GOLD Options History — June 2010

In June 2010, GOLD traded between $43.09 and $49.09. ATM implied volatility averaged 39.2%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.0% (HV 20d: 36.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.07.

Notable Days

2010-06-18: Highest Volume — 17,320 contracts
2010-06-07: Largest IV spike — 8.2% change
2010-06-07: Highest IV Rank — 56.4%
2010-06-07: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.84	$43.09	$49.09	$44.28	$47.38
Max Pain	$42.84	$40.00	$45.00	$40.00	$45.00
ATM IV	39.2%	34.2%	46.9%	43.7%	38.5%
Expected Move	11.2%	9.8%	13.0%	12.5%	11.0%
HV 20d	36.3%	25.7%	50.4%	48.2%	26.5%
HV 60d	36.5%	34.6%	37.8%	37.0%	34.8%
IV Rank	27.6%	8.1%	56.4%	44.2%	24.9%
IV Percentile	24.9%	4.0%	63.9%	42.1%	24.2%
Term Structure	2.2%	0.0%	4.6%	0.0%	1.6%
VWIV	39.3%	34.8%	45.0%	45.0%	38.6%
Skew 25d	3.1%	2.5%	3.7%	3.5%	2.8%
Skew 10d	6.0%	4.4%	7.3%	6.4%	5.0%
Call IV 25d	38.0%	33.0%	43.7%	43.1%	37.4%
Put IV 25d	41.1%	35.9%	47.1%	46.6%	40.2%
Bid-Ask Spread %	14.01	9.15	20.15	17.02	16.38
Gamma HHI	0.21	0.12	0.88	0.15	0.13
Net GEX	5.0M	1.9M	38.0M	3.2M	2.0M
Net DEX	-104.4M	-190.6M	-64.9M	-109.3M	-64.9M
Net VEX	-685.8K	-762.8K	-621.7K	-687.4K	-757.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.09	4.40	0.80	0.65
Total Volume	6,959.909	2,912	17,320	5,090	3,358
Total OI	130,984.455	96,100	156,976	138,002	109,894

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
2010-06-01	$44.28	$40.00	43.7%	12.5%	48.2%	44.2%	45.0%	3.5%	0.0%	3.2M	-109.3M	-687.4K	0.80	17.02	N/A	N/A	2,828	2,262	74,146	63,856
2010-06-02	$45.28	$40.00	40.9%	11.7%	48.6%	33.5%	42.5%	3.6%	0.9%	3.7M	-128.0M	-694.9K	1.62	11.80	N/A	N/A	1,188	1,928	74,480	64,294
2010-06-03	$43.59	$40.00	41.4%	11.9%	50.4%	35.3%	40.9%	3.1%	0.9%	3.1M	-91.7M	-670.7K	1.73	11.65	N/A	N/A	2,596	4,502	74,864	64,828
2010-06-04	$43.09	$40.00	43.3%	12.5%	49.3%	42.8%	43.3%	3.3%	0.9%	2.8M	-79.4M	-694.4K	0.43	10.67	N/A	N/A	2,300	996	74,814	67,766
2010-06-07	$43.15	$40.00	46.9%	13.0%	49.1%	56.4%	44.8%	3.4%	0.5%	3.0M	-81.0M	-677.2K	0.18	9.15	N/A	N/A	6,134	1,110	75,538	67,292
2010-06-08	$43.37	$42.50	45.9%	12.9%	48.8%	52.7%	43.7%	3.2%	0.9%	3.3M	-88.1M	-674.3K	0.09	9.61	N/A	N/A	13,408	1,222	76,872	67,470
2010-06-09	$43.53	$42.50	43.7%	12.6%	37.8%	45.1%	42.0%	3.4%	0.8%	3.8M	-95.2M	-671.7K	0.31	11.68	N/A	N/A	5,520	1,736	79,246	68,142
2010-06-10	$44.49	$42.50	41.4%	11.9%	38.5%	36.3%	40.9%	3.2%	1.9%	4.4M	-118.1M	-659.4K	0.42	11.23	N/A	N/A	2,738	1,160	77,984	68,034
2010-06-11	$44.36	$42.50	40.1%	11.5%	37.7%	31.3%	40.3%	3.5%	2.6%	4.7M	-113.6M	-648.5K	2.81	13.10	N/A	N/A	1,268	3,558	79,042	68,138
2010-06-14	$44.31	$42.50	40.3%	11.6%	37.5%	31.9%	41.2%	3.4%	2.5%	5.1M	-116.3M	-633.7K	0.98	13.93	N/A	N/A	3,332	3,272	79,290	69,976
2010-06-15	$45.42	$42.50	39.0%	11.2%	38.0%	26.7%	39.3%	3.7%	2.9%	5.9M	-144.9M	-621.7K	1.10	15.34	N/A	N/A	7,064	7,760	79,922	69,860
2010-06-16	$45.61	$42.50	37.7%	10.8%	37.7%	21.7%	37.4%	3.2%	3.6%	6.4M	-152.5M	-655.6K	1.23	17.31	N/A	N/A	2,842	3,494	84,134	72,842
2010-06-17	$46.85	$42.50	35.7%	10.2%	35.3%	14.2%	36.9%	3.4%	4.2%	6.0M	-179.9M	-645.6K	0.94	20.15	N/A	N/A	2,482	2,338	83,230	73,058
2010-06-18	$47.49	$42.50	34.2%	9.8%	28.1%	8.1%	34.8%	2.9%	4.6%	38.0M	-190.6M	-645.6K	0.26	16.01	N/A	N/A	13,750	3,570	82,580	73,448
2010-06-21	$47.52	$45.00	34.3%	9.8%	27.6%	8.8%	35.0%	2.5%	3.8%	2.3M	-75.1M	-685.5K	1.37	16.72	N/A	N/A	2,326	3,196	49,170	46,930
2010-06-22	$47.49	$45.00	34.8%	10.0%	27.7%	10.5%	35.5%	2.9%	3.3%	2.0M	-71.5M	-689.3K	4.40	14.71	N/A	N/A	1,340	5,898	49,260	48,686
2010-06-23	$48.02	$45.00	34.5%	9.9%	25.9%	9.3%	35.2%	2.8%	3.2%	2.1M	-77.1M	-703.0K	1.37	14.83	N/A	N/A	2,324	3,176	49,994	49,824
2010-06-24	$47.48	$45.00	36.5%	10.5%	26.4%	17.3%	36.2%	2.5%	2.9%	1.9M	-70.6M	-714.9K	0.82	11.74	N/A	N/A	1,600	1,312	51,188	51,244
2010-06-25	$49.09	$45.00	35.2%	10.1%	25.7%	12.1%	36.0%	3.2%	2.9%	2.5M	-92.4M	-730.5K	1.02	18.53	N/A	N/A	4,576	4,660	51,884	51,666
2010-06-28	$48.56	$45.00	37.1%	10.6%	26.3%	19.4%	37.1%	2.8%	2.2%	2.4M	-83.1M	-762.1K	0.50	14.17	N/A	N/A	5,822	2,938	53,264	54,066
2010-06-29	$48.01	$45.00	38.3%	11.0%	26.8%	24.3%	38.0%	2.9%	2.1%	2.2M	-74.0M	-762.8K	0.48	12.52	N/A	N/A	2,862	1,372	53,992	55,450
2010-06-30	$47.38	$45.00	38.5%	11.0%	26.5%	24.9%	38.6%	2.8%	1.6%	2.0M	-64.9M	-757.9K	0.65	16.38	N/A	N/A	2,040	1,318	54,328	55,566