GOLD Options History — March 2011

In March 2011, GOLD traded between $35.73 and $40.99. ATM implied volatility averaged 31.4%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.3% (HV 20d: 31.1%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.05.

Notable Days

2011-03-08: Highest Volume — 29,002 contracts
2011-03-07: Largest IV spike — 17.6% change
2011-03-16: Highest IV Rank — 49.3%
2011-03-16: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.76	$35.73	$40.99	$40.99	$40.77
Max Pain	$38.48	$37.50	$42.50	$42.50	$37.50
ATM IV	31.4%	26.8%	38.6%	31.2%	31.3%
Expected Move	9.1%	7.7%	11.1%	8.9%	9.0%
HV 20d	31.1%	25.3%	47.1%	27.6%	47.1%
HV 60d	28.5%	26.2%	34.6%	26.5%	34.6%
IV Rank	20.3%	1.7%	49.3%	19.3%	19.7%
IV Percentile	31.5%	0.4%	86.1%	23.8%	29.0%
Term Structure	1.8%	-1.0%	4.0%	1.2%	1.7%
VWIV	32.0%	26.8%	39.4%	31.6%	31.5%
Skew 25d	0.5%	-1.0%	1.4%	0.5%	0.3%
Skew 10d	0.9%	-3.8%	3.8%	0.0%	-0.0%
Call IV 25d	31.9%	27.0%	39.7%	31.5%	32.0%
Put IV 25d	32.5%	27.9%	39.1%	32.1%	32.2%
Bid-Ask Spread %	20.34	12.38	27.11	12.38	16.66
Gamma HHI	0.23	0.14	0.38	0.22	0.14
Net GEX	-979.1K	-3.0M	619.2K	324.2K	619.2K
Net DEX	44.7M	-26.4M	88.4M	24.1M	-26.4M
Net VEX	-502.2K	-545.5K	-475.8K	-508.1K	-530.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.20	5.66	0.50	0.38
Total Volume	5,816.174	1,092	29,002	3,980	21,804
Total OI	91,856.87	66,346	111,994	91,458	77,242

