GOLD Options History — August 2010

In August 2010, GOLD traded between $42.94 and $46.24. ATM implied volatility averaged 30.4%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.7% (HV 20d: 28.7%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.69.

Notable Days

2010-08-02: Highest Volume — 12,578 contracts
2010-08-17: Largest IV drop — 9.6% change
2010-08-16: Highest IV Rank — 15.3%
2010-08-02: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.51	$42.94	$46.24	$44.00	$46.24
Max Pain	$42.95	$42.50	$45.00	$45.00	$42.50
ATM IV	30.4%	27.8%	33.8%	33.8%	31.8%
Expected Move	8.8%	8.2%	9.7%	9.7%	9.1%
HV 20d	28.7%	25.1%	30.2%	25.1%	30.1%
HV 60d	29.1%	26.0%	34.5%	34.3%	26.2%
IV Rank	6.2%	0.0%	15.3%	9.1%	13.2%
IV Percentile	2.7%	0.0%	8.7%	8.7%	7.5%
Term Structure	2.0%	-1.3%	3.8%	-1.3%	2.0%
VWIV	30.4%	28.2%	34.1%	34.1%	31.3%
Skew 25d	2.6%	1.5%	3.3%	2.4%	1.6%
Skew 10d	5.2%	2.9%	6.7%	5.1%	2.9%
Call IV 25d	29.6%	27.4%	33.6%	33.6%	31.2%
Put IV 25d	32.3%	30.3%	36.0%	36.0%	32.7%
Bid-Ask Spread %	12.53	8.69	16.87	12.31	16.87
Gamma HHI	0.12	0.10	0.14	0.12	0.12
Net GEX	1.2M	-611.5K	3.0M	1.0M	2.7M
Net DEX	-24.0M	-56.7M	5.7M	-14.8M	-56.7M
Net VEX	-704.7K	-738.7K	-678.8K	-686.2K	-733.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.18	2.11	0.36	0.18
Total Volume	4,124.818	870	12,578	12,578	7,812
Total OI	141,965.727	131,506	148,204	131,506	142,256

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
2010-08-02	$44.00	$45.00	33.8%	9.7%	25.1%	9.1%	34.1%	2.4%	-1.3%	1.0M	-14.8M	-686.2K	0.36	12.31	N/A	N/A	9,272	3,306	66,772	64,734
2010-08-03	$44.13	$45.00	33.1%	9.5%	25.1%	6.4%	33.6%	3.2%	-1.2%	1.2M	-17.1M	-730.9K	0.87	16.76	N/A	N/A	684	594	71,280	67,438
2010-08-04	$45.25	$45.00	32.7%	9.4%	25.8%	4.8%	32.8%	1.5%	-1.1%	2.2M	-36.8M	-738.7K	0.87	11.37	N/A	N/A	3,944	3,436	70,450	67,486
2010-08-05	$43.48	$45.00	31.1%	8.9%	28.8%	0.0%	30.8%	2.4%	1.3%	706.9K	-5.1M	-678.8K	1.43	8.69	N/A	N/A	5,010	7,186	72,434	66,688
2010-08-06	$43.11	$42.50	29.3%	8.9%	28.8%	0.0%	29.9%	3.3%	2.3%	-150.8K	4.9M	-692.8K	0.27	11.50	N/A	N/A	3,528	940	70,554	71,496
2010-08-09	$43.12	$42.50	28.7%	8.7%	28.5%	0.0%	30.8%	2.6%	2.1%	-153.5K	1.2M	-691.6K	1.66	12.65	N/A	N/A	496	824	73,024	72,108
2010-08-10	$43.66	$42.50	27.8%	8.6%	28.4%	0.0%	28.9%	2.5%	2.7%	230.3K	-6.3M	-704.5K	0.55	11.73	N/A	N/A	1,930	1,068	73,168	72,334
2010-08-11	$43.20	$42.50	29.0%	8.9%	28.2%	4.2%	30.3%	2.7%	2.1%	-60.6K	-90.0K	-697.0K	2.11	11.23	N/A	N/A	676	1,426	73,268	72,002
2010-08-12	$43.70	$42.50	30.9%	8.9%	28.7%	10.3%	29.8%	2.9%	2.3%	293.3K	-7.5M	-695.8K	0.70	12.52	N/A	N/A	1,188	834	73,412	72,378
2010-08-13	$42.94	$42.50	31.1%	8.9%	27.1%	11.1%	30.1%	2.8%	2.6%	-611.5K	5.7M	-685.2K	0.52	10.75	N/A	N/A	572	298	73,506	72,968
2010-08-16	$43.72	$42.50	32.4%	9.3%	28.1%	15.3%	30.8%	3.2%	1.7%	80.6K	-6.9M	-696.8K	0.59	12.41	N/A	N/A	2,354	1,390	73,674	72,974
2010-08-17	$44.90	$42.50	29.3%	8.4%	29.7%	5.0%	29.3%	2.9%	3.2%	1.7M	-31.9M	-701.7K	0.46	13.97	N/A	N/A	1,324	606	74,476	73,728
2010-08-18	$45.13	$42.50	29.4%	8.4%	29.6%	5.4%	29.7%	2.8%	3.3%	1.9M	-36.0M	-703.4K	0.45	12.52	N/A	N/A	1,694	754	74,480	73,244
2010-08-19	$46.02	$42.50	29.4%	8.4%	29.7%	5.5%	29.4%	2.9%	3.5%	3.0M	-55.4M	-705.8K	0.25	12.05	N/A	N/A	2,936	732	74,608	73,206
2010-08-20	$45.31	$42.50	29.4%	8.4%	30.2%	5.5%	30.0%	2.4%	3.8%	2.0M	-43.9M	-710.0K	0.66	11.16	N/A	N/A	1,724	1,130	74,584	73,188
2010-08-23	$45.08	$42.50	28.6%	8.2%	30.0%	2.8%	28.9%	2.5%	1.9%	1.7M	-35.4M	-685.5K	0.42	14.04	N/A	N/A	1,940	822	65,516	68,188
2010-08-24	$43.91	$42.50	29.9%	8.6%	28.6%	7.1%	30.6%	2.6%	1.8%	819.1K	-16.0M	-689.5K	0.73	13.03	N/A	N/A	1,882	1,374	66,020	68,700
2010-08-25	$45.09	$42.50	30.9%	8.9%	30.1%	10.3%	31.0%	2.4%	2.4%	1.6M	-33.5M	-712.6K	0.91	11.14	N/A	N/A	1,642	1,486	66,518	69,452
2010-08-26	$45.45	$42.50	30.1%	8.6%	30.2%	7.6%	29.8%	2.0%	2.5%	1.9M	-41.5M	-702.9K	0.76	11.98	N/A	N/A	3,614	2,734	67,088	70,446
2010-08-27	$46.23	$42.50	29.2%	8.4%	30.2%	4.7%	28.2%	2.9%	2.9%	2.4M	-51.5M	-738.2K	0.23	16.09	N/A	N/A	2,306	522	68,738	72,556
2010-08-30	$45.53	$42.50	30.3%	8.7%	29.7%	8.3%	28.9%	3.2%	2.2%	2.1M	-43.8M	-721.4K	0.19	10.80	N/A	N/A	2,320	436	69,816	72,290
2010-08-31	$46.24	$42.50	31.8%	9.1%	30.1%	13.2%	31.3%	1.6%	2.0%	2.7M	-56.7M	-733.2K	0.18	16.87	N/A	N/A	6,632	1,180	69,772	72,484