GOLD Options History — October 2013

In October 2013, GOLD traded between $34.10 and $39.09. ATM implied volatility averaged 41.2%, placing in the 74.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 2.7% (HV 20d: 38.5%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.45.

Notable Days

2013-10-16: Highest Volume — 14,190 contracts
2013-10-28: Largest IV spike — 6.9% change
2013-10-10: Highest IV Rank — 93.8%
2013-10-09: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.09	$34.10	$39.09	$35.24	$36.95
Max Pain	$36.03	$35.00	$37.50	$37.50	$36.25
ATM IV	41.2%	36.8%	45.6%	43.3%	41.2%
Expected Move	11.9%	10.5%	13.2%	12.4%	11.8%
HV 20d	38.5%	29.6%	44.8%	44.8%	41.1%
HV 60d	43.9%	41.3%	50.7%	50.7%	42.3%
IV Rank	74.2%	54.9%	93.8%	83.3%	74.5%
IV Percentile	76.7%	50.8%	97.6%	90.9%	75.0%
Term Structure	-0.6%	-2.8%	2.0%	1.7%	-2.8%
VWIV	41.3%	36.3%	47.0%	42.9%	42.1%
Skew 25d	3.5%	2.6%	4.8%	4.1%	3.2%
Skew 10d	6.0%	2.6%	11.6%	7.4%	6.5%
Call IV 25d	40.1%	35.3%	45.0%	41.5%	40.6%
Put IV 25d	43.6%	39.0%	47.9%	45.6%	43.8%
Bid-Ask Spread %	14.04	7.78	21.46	10.72	15.74
Gamma HHI	0.11	0.09	0.15	0.10	0.13
Net GEX	1.3M	271.6K	2.6M	744.4K	2.0M
Net DEX	-51.2M	-102.2M	-19.1M	-31.6M	-70.8M
Net VEX	-430.8K	-468.2K	-383.0K	-425.6K	-451.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.11	1.69	0.37	0.56
Total Volume	2,995.478	842	14,190	1,772	1,682
Total OI	98,986.261	91,626	110,608	91,626	102,834

