GOLD Options History — August 2011

In August 2011, GOLD traded between $44.98 and $56.87. ATM implied volatility averaged 38.8%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 8.7% (HV 20d: 30.0%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.72.

Notable Days

2011-08-04: Highest Volume — 19,130 contracts
2011-08-08: Largest IV spike — 38.1% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.94	$44.98	$56.87	$44.98	$52.77
Max Pain	$43.70	$42.50	$45.00	$42.50	$45.00
ATM IV	38.8%	30.8%	50.1%	31.9%	37.9%
Expected Move	11.0%	8.8%	12.8%	9.1%	10.9%
HV 20d	30.0%	17.2%	44.5%	17.2%	44.4%
HV 60d	29.5%	26.0%	34.1%	26.0%	33.9%
IV Rank	60.5%	40.1%	100.0%	47.0%	52.7%
IV Percentile	90.4%	39.7%	100.0%	55.2%	92.5%
Term Structure	-0.1%	-1.6%	2.5%	-0.9%	0.8%
VWIV	38.9%	30.9%	45.4%	32.6%	39.2%
Skew 25d	3.0%	1.6%	4.7%	2.6%	2.8%
Skew 10d	6.7%	3.1%	11.3%	5.7%	5.9%
Call IV 25d	37.7%	30.0%	43.3%	31.3%	37.7%
Put IV 25d	40.7%	32.1%	46.5%	33.9%	40.4%
Bid-Ask Spread %	21.49	13.96	29.49	15.23	18.94
Gamma HHI	0.17	0.14	0.26	0.18	0.14
Net GEX	6.9M	4.9M	9.4M	4.9M	8.6M
Net DEX	-218.0M	-327.0M	-84.3M	-84.3M	-250.4M
Net VEX	-847.3K	-971.6K	-707.9K	-707.9K	-912.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.21	2.67	1.05	0.68
Total Volume	7,431.913	1,172	19,130	1,172	3,470
Total OI	128,212.348	105,766	143,446	105,766	143,446

