GOLD Options History — August 2012

In August 2012, GOLD traded between $44.42 and $51.48. ATM implied volatility averaged 28.8%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.7% (HV 20d: 28.1%). Max pain ranged from $45.00 to $46.25. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.92.

Notable Days

2012-08-31: Highest Volume — 18,184 contracts
2012-08-16: Largest IV spike — 32.0% change
2012-08-01: Highest IV Rank — 40.2%
2012-08-01: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.46	$44.42	$51.48	$44.42	$51.48
Max Pain	$45.82	$45.00	$46.25	$45.00	$46.25
ATM IV	28.8%	21.7%	37.5%	37.5%	23.9%
Expected Move	8.5%	6.9%	10.7%	10.7%	6.9%
HV 20d	28.1%	22.4%	32.8%	27.3%	27.7%
HV 60d	35.0%	29.2%	38.0%	38.0%	29.2%
IV Rank	17.8%	0.0%	40.2%	40.2%	6.5%
IV Percentile	10.9%	0.0%	41.7%	41.7%	0.4%
Term Structure	3.5%	-1.2%	6.6%	-1.2%	5.1%
VWIV	30.3%	24.2%	38.4%	38.4%	24.2%
Skew 25d	4.2%	1.8%	5.9%	5.3%	2.7%
Skew 10d	8.6%	3.9%	11.7%	11.7%	5.1%
Call IV 25d	28.2%	23.9%	36.0%	36.0%	23.9%
Put IV 25d	32.5%	26.6%	41.4%	41.4%	26.6%
Bid-Ask Spread %	14.68	12.80	20.27	14.33	15.19
Gamma HHI	0.14	0.09	0.27	0.09	0.22
Net GEX	4.3M	1.2M	7.3M	1.2M	7.3M
Net DEX	-89.1M	-146.6M	-25.8M	-25.8M	-146.6M
Net VEX	-459.2K	-485.4K	-430.2K	-462.7K	-435.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.10	6.70	0.70	0.10
Total Volume	3,994.522	858	18,184	3,198	18,184
Total OI	83,460.435	75,148	90,958	75,148	90,958

