GOLD Options History — May 2013

In May 2013, GOLD traded between $35.73 and $40.26. ATM implied volatility averaged 36.4%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 12.4% (HV 20d: 48.8%). Max pain ranged from $38.75 to $42.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.97.

Notable Days

2013-05-20: Highest Volume — 9,510 contracts
2013-05-02: Largest IV drop — 9.1% change
2013-05-01: Highest IV Rank — 68.8%
2013-05-01: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.23	$35.73	$40.26	$39.70	$39.19
Max Pain	$39.94	$38.75	$42.50	$38.75	$38.75
ATM IV	36.4%	32.5%	40.1%	40.1%	37.4%
Expected Move	10.6%	10.0%	11.5%	11.5%	10.7%
HV 20d	48.8%	35.3%	61.0%	61.0%	41.6%
HV 60d	43.1%	42.1%	45.3%	42.4%	44.7%
IV Rank	55.1%	40.5%	68.8%	68.8%	58.6%
IV Percentile	73.6%	40.1%	86.1%	84.1%	82.1%
Term Structure	0.2%	-2.0%	1.2%	-2.0%	0.1%
VWIV	37.3%	35.1%	40.3%	40.3%	37.6%
Skew 25d	2.7%	1.9%	3.5%	3.5%	2.5%
Skew 10d	5.3%	3.2%	6.7%	5.8%	4.7%
Call IV 25d	36.1%	33.8%	39.1%	39.1%	36.2%
Put IV 25d	38.8%	36.4%	42.6%	42.6%	38.7%
Bid-Ask Spread %	13.25	8.49	19.45	14.83	12.55
Gamma HHI	0.10	0.07	0.14	0.07	0.12
Net GEX	253.1K	-647.6K	758.7K	571.8K	635.7K
Net DEX	1.8M	-20.5M	28.1M	-4.9M	-16.0M
Net VEX	-326.7K	-400.3K	-265.3K	-323.7K	-392.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.15	2.41	0.81	1.04
Total Volume	3,266.909	858	9,510	3,264	2,282
Total OI	66,590.636	58,280	74,652	61,312	74,652

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
2013-05-01	$39.70	$38.75	40.1%	11.5%	61.0%	68.8%	40.3%	3.5%	-2.0%	571.8K	-4.9M	-323.7K	0.81	14.83	N/A	N/A	1,808	1,456	39,020	22,292
2013-05-02	$39.45	$38.75	36.5%	10.5%	60.9%	55.2%	36.5%	1.9%	-0.2%	628.6K	-4.7M	-319.1K	1.78	19.45	N/A	N/A	650	1,160	39,932	22,072
2013-05-03	$39.32	$38.75	34.8%	10.0%	60.8%	48.9%	35.1%	2.2%	1.2%	575.7K	-2.8M	-322.2K	1.02	16.35	N/A	N/A	424	434	39,970	23,048
2013-05-06	$39.40	$42.50	34.4%	10.2%	60.8%	47.3%	37.4%	2.5%	1.2%	566.3K	-2.7M	-313.0K	2.41	13.13	N/A	N/A	280	676	39,964	23,066
2013-05-07	$39.07	$42.50	34.3%	10.4%	59.7%	47.2%	36.5%	2.6%	0.9%	463.5K	511.2K	-308.9K	1.70	16.06	N/A	N/A	664	1,126	40,004	23,428
2013-05-08	$40.26	$42.50	32.5%	10.1%	60.4%	40.5%	36.4%	2.7%	1.1%	755.1K	-8.7M	-323.6K	0.82	13.31	N/A	N/A	990	814	39,474	24,062
2013-05-09	$40.13	$41.25	32.8%	10.0%	59.5%	41.3%	35.2%	2.7%	1.2%	752.5K	-8.9M	-321.3K	1.14	15.87	N/A	N/A	1,040	1,186	39,778	24,258
2013-05-10	$39.31	$41.25	33.9%	10.3%	57.1%	45.5%	35.9%	2.7%	0.2%	437.2K	-663.4K	-316.1K	0.98	14.22	N/A	N/A	1,790	1,752	39,848	24,968
2013-05-13	$38.30	$41.25	36.0%	10.3%	48.0%	53.7%	36.4%	2.7%	0.8%	125.6K	8.8M	-298.7K	0.69	15.02	N/A	N/A	1,022	708	40,554	25,572
2013-05-14	$37.34	$41.25	35.5%	10.7%	48.9%	51.7%	37.2%	2.7%	0.2%	-246.4K	17.9M	-284.2K	0.41	14.66	N/A	N/A	1,814	746	40,838	25,654
2013-05-15	$36.00	$40.00	37.5%	10.8%	47.1%	59.2%	37.6%	3.0%	0.4%	-647.6K	27.1M	-268.3K	0.72	11.96	N/A	N/A	2,020	1,446	41,122	25,882
2013-05-16	$37.06	$40.00	37.3%	10.7%	45.0%	58.4%	37.9%	2.9%	0.2%	-229.2K	16.1M	-277.8K	1.93	11.85	N/A	N/A	1,862	3,594	41,270	25,234
2013-05-17	$35.73	$40.00	37.7%	10.8%	46.7%	59.9%	38.4%	3.3%	0.2%	-469.6K	28.1M	-265.3K	1.79	14.70	N/A	N/A	1,340	2,404	42,030	26,720
2013-05-20	$37.22	$40.00	38.1%	10.9%	45.9%	61.4%	38.2%	3.3%	-0.9%	-110.8K	8.9M	-283.5K	0.15	11.66	N/A	N/A	8,270	1,240	35,868	22,412
2013-05-21	$37.15	$38.75	38.0%	10.9%	45.7%	60.9%	38.2%	2.6%	-0.6%	202.8K	1.4M	-351.7K	0.76	12.61	N/A	N/A	4,262	3,244	42,848	22,944
2013-05-22	$37.30	$38.75	37.6%	10.8%	35.3%	59.4%	37.6%	2.6%	-0.3%	113.6K	1.1M	-366.4K	0.60	10.56	N/A	N/A	2,558	1,524	44,192	25,058
2013-05-23	$38.09	$38.75	37.6%	10.8%	35.9%	59.4%	37.7%	2.2%	-0.6%	273.6K	-5.3M	-378.7K	0.40	12.17	N/A	N/A	1,280	516	44,414	25,148
2013-05-24	$36.99	$38.75	36.5%	10.5%	36.8%	55.4%	36.8%	2.4%	0.2%	90.8K	3.5M	-355.2K	0.30	9.87	N/A	N/A	1,724	524	45,064	25,060
2013-05-28	$36.48	$38.75	38.1%	10.9%	36.0%	61.2%	37.7%	2.8%	0.2%	-24.9K	7.7M	-343.2K	0.43	9.27	N/A	N/A	2,902	1,258	45,430	25,352
2013-05-29	$37.91	$38.75	37.9%	10.9%	39.1%	60.7%	37.8%	2.7%	0.2%	346.1K	-4.9M	-373.9K	0.78	8.49	N/A	N/A	2,030	1,582	46,242	26,196
2013-05-30	$39.66	$38.75	36.8%	10.6%	41.4%	56.5%	37.5%	2.7%	0.5%	758.7K	-20.5M	-400.3K	0.60	12.94	N/A	N/A	2,172	1,298	46,842	27,212
2013-05-31	$39.19	$38.75	37.4%	10.7%	41.6%	58.6%	37.6%	2.5%	0.1%	635.7K	-16.0M	-392.3K	1.04	12.55	N/A	N/A	1,116	1,166	47,082	27,570