Daily Data (23 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
2011-03-01	$40.99	$42.50	31.2%	8.9%	27.6%	19.3%	31.6%	0.5%	1.2%	324.2K	24.1M	-508.1K	0.50	12.38	N/A	N/A	2,656	1,324	43,424	48,034
2011-03-02	$40.74	$42.50	30.3%	8.7%	26.0%	15.6%	31.1%	0.7%	2.0%	392.8K	23.8M	-510.1K	0.45	13.87	N/A	N/A	3,708	1,662	44,436	47,564
2011-03-03	$40.26	$42.50	28.1%	8.1%	26.4%	6.8%	29.0%	1.1%	4.0%	262.5K	27.6M	-512.9K	0.37	17.73	N/A	N/A	3,504	1,284	46,220	47,598
2011-03-04	$40.24	$40.00	27.2%	9.0%	25.3%	3.1%	31.2%	-0.2%	0.6%	181.7K	27.8M	-511.3K	0.57	27.11	N/A	N/A	2,542	1,446	45,352	47,832
2011-03-07	$38.51	$40.00	31.9%	9.3%	29.7%	22.4%	31.9%	0.3%	0.2%	-1.1M	55.1M	-495.8K	0.69	25.77	N/A	N/A	3,220	2,226	46,404	48,484
2011-03-08	$36.88	$40.00	33.9%	9.7%	31.3%	30.4%	34.1%	-0.2%	0.2%	-1.8M	78.3M	-475.8K	1.81	21.50	N/A	N/A	10,324	18,678	48,122	49,386
2011-03-09	$37.47	$37.50	34.5%	9.8%	32.1%	32.9%	34.4%	-0.1%	-0.5%	-1.9M	63.8M	-545.5K	0.46	21.28	N/A	N/A	5,216	2,378	52,700	59,102
2011-03-10	$36.28	$37.50	33.9%	9.7%	32.6%	30.1%	34.5%	1.1%	2.3%	-2.3M	82.8M	-512.9K	0.35	24.92	N/A	N/A	3,860	1,346	53,594	57,964
2011-03-11	$36.81	$37.50	33.6%	9.6%	33.0%	29.0%	34.3%	1.0%	0.7%	-2.1M	75.0M	-518.6K	0.72	21.63	N/A	N/A	1,264	916	53,130	57,800
2011-03-14	$36.73	$37.50	34.3%	9.8%	32.2%	31.7%	36.6%	0.6%	0.5%	-2.2M	77.2M	-503.7K	1.90	17.48	N/A	N/A	376	716	53,580	58,190
2011-03-15	$36.23	$37.50	36.5%	10.5%	32.1%	40.8%	36.6%	0.8%	-1.0%	-2.6M	85.8M	-492.6K	1.15	20.04	N/A	N/A	4,190	4,822	53,510	58,410
2011-03-16	$35.73	$37.50	38.6%	11.1%	32.1%	49.3%	39.4%	-0.6%	1.0%	-3.0M	88.4M	-492.7K	1.39	16.97	N/A	N/A	632	876	53,480	58,514
2011-03-17	$36.10	$37.50	37.7%	10.8%	32.2%	45.5%	37.6%	0.5%	0.6%	-1.5M	79.6M	-486.5K	1.82	26.75	N/A	N/A	444	808	53,506	57,240
2011-03-18	$36.59	$37.50	34.5%	9.9%	32.7%	32.8%	35.0%	1.1%	2.3%	-1.4M	75.0M	-491.5K	5.66	16.78	N/A	N/A	1,532	8,678	53,470	57,282
2011-03-21	$36.69	$37.50	29.9%	8.6%	29.7%	14.3%	29.9%	1.4%	3.0%	-942.1K	32.2M	-483.6K	0.23	25.68	N/A	N/A	3,106	720	29,552	36,794
2011-03-22	$37.02	$37.50	28.8%	8.2%	30.0%	9.6%	28.9%	1.3%	3.8%	-659.7K	28.4M	-491.5K	0.60	20.07	N/A	N/A	1,660	1,000	31,884	37,278
2011-03-23	$37.74	$37.50	29.1%	8.3%	31.1%	11.0%	29.2%	0.9%	2.6%	-350.8K	18.5M	-505.9K	2.02	22.89	N/A	N/A	1,290	2,606	32,898	37,722
2011-03-24	$37.89	$37.50	28.4%	8.2%	30.8%	8.3%	28.4%	1.3%	2.7%	-207.3K	14.4M	-509.9K	0.54	22.93	N/A	N/A	1,562	850	33,724	39,752
2011-03-25	$38.05	$37.50	27.4%	7.8%	29.6%	4.0%	27.3%	0.9%	4.0%	-111.8K	11.5M	-511.3K	0.70	20.02	N/A	N/A	1,498	1,050	34,152	40,410
2011-03-28	$36.94	$37.50	27.6%	7.9%	31.1%	5.0%	28.0%	-1.0%	3.4%	-645.7K	27.1M	-487.2K	1.19	19.92	N/A	N/A	1,092	1,298	34,012	40,988
2011-03-29	$36.90	$37.50	27.4%	7.9%	30.5%	4.0%	27.7%	-0.3%	3.6%	-712.3K	30.4M	-486.4K	0.52	20.66	N/A	N/A	836	434	34,296	41,382
2011-03-30	$37.01	$37.50	26.8%	7.7%	30.6%	1.7%	26.8%	0.6%	3.4%	-625.4K	28.5M	-486.8K	0.20	14.88	N/A	N/A	1,948	390	34,722	41,572
2011-03-31	$40.77	$37.50	31.3%	9.0%	47.1%	19.7%	31.5%	0.3%	1.7%	619.2K	-26.4M	-530.6K	0.38	16.66	N/A	N/A	15,744	6,060	35,554	41,688