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
2012-08-01	$44.42	$45.00	37.5%	10.7%	27.3%	40.2%	38.4%	5.3%	-1.2%	1.2M	-25.8M	-462.7K	0.70	14.33	N/A	N/A	1,884	1,314	45,414	29,734
2012-08-02	$44.65	$45.00	37.4%	10.7%	27.2%	40.0%	37.7%	5.4%	-0.6%	1.4M	-29.8M	-469.1K	2.16	15.09	N/A	N/A	1,104	2,390	45,960	30,264
2012-08-03	$45.31	$45.00	35.5%	10.2%	27.3%	33.6%	34.5%	5.1%	0.4%	1.7M	-39.4M	-474.7K	0.51	18.68	N/A	N/A	622	316	46,196	30,424
2012-08-06	$46.52	$45.00	36.9%	10.1%	28.8%	38.3%	35.4%	5.9%	2.4%	2.4M	-57.7M	-466.8K	0.65	13.71	N/A	N/A	2,804	1,816	46,394	30,126
2012-08-07	$47.65	$45.00	35.0%	9.9%	29.5%	31.9%	35.2%	5.7%	2.1%	3.2M	-76.2M	-472.4K	0.50	13.26	N/A	N/A	2,186	1,100	47,298	30,482
2012-08-08	$47.36	$45.00	33.8%	9.6%	29.7%	27.9%	34.1%	4.9%	2.9%	3.2M	-71.9M	-463.0K	0.37	20.27	N/A	N/A	3,454	1,280	47,724	30,702
2012-08-09	$49.14	$45.00	28.3%	9.0%	32.0%	9.2%	32.7%	4.4%	4.5%	4.2M	-105.2M	-459.9K	0.65	14.25	N/A	N/A	2,568	1,662	49,002	31,180
2012-08-10	$49.70	$45.00	24.3%	8.5%	32.1%	0.0%	30.9%	4.5%	5.5%	4.5M	-115.7M	-453.4K	0.66	14.69	N/A	N/A	3,304	2,188	49,368	31,126
2012-08-13	$48.95	$46.25	26.6%	8.4%	32.8%	7.6%	29.2%	4.7%	5.2%	4.8M	-102.0M	-453.5K	0.12	13.64	N/A	N/A	6,080	706	50,902	32,668
2012-08-14	$48.40	$46.25	24.3%	8.5%	32.6%	0.0%	32.3%	5.3%	4.7%	5.1M	-94.7M	-480.4K	6.70	15.59	N/A	N/A	710	4,758	55,354	33,036
2012-08-15	$48.34	$46.25	21.7%	8.3%	32.2%	0.0%	28.5%	5.2%	5.5%	4.8M	-90.4M	-485.4K	0.28	14.84	N/A	N/A	804	226	55,440	35,462
2012-08-16	$49.02	$46.25	28.7%	8.2%	32.2%	20.8%	28.7%	5.0%	5.6%	4.8M	-104.7M	-482.6K	0.27	15.95	N/A	N/A	1,298	346	55,212	34,994
2012-08-17	$48.75	$46.25	27.4%	7.9%	31.2%	17.0%	27.4%	4.6%	6.6%	6.7M	-99.3M	-469.5K	0.10	12.80	N/A	N/A	3,010	312	55,312	35,078
2012-08-20	$48.69	$46.25	26.6%	7.6%	29.0%	14.6%	29.2%	4.8%	3.4%	4.0M	-81.5M	-457.2K	1.86	13.43	N/A	N/A	470	876	50,498	29,610
2012-08-21	$48.77	$46.25	26.2%	7.5%	28.8%	13.2%	26.2%	4.4%	3.9%	4.1M	-83.5M	-448.3K	0.66	13.04	N/A	N/A	1,764	1,162	50,586	29,952
2012-08-22	$49.41	$46.25	25.2%	7.2%	25.1%	10.3%	26.2%	4.0%	4.1%	4.5M	-95.9M	-443.9K	0.17	13.38	N/A	N/A	2,794	470	51,216	30,534
2012-08-23	$50.27	$46.25	27.4%	7.8%	25.1%	16.8%	27.1%	2.8%	2.8%	4.7M	-114.2M	-461.5K	0.10	14.70	N/A	N/A	8,074	822	52,198	30,768
2012-08-24	$50.35	$46.25	26.7%	7.7%	24.2%	15.0%	27.6%	2.9%	3.6%	5.3M	-117.1M	-469.2K	0.66	13.40	N/A	N/A	518	340	54,552	31,004
2012-08-27	$49.91	$46.25	27.8%	8.0%	24.7%	18.2%	27.3%	2.6%	2.7%	5.4M	-111.0M	-444.6K	0.14	14.73	N/A	N/A	3,088	438	54,824	31,168
2012-08-28	$49.49	$46.25	27.2%	7.8%	22.4%	16.4%	29.0%	2.7%	3.2%	5.5M	-101.9M	-447.7K	0.62	13.08	N/A	N/A	720	444	56,914	31,282
2012-08-29	$48.97	$46.25	26.8%	7.7%	22.7%	15.1%	28.6%	2.4%	3.9%	5.5M	-92.3M	-430.2K	3.01	16.49	N/A	N/A	390	1,174	57,276	31,578
2012-08-30	$48.98	$46.25	27.2%	7.8%	22.8%	16.4%	27.4%	1.8%	3.6%	5.3M	-91.9M	-431.2K	0.18	13.15	N/A	N/A	1,610	294	57,334	32,486
2012-08-31	$51.48	$46.25	23.9%	6.9%	27.7%	6.5%	24.2%	2.7%	5.1%	7.3M	-146.6M	-435.2K	0.10	15.19	N/A	N/A	16,484	1,700	58,392	32,566