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
2013-10-01	$35.24	$37.50	43.3%	12.4%	44.8%	83.3%	42.9%	4.1%	1.7%	744.4K	-31.6M	-425.6K	0.37	10.72	N/A	N/A	1,294	478	61,428	30,198
2013-10-02	$35.03	$37.50	42.5%	12.2%	44.3%	79.9%	43.0%	3.8%	2.0%	671.9K	-29.1M	-418.6K	0.15	14.17	N/A	N/A	2,076	320	61,486	30,454
2013-10-03	$34.55	$37.50	42.8%	12.3%	43.7%	81.2%	43.2%	3.4%	1.9%	582.7K	-25.3M	-412.9K	0.17	14.48	N/A	N/A	1,332	230	62,726	30,580
2013-10-04	$34.86	$36.25	41.3%	12.6%	44.0%	74.6%	42.4%	3.3%	-1.0%	663.7K	-28.4M	-411.5K	0.46	8.69	N/A	N/A	578	264	63,048	30,708
2013-10-07	$35.61	$36.25	43.0%	12.8%	44.7%	82.2%	43.4%	3.4%	-1.0%	846.0K	-35.9M	-419.6K	0.17	7.78	N/A	N/A	2,170	366	63,162	30,918
2013-10-08	$34.73	$36.25	44.3%	13.2%	43.4%	87.8%	47.0%	2.6%	-1.2%	682.8K	-27.9M	-423.9K	1.69	9.08	N/A	N/A	774	1,306	64,650	31,090
2013-10-09	$34.55	$36.25	44.2%	13.2%	43.4%	87.5%	46.1%	2.9%	-0.8%	569.2K	-26.4M	-417.8K	0.52	9.76	N/A	N/A	1,242	642	64,898	31,828
2013-10-10	$34.44	$36.25	45.6%	13.1%	39.6%	93.8%	45.7%	3.8%	-1.5%	433.8K	-23.8M	-410.9K	0.48	11.36	N/A	N/A	1,204	582	65,548	32,224
2013-10-11	$34.10	$36.25	44.0%	12.6%	38.7%	86.5%	43.6%	3.5%	-0.2%	271.6K	-19.1M	-400.4K	0.16	14.31	N/A	N/A	4,680	738	66,078	32,610
2013-10-14	$34.98	$35.00	44.7%	12.8%	39.9%	89.6%	43.5%	3.8%	-1.2%	591.6K	-29.6M	-408.5K	0.42	13.16	N/A	N/A	942	400	67,616	32,882
2013-10-15	$36.03	$35.00	43.3%	12.4%	40.3%	83.4%	42.4%	4.8%	-1.3%	1.1M	-43.6M	-415.9K	0.28	12.53	N/A	N/A	3,976	1,118	67,922	33,026
2013-10-16	$34.73	$35.00	41.8%	12.0%	31.4%	77.1%	41.5%	3.8%	-0.0%	471.7K	-25.9M	-383.0K	0.11	13.97	N/A	N/A	12,802	1,388	69,108	33,372
2013-10-17	$36.03	$35.00	39.2%	11.2%	33.6%	65.5%	38.6%	3.8%	-0.2%	1.6M	-54.0M	-446.8K	0.48	15.98	N/A	N/A	3,524	1,700	77,114	33,494
2013-10-18	$35.87	$35.00	38.2%	11.0%	29.6%	61.2%	37.5%	4.1%	0.5%	1.6M	-50.6M	-440.0K	0.37	11.06	N/A	N/A	1,514	554	75,998	33,882
2013-10-21	$36.35	$35.00	37.5%	10.7%	29.7%	57.9%	36.3%	4.1%	0.2%	1.6M	-60.6M	-429.0K	0.31	14.55	N/A	N/A	1,292	400	68,376	27,588
2013-10-22	$37.78	$35.00	36.9%	10.6%	32.2%	55.5%	36.9%	3.7%	0.1%	2.2M	-78.9M	-451.6K	0.34	19.91	N/A	N/A	2,988	1,020	69,214	27,906
2013-10-23	$36.51	$36.25	38.8%	11.1%	34.4%	63.7%	38.3%	3.4%	-0.9%	1.8M	-63.4M	-433.7K	1.31	14.96	N/A	N/A	890	1,170	69,718	28,332
2013-10-24	$37.82	$36.25	38.0%	10.9%	36.4%	60.0%	38.2%	3.4%	-0.8%	2.2M	-80.1M	-460.6K	0.46	18.27	N/A	N/A	2,372	1,098	70,234	29,000
2013-10-25	$38.37	$36.25	36.8%	10.5%	36.5%	54.9%	37.6%	3.3%	-1.0%	2.4M	-90.0M	-468.2K	0.41	20.44	N/A	N/A	1,006	410	71,568	29,296
2013-10-28	$39.09	$36.25	39.3%	11.3%	36.8%	66.1%	39.1%	2.8%	-1.5%	2.6M	-102.2M	-460.7K	0.33	16.43	N/A	N/A	2,250	742	71,658	29,282
2013-10-29	$38.01	$36.25	40.3%	11.5%	38.0%	70.1%	40.3%	2.8%	-1.7%	2.3M	-85.5M	-453.9K	0.26	21.46	N/A	N/A	1,278	334	71,760	29,640
2013-10-30	$38.55	$36.25	40.3%	11.5%	38.0%	70.3%	40.5%	3.4%	-1.9%	2.5M	-94.2M	-464.8K	0.60	14.06	N/A	N/A	1,106	664	72,490	29,740
2013-10-31	$36.95	$36.25	41.2%	11.8%	41.1%	74.5%	42.1%	3.2%	-2.8%	2.0M	-70.8M	-451.2K	0.56	15.74	N/A	N/A	1,080	602	72,806	30,028