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
2011-08-01	$44.98	$42.50	31.9%	9.1%	17.2%	47.0%	32.6%	2.6%	-0.9%	4.9M	-84.3M	-707.9K	1.05	15.23	N/A	N/A	572	600	70,542	35,224
2011-08-02	$45.49	$43.75	32.8%	9.4%	17.4%	52.8%	32.2%	1.6%	-1.2%	5.2M	-95.3M	-718.6K	0.81	19.73	N/A	N/A	1,820	1,470	70,694	35,414
2011-08-03	$45.37	$43.75	30.8%	8.8%	17.5%	40.1%	30.9%	2.1%	-1.4%	5.5M	-91.4M	-712.0K	1.37	15.80	N/A	N/A	2,060	2,820	71,814	35,456
2011-08-04	$46.80	$43.75	34.4%	9.9%	19.6%	62.6%	33.9%	2.2%	-0.5%	6.2M	-129.2M	-772.8K	0.36	13.96	N/A	N/A	14,058	5,072	73,022	36,202
2011-08-05	$47.24	$42.50	36.3%	10.0%	19.4%	74.4%	35.3%	2.4%	2.5%	6.5M	-139.1M	-810.5K	0.81	19.60	N/A	N/A	2,242	1,824	78,014	39,126
2011-08-08	$49.22	$42.50	50.1%	12.8%	22.6%	100.0%	44.1%	3.2%	-1.2%	5.7M	-184.8M	-840.7K	0.41	23.32	N/A	N/A	12,638	5,240	77,086	39,646
2011-08-09	$50.40	$43.75	39.1%	11.3%	23.2%	57.3%	39.8%	2.9%	0.8%	6.6M	-214.5M	-851.6K	0.80	29.49	N/A	N/A	2,788	2,218	80,788	41,974
2011-08-10	$51.95	$43.75	44.1%	12.5%	22.3%	76.9%	43.2%	3.5%	-1.1%	6.0M	-248.5M	-851.9K	0.23	23.78	N/A	N/A	9,110	2,140	81,340	41,928
2011-08-11	$50.40	$43.75	40.7%	11.7%	26.2%	63.5%	40.7%	2.6%	-0.1%	6.9M	-216.9M	-869.1K	0.95	20.43	N/A	N/A	2,392	2,262	85,920	42,728
2011-08-12	$50.38	$43.75	38.3%	11.0%	26.3%	54.0%	38.2%	2.9%	1.2%	7.1M	-217.0M	-858.3K	2.67	25.52	N/A	N/A	1,808	4,834	86,164	43,464
2011-08-15	$51.48	$43.75	35.6%	10.2%	26.8%	43.7%	36.5%	2.8%	1.6%	7.1M	-247.0M	-818.4K	1.06	23.33	N/A	N/A	3,516	3,730	86,450	46,586
2011-08-16	$52.61	$43.75	36.4%	10.4%	26.5%	46.9%	37.2%	2.6%	0.4%	7.1M	-274.9M	-829.5K	1.03	28.12	N/A	N/A	3,238	3,348	86,802	49,136
2011-08-17	$53.01	$43.75	35.7%	10.2%	26.5%	44.2%	36.1%	2.6%	0.6%	7.5M	-288.0M	-811.9K	0.96	18.77	N/A	N/A	4,092	3,924	87,914	50,992
2011-08-18	$52.10	$43.75	39.2%	11.2%	28.0%	57.6%	39.7%	2.9%	-1.1%	6.9M	-259.0M	-878.4K	0.41	28.80	N/A	N/A	2,376	982	88,634	52,682
2011-08-19	$54.99	$43.75	41.6%	11.9%	32.5%	67.2%	41.8%	3.3%	-1.6%	9.4M	-327.0M	-846.4K	0.22	18.73	N/A	N/A	7,866	1,746	88,520	52,870
2011-08-22	$56.87	$43.75	42.5%	12.2%	33.4%	70.6%	42.9%	3.6%	-1.5%	5.8M	-318.5M	-844.0K	0.22	19.17	N/A	N/A	8,556	1,886	81,902	43,012
2011-08-23	$53.43	$43.75	43.5%	12.5%	42.4%	74.3%	43.1%	3.8%	-1.5%	6.8M	-251.5M	-899.6K	0.42	22.03	N/A	N/A	4,660	1,970	86,522	43,814
2011-08-24	$52.41	$43.75	41.9%	12.0%	43.1%	68.2%	42.6%	3.5%	-1.0%	6.8M	-227.5M	-895.5K	0.47	19.77	N/A	N/A	7,092	3,300	86,760	44,486
2011-08-25	$52.13	$43.75	42.6%	12.2%	43.3%	70.7%	45.4%	4.0%	-0.9%	7.0M	-221.4M	-936.9K	0.21	27.10	N/A	N/A	12,624	2,608	89,392	46,090
2011-08-26	$53.18	$43.75	39.8%	11.4%	43.3%	59.9%	39.8%	4.7%	0.7%	8.2M	-263.4M	-971.6K	0.26	28.43	N/A	N/A	3,898	1,022	96,044	46,052
2011-08-29	$51.86	$43.75	38.2%	11.0%	44.5%	54.0%	39.7%	3.6%	0.7%	8.1M	-219.8M	-920.2K	0.77	15.31	N/A	N/A	2,450	1,876	94,648	46,668
2011-08-30	$52.59	$45.00	38.1%	10.9%	44.5%	53.4%	39.7%	1.9%	1.4%	8.5M	-244.9M	-929.9K	0.47	18.82	N/A	N/A	1,860	876	95,314	47,602
2011-08-31	$52.77	$45.00	37.9%	10.9%	44.4%	52.7%	39.2%	2.8%	0.8%	8.6M	-250.4M	-912.8K	0.68	18.94	N/A	N/A	2,064	1,406	95,540	47,906