GOLD Options History — December 2013

In December 2013, GOLD traded between $30.60 and $33.98. ATM implied volatility averaged 38.4%, placing in the 62.0% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 2.5% (HV 20d: 35.9%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.79.

Notable Days

2013-12-20: Highest Volume — 4,924 contracts
2013-12-19: Largest IV drop — 3.9% change
2013-12-03: Highest IV Rank — 77.5%
2013-12-11: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.10	$30.60	$33.98	$33.65	$31.41
Max Pain	$32.02	$30.00	$32.50	$32.50	$30.00
ATM IV	38.4%	34.3%	41.9%	40.9%	35.0%
Expected Move	12.1%	11.9%	12.3%	12.1%	11.9%
HV 20d	35.9%	31.1%	38.1%	37.2%	31.1%
HV 60d	38.2%	36.1%	41.2%	41.1%	36.9%
IV Rank	62.0%	43.8%	77.5%	73.0%	47.1%
IV Percentile	53.7%	30.6%	80.2%	71.0%	32.9%
Term Structure	1.9%	-1.4%	4.2%	-1.4%	3.5%
VWIV	42.7%	40.5%	44.8%	42.1%	41.5%
Skew 25d	2.4%	1.5%	3.2%	3.1%	2.9%
Skew 10d	4.5%	3.0%	5.9%	4.3%	5.8%
Call IV 25d	37.7%	33.7%	40.8%	40.1%	33.9%
Put IV 25d	40.2%	35.7%	43.8%	43.1%	36.8%
Bid-Ask Spread %	9.53	3.89	20.82	3.89	11.52
Gamma HHI	0.11	0.09	0.19	0.11	0.10
Net GEX	-184.1K	-898.0K	396.2K	330.1K	-145.8K
Net DEX	-14.7M	-34.1M	6.3M	-28.7M	-19.8M
Net VEX	-309.6K	-352.7K	-272.3K	-343.9K	-278.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.25	1.76	0.61	0.25
Total Volume	2,833.714	930	4,924	2,722	1,672
Total OI	109,966.762	90,010	121,136	111,032	95,026

Daily Data (21 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
2013-12-02	$33.65	$32.50	40.9%	12.1%	37.2%	73.0%	42.1%	3.1%	-1.4%	330.1K	-28.7M	-343.9K	0.61	3.89	N/A	N/A	1,690	1,032	75,538	35,494
2013-12-03	$32.80	$30.00	41.9%	12.1%	35.9%	77.5%	41.7%	3.0%	-0.9%	109.5K	-19.0M	-335.5K	0.53	8.00	N/A	N/A	2,666	1,416	75,974	35,814
2013-12-04	$33.69	$32.50	40.6%	12.2%	37.7%	71.8%	40.5%	2.6%	0.4%	341.8K	-30.3M	-352.7K	0.29	11.95	N/A	N/A	2,256	644	76,486	36,450
2013-12-05	$32.83	$32.50	41.1%	12.3%	38.0%	74.1%	0.0%	2.1%	-0.9%	73.3K	-19.2M	-339.0K	1.42	8.11	N/A	N/A	882	1,256	76,852	36,592
2013-12-06	$32.72	$32.50	39.9%	12.2%	34.1%	68.5%	42.5%	2.6%	1.6%	-25.1K	-17.4M	-336.0K	1.76	11.25	N/A	N/A	1,026	1,808	77,202	37,064
2013-12-09	$32.83	$32.50	40.8%	12.2%	34.3%	72.8%	42.1%	3.2%	1.4%	11.8K	-17.2M	-327.5K	0.73	7.26	N/A	N/A	1,894	1,390	77,780	37,406
2013-12-10	$33.98	$32.50	39.4%	11.9%	37.4%	66.5%	41.6%	3.0%	0.8%	396.2K	-34.1M	-343.5K	1.07	7.78	N/A	N/A	1,920	2,060	78,656	38,174
2013-12-11	$32.65	$32.50	39.9%	12.3%	37.8%	68.8%	42.7%	2.8%	1.5%	-216.1K	-14.6M	-325.8K	0.95	9.46	N/A	N/A	1,458	1,392	78,610	39,440
2013-12-12	$31.91	$32.50	40.2%	12.1%	38.1%	70.0%	44.6%	2.5%	1.7%	-466.5K	-4.7M	-311.7K	1.70	9.05	N/A	N/A	1,394	2,376	78,484	39,810
2013-12-13	$32.04	$32.50	39.8%	12.2%	36.9%	68.0%	44.5%	2.5%	1.6%	-417.2K	-6.9M	-313.5K	0.80	7.97	N/A	N/A	1,364	1,092	78,944	39,394
2013-12-16	$32.17	$32.50	40.0%	12.2%	37.1%	68.9%	44.8%	2.5%	1.8%	-468.7K	-8.7M	-315.1K	0.94	7.58	N/A	N/A	958	898	79,700	39,844
2013-12-17	$31.94	$32.50	39.4%	12.2%	37.1%	66.6%	0.0%	2.1%	1.9%	-566.4K	-6.0M	-308.0K	0.78	9.36	N/A	N/A	888	694	80,052	39,908
2013-12-18	$31.68	$32.50	38.7%	12.2%	35.9%	63.3%	0.0%	2.0%	2.4%	-707.7K	-1.9M	-297.9K	0.49	20.82	N/A	N/A	2,672	1,314	80,214	39,914
2013-12-19	$31.43	$32.50	37.2%	12.1%	34.1%	56.7%	41.7%	1.5%	3.8%	-898.0K	635.5K	-291.7K	1.36	9.49	N/A	N/A	1,858	2,534	80,070	39,518
2013-12-20	$30.60	$32.50	36.8%	12.2%	34.8%	55.0%	42.3%	1.5%	4.2%	-534.9K	6.3M	-275.2K	0.83	8.89	N/A	N/A	2,688	2,236	81,370	39,766
2013-12-23	$30.89	$32.50	36.0%	12.1%	35.3%	51.5%	44.4%	1.8%	3.4%	-188.9K	-14.9M	-277.4K	0.58	9.36	N/A	N/A	2,312	1,344	58,962	31,048
2013-12-24	$31.38	$32.50	35.1%	11.9%	36.0%	47.6%	0.0%	2.8%	3.3%	-104.5K	-18.8M	-284.8K	0.45	9.43	N/A	N/A	1,362	618	60,350	31,798
2013-12-26	$31.28	$32.50	34.5%	12.0%	35.8%	44.9%	43.2%	2.4%	3.9%	-99.7K	-18.0M	-284.5K	0.36	9.35	N/A	N/A	1,086	386	61,236	32,082
2013-12-27	$31.48	$30.00	34.3%	12.0%	35.4%	43.8%	42.0%	2.0%	3.6%	-77.1K	-20.7M	-286.0K	0.43	8.98	N/A	N/A	650	280	61,882	32,198
2013-12-30	$30.81	$30.00	34.9%	12.1%	34.0%	46.5%	44.2%	2.5%	3.1%	-212.9K	-14.5M	-272.3K	0.28	10.62	N/A	N/A	1,594	448	61,866	32,334
2013-12-31	$31.41	$30.00	35.0%	11.9%	31.1%	47.1%	41.5%	2.9%	3.5%	-145.8K	-19.8M	-278.6K	0.25	11.52	N/A	N/A	1,334	338	62,400	32,626