max Pain	$38.03	$37.50	$40.00	$40.00	$37.50
ATM IV	42.3%	36.8%	48.2%	45.2%	36.8%
Expected Move	12.2%	10.6%	13.8%	13.0%	10.6%
HV 20d	47.0%	38.6%	52.4%	41.5%	49.6%
HV 60d	41.0%	37.9%	42.6%	38.3%	42.3%
IV Rank	22.1%	8.9%	36.1%	28.9%	8.9%
IV Percentile	13.8%	1.6%	40.5%	22.2%	1.6%
Term Structure	0.1%	-2.8%	2.1%	-2.0%	2.1%
VWIV	42.9%	37.6%	48.0%	45.2%	37.6%
Skew 25d	2.0%	-0.4%	3.2%	1.9%	2.0%
Skew 10d	3.9%	-1.1%	5.9%	2.5%	4.4%
Call IV 25d	42.0%	36.2%	48.4%	44.6%	36.2%
Put IV 25d	44.0%	38.2%	48.0%	46.6%	38.2%
Bid-Ask Spread %	9.90	6.90	16.01	7.17	11.99
Gamma HHI	0.16	0.13	0.18	0.16	0.17
Net GEX	-878.5K	-1.4M	-202.1K	-1.1M	-820.0K
Net DEX	33.1M	11.6M	63.5M	38.2M	14.4M
Net VEX	-466.0K	-489.8K	-437.0K	-479.0K	-437.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.14	2.17	0.22	1.86
Total Volume	5,155.158	2,246	12,590	5,190	3,712
Total OI	115,769.474	107,296	125,440	108,056	108,216

Daily Data (19 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
2010-02-01	$36.38	$40.00	45.2%	13.0%	41.5%	28.9%	45.2%	1.9%	-2.0%	-1.1M	38.2M	-479.0K	0.22	7.17	N/A	N/A	4,270	920	51,332	56,724
2010-02-02	$36.62	$40.00	43.6%	12.5%	38.6%	25.2%	43.7%	1.4%	-0.4%	-927.1K	31.9M	-484.3K	0.14	10.12	N/A	N/A	3,152	440	52,764	56,998
2010-02-03	$35.76	$40.00	43.7%	12.5%	39.0%	25.3%	43.7%	0.7%	-0.6%	-1.1M	42.5M	-463.4K	0.89	16.01	N/A	N/A	4,566	4,052	53,612	57,102
2010-02-04	$33.65	$40.00	48.2%	13.8%	41.6%	36.1%	48.0%	-0.4%	-2.8%	-1.4M	63.5M	-457.8K	1.04	10.96	N/A	N/A	2,910	3,030	57,084	59,928
2010-02-05	$34.84	$37.50	46.3%	13.2%	44.7%	31.6%	46.3%	1.7%	-0.6%	-1.2M	51.6M	-482.9K	1.11	14.56	N/A	N/A	5,962	6,628	57,718	59,168
2010-02-08	$33.92	$37.50	45.6%	13.3%	44.4%	30.0%	46.6%	1.0%	-1.1%	-1.3M	61.0M	-464.9K	0.60	7.95	N/A	N/A	2,926	1,746	58,880	59,876
2010-02-09	$35.38	$37.50	41.6%	12.7%	48.1%	20.3%	43.8%	2.3%	0.1%	-1.1M	43.1M	-475.5K	0.43	8.68	N/A	N/A	3,018	1,304	58,542	59,116
2010-02-10	$34.67	$37.50	40.9%	12.8%	47.1%	18.7%	44.3%	2.5%	0.3%	-1.1M	51.3M	-462.1K	0.47	10.90	N/A	N/A	3,394	1,584	59,846	59,268
2010-02-11	$36.10	$37.50	43.6%	12.5%	49.4%	25.2%	43.1%	2.8%	0.8%	-724.1K	30.4M	-489.8K	0.55	8.72	N/A	N/A	2,512	1,374	62,212	59,166
2010-02-12	$35.38	$37.50	43.3%	12.4%	49.5%	24.4%	43.3%	2.6%	1.0%	-842.7K	40.3M	-478.9K	1.33	8.68	N/A	N/A	2,200	2,932	62,924	59,412
2010-02-16	$36.94	$37.50	42.7%	12.3%	52.4%	23.1%	42.9%	3.2%	0.8%	-419.6K	15.1M	-479.7K	0.81	10.05	N/A	N/A	2,630	2,134	63,540	60,018
2010-02-17	$36.65	$37.50	42.2%	12.1%	52.2%	21.8%	43.0%	2.7%	0.8%	-375.8K	19.3M	-468.5K	0.37	8.81	N/A	N/A	4,906	1,808	63,990	60,350
2010-02-18	$37.01	$37.50	41.9%	12.0%	51.5%	21.0%	41.8%	2.6%	0.3%	-202.1K	11.6M	-473.6K	0.88	6.90	N/A	N/A	1,556	1,374	65,484	59,956
2010-02-19	$36.45	$37.50	39.8%	11.4%	48.1%	16.1%	40.4%	1.7%	2.0%	-519.7K	23.6M	-454.1K	0.94	9.38	N/A	N/A	3,294	3,090	64,362	59,460
2010-02-22	$36.30	$37.50	39.5%	11.3%	47.9%	15.5%	40.8%	2.6%	0.4%	-570.0K	12.5M	-462.8K	2.17	9.82	N/A	N/A	902	1,956	54,458	52,838
2010-02-23	$35.10	$37.50	40.7%	11.7%	49.3%	18.1%	40.9%	2.2%	-0.1%	-1.0M	27.8M	-452.0K	1.06	8.39	N/A	N/A	1,898	2,014	54,574	53,596
2010-02-24	$34.84	$37.50	39.6%	11.4%	48.8%	15.7%	39.7%	1.9%	0.6%	-1.1M	30.9M	-439.4K	0.30	9.10	N/A	N/A	1,722	524	54,860	53,588
2010-02-25	$35.63	$37.50	39.0%	11.2%	49.5%	14.1%	39.0%	2.2%	0.9%	-874.3K	19.8M	-449.1K	0.25	9.84	N/A	N/A	4,394	1,114	55,312	53,346
2010-02-26	$36.01	$37.50	36.8%	10.6%	49.6%	8.9%	37.6%	2.0%	2.1%	-820.0K	14.4M	-437.0K	1.86	11.99	N/A	N/A	1,296	2,416	54,886	53,330