GOLD Options History — August 2013

In August 2013, GOLD traded between $33.10 and $40.55. ATM implied volatility averaged 39.8%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 12.0% (HV 20d: 51.8%). Max pain ranged from $33.75 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2013-08-23: Highest Volume — 11,908 contracts
2013-08-15: Largest IV spike — 13.3% change
2013-08-06: Highest IV Rank — 96.0%
2013-08-01: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.90	$33.10	$40.55	$36.33	$39.01
Max Pain	$36.70	$33.75	$37.50	$33.75	$37.50
ATM IV	39.8%	34.8%	46.1%	42.6%	40.7%
Expected Move	11.5%	10.9%	12.2%	12.2%	11.7%
HV 20d	51.8%	46.3%	64.0%	60.1%	47.5%
HV 60d	52.1%	50.3%	53.1%	50.4%	52.0%
IV Rank	70.3%	51.6%	96.0%	82.5%	72.6%
IV Percentile	80.2%	61.5%	98.4%	89.7%	81.3%
Term Structure	0.7%	-1.9%	2.0%	-1.9%	2.0%
VWIV	40.1%	37.8%	42.3%	42.1%	40.4%
Skew 25d	3.7%	2.7%	4.9%	2.9%	2.7%
Skew 10d	7.3%	5.3%	10.3%	5.3%	5.3%
Call IV 25d	38.5%	36.2%	41.1%	41.0%	39.6%
Put IV 25d	42.2%	39.6%	46.0%	44.0%	42.3%
Bid-Ask Spread %	15.30	12.02	23.11	17.88	15.52
Gamma HHI	0.13	0.07	0.44	0.11	0.13
Net GEX	2.2M	380.0K	5.8M	1.3M	2.3M
Net DEX	-52.6M	-104.7M	3.9M	-29.3M	-83.9M
Net VEX	-476.6K	-534.7K	-389.5K	-458.5K	-520.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.05	1.46	0.61	0.54
Total Volume	4,377.182	1,126	11,908	1,830	1,322
Total OI	91,021.909	82,650	101,324	83,240	101,092

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
2013-08-01	$36.33	$33.75	42.6%	12.2%	60.1%	82.5%	42.1%	2.9%	-1.9%	1.3M	-29.3M	-458.5K	0.61	17.88	N/A	N/A	1,136	694	54,172	29,068
2013-08-02	$35.29	$33.75	41.3%	11.9%	59.0%	77.5%	42.3%	3.9%	0.2%	1.0M	-17.4M	-430.0K	1.09	23.11	N/A	N/A	1,448	1,580	54,424	29,208
2013-08-05	$35.63	$37.50	41.4%	11.6%	58.6%	77.7%	40.9%	4.8%	0.0%	1.1M	-19.9M	-431.6K	0.64	14.83	N/A	N/A	1,108	714	55,134	30,090
2013-08-06	$33.37	$37.50	46.1%	12.2%	64.0%	96.0%	41.9%	4.9%	-0.2%	403.9K	1.3M	-389.5K	0.49	14.93	N/A	N/A	6,228	3,046	55,730	30,488
2013-08-07	$33.10	$36.25	40.9%	11.8%	63.5%	75.8%	40.9%	4.4%	1.0%	380.0K	3.9M	-389.9K	0.29	14.42	N/A	N/A	3,888	1,112	58,750	31,900
2013-08-08	$35.20	$36.25	37.3%	11.5%	54.0%	61.6%	39.4%	4.9%	0.4%	1.3M	-19.9M	-432.7K	0.39	12.86	N/A	N/A	2,484	980	58,994	32,240
2013-08-09	$36.58	$36.25	36.4%	11.3%	54.6%	58.0%	38.9%	4.0%	1.1%	2.0M	-38.5M	-457.5K	0.59	15.90	N/A	N/A	3,200	1,884	59,356	32,496
2013-08-12	$37.33	$36.25	39.1%	11.2%	53.7%	68.7%	39.1%	4.1%	1.0%	2.4M	-48.1M	-465.1K	0.40	15.70	N/A	N/A	2,666	1,054	59,486	33,212
2013-08-13	$37.28	$36.25	35.9%	11.1%	49.1%	55.7%	38.8%	3.8%	1.4%	2.4M	-46.3M	-458.1K	0.51	14.93	N/A	N/A	1,402	716	59,408	33,646
2013-08-14	$38.46	$36.25	34.8%	11.0%	48.8%	51.6%	39.5%	3.7%	1.3%	3.0M	-63.2M	-475.0K	0.31	16.36	N/A	N/A	2,814	860	59,800	33,762
2013-08-15	$39.65	$36.25	39.4%	11.3%	49.4%	69.9%	40.5%	4.0%	0.6%	3.1M	-78.3M	-492.6K	0.82	14.20	N/A	N/A	3,342	2,724	59,054	33,674
2013-08-16	$40.13	$36.25	40.6%	11.6%	47.3%	74.4%	40.3%	3.2%	0.5%	5.8M	-88.7M	-502.5K	0.47	14.49	N/A	N/A	6,984	3,316	60,004	34,748
2013-08-19	$39.09	$37.50	40.8%	11.7%	46.3%	75.5%	40.4%	3.5%	0.1%	1.9M	-46.0M	-487.6K	0.53	13.22	N/A	N/A	2,388	1,276	54,560	28,090
2013-08-20	$40.19	$37.50	39.0%	11.2%	47.1%	65.1%	39.7%	3.6%	0.5%	2.3M	-58.9M	-510.4K	0.34	12.49	N/A	N/A	2,854	974	56,054	28,640
2013-08-21	$38.73	$37.50	40.0%	11.5%	47.3%	69.4%	39.4%	3.6%	0.5%	2.0M	-43.2M	-483.5K	0.61	15.76	N/A	N/A	1,410	858	56,908	28,794
2013-08-22	$39.31	$37.50	40.0%	11.5%	47.4%	69.4%	39.3%	3.3%	0.1%	2.2M	-49.3M	-495.4K	0.47	19.20	N/A	N/A	768	358	57,080	29,130
2013-08-23	$40.48	$37.50	37.9%	10.9%	47.8%	60.4%	37.8%	3.4%	1.7%	2.5M	-64.1M	-513.4K	0.05	14.09	N/A	N/A	11,294	614	57,348	29,354
2013-08-26	$40.55	$37.50	38.5%	11.0%	47.8%	63.2%	37.9%	3.3%	1.3%	2.7M	-104.7M	-525.5K	0.39	15.75	N/A	N/A	936	368	67,770	29,694
2013-08-27	$39.39	$37.50	40.4%	11.6%	49.2%	71.3%	40.3%	3.2%	0.8%	2.4M	-88.3M	-516.3K	0.23	12.02	N/A	N/A	7,112	1,628	67,826	29,874
2013-08-28	$39.04	$37.50	41.7%	11.9%	49.1%	76.7%	41.0%	3.7%	1.0%	2.3M	-83.4M	-514.3K	0.67	14.31	N/A	N/A	2,076	1,396	69,708	30,392
2013-08-29	$39.66	$37.50	40.7%	11.7%	48.4%	72.6%	41.1%	2.9%	1.3%	2.5M	-91.1M	-534.7K	1.46	14.74	N/A	N/A	1,334	1,952	70,204	31,120
2013-08-30	$39.01	$37.50	40.7%	11.7%	47.5%	72.6%	40.4%	2.7%	2.0%	2.3M	-83.9M	-520.7K	0.54	15.52	N/A	N/A	860	462	70,240	30,852