GOLD Options History — October 2014 In October 2014, GOLD traded between $29.14 and $35.01. ATM implied volatility averaged 36.3%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.1% (HV 20d: 34.2%). Max pain ranged from $38.75 to $38.75. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.21.
Notable Days 2014-10-09 : Highest Volume — 16,534 contracts2014-10-13 : Largest IV spike — 20.6% change2014-10-13 : Highest IV Rank — 100.0%2014-10-31 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $33.24 $29.14 $35.01 $33.58 $29.14 Max Pain $38.75 $38.75 $38.75 $38.75 $38.75 ATM IV 36.3% 29.0% 46.2% 29.6% 42.4% Expected Move 9.6% 8.7% 10.8% 8.7% 10.8% HV 20d 34.2% 21.9% 43.7% 22.7% 43.6% HV 60d 25.5% 21.2% 30.1% 21.9% 30.1% IV Rank 62.6% 34.9% 100.0% 37.5% 85.7% IV Percentile 75.7% 38.9% 100.0% 41.3% 97.6% Term Structure -1.1% -2.4% 1.4% 1.3% -2.3% VWIV 32.5% 26.2% 36.9% 29.9% 36.9% Skew 25d 2.9% 0.5% 5.3% 1.2% 2.1% Skew 10d 4.9% 1.5% 8.6% 2.2% 3.0% Call IV 25d 34.8% 29.6% 42.0% 30.1% 42.0% Put IV 25d 37.7% 31.2% 45.3% 31.3% 44.1% Bid-Ask Spread % 17.71 12.99 22.08 16.15 13.76 Gamma HHI 0.15 0.10 0.40 0.11 0.14 Net GEX -1.3M -4.7M -525.4K -608.3K -737.8K Net DEX 34.6M 14.2M 67.5M 31.8M 67.5M Net VEX -427.0K -523.1K -310.9K -387.0K -310.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.21 0.20 4.02 3.93 0.94 Total Volume 8,894.696 912 16,534 7,666 13,306 Total OI 115,000.435 100,684 123,866 100,684 115,760
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 2014-10-01 $33.58 $38.75 29.6% 8.7% 22.7% 37.5% 29.9% 1.2% 1.3% -608.3K 31.8M -387.0K 3.93 16.15 N/A N/A 1,554 6,112 58,942 41,742 2014-10-02 $33.80 $38.75 29.0% 8.7% 21.9% 34.9% 30.0% 1.6% 1.4% -1.5M 37.2M -409.1K 0.40 16.03 N/A N/A 1,902 758 60,068 46,650 2014-10-03 $32.85 $38.75 30.4% 8.9% 23.1% 40.5% 31.0% 0.5% 0.7% -1.4M 47.4M -384.8K 3.92 19.62 N/A N/A 1,518 5,946 61,538 46,920 2014-10-06 $33.62 $38.75 30.9% 8.9% 24.3% 42.4% 32.0% 2.7% -0.3% -1.7M 40.1M -418.4K 0.46 18.94 N/A N/A 1,294 600 62,346 49,520 2014-10-07 $32.91 $38.75 32.3% 9.0% 24.1% 47.8% 26.2% 2.3% -0.9% -1.5M 48.6M -400.5K 4.02 18.18 N/A N/A 488 1,960 63,146 49,626 2014-10-08 $35.01 $38.75 32.7% 9.1% 34.5% 49.2% 31.6% 2.9% -1.6% -1.1M 16.5M -474.4K 1.55 18.85 N/A N/A 6,014 9,330 63,236 51,120 2014-10-09 $34.20 $38.75 37.3% 9.4% 34.9% 66.7% 31.3% 4.2% -1.9% -1.7M 33.6M -483.0K 1.85 20.40 N/A N/A 5,800 10,734 63,732 55,974 2014-10-10 $33.73 $38.75 38.3% 9.8% 34.8% 70.6% 32.7% 2.1% -0.6% -1.9M 39.3M -479.6K 1.83 19.16 N/A N/A 4,652 8,510 64,308 56,678 2014-10-13 $34.36 $38.75 46.2% 10.3% 35.8% 100.0% 36.4% 3.3% -2.1% -1.5M 25.7M -509.2K 0.64 17.75 N/A N/A 2,622 1,672 64,554 57,008 2014-10-14 $34.90 $38.75 42.4% 10.2% 36.5% 85.7% 35.1% 4.5% -2.4% -1.3M 17.4M -522.8K 1.28 21.89 N/A N/A 4,310 5,496 65,464 58,070 2014-10-15 $34.99 $38.75 45.7% 10.5% 35.7% 98.1% 35.1% 4.5% -2.3% -1.2M 15.2M -523.1K 0.93 22.08 N/A N/A 5,110 4,748 65,622 58,134 2014-10-16 $34.60 $38.75 41.4% 10.3% 35.8% 82.0% 35.9% 5.3% -2.3% -1.7M 14.7M -507.8K 0.70 17.50 N/A N/A 586 412 66,592 57,274 2014-10-17 $33.47 $38.75 37.9% 9.9% 36.2% 68.6% 34.4% 3.7% -1.3% -4.7M 42.2M -455.2K 0.21 21.95 N/A N/A 4,680 1,002 66,658 57,194 2014-10-20 $34.27 $38.75 36.7% 9.8% 37.1% 64.0% 33.6% 3.9% -1.3% -537.8K 15.4M -456.7K 0.54 20.94 N/A N/A 7,548 4,078 61,390 49,170 2014-10-21 $34.28 $38.75 33.5% 9.4% 35.7% 51.9% 30.8% 2.2% -0.5% -525.4K 14.2M -447.2K 1.08 19.53 N/A N/A 6,618 7,134 62,374 49,398 2014-10-22 $33.28 $38.75 33.8% 9.4% 36.5% 53.1% 31.4% 2.6% -1.0% -702.0K 27.2M -414.9K 0.54 14.95 N/A N/A 6,676 3,622 62,900 48,800 2014-10-23 $33.22 $38.75 33.5% 9.3% 36.4% 51.9% 32.2% 2.5% -0.1% -706.7K 28.2M -412.5K 0.45 18.37 N/A N/A 8,212 3,702 63,414 48,988 2014-10-24 $32.51 $38.75 33.9% 9.4% 36.7% 53.2% 31.7% 2.8% -0.6% -789.9K 37.6M -396.5K 0.43 13.19 N/A N/A 8,204 3,568 63,794 49,178 2014-10-27 $31.73 $38.75 35.9% 9.6% 37.5% 60.8% 31.8% 2.4% -1.6% -908.7K 46.7M -360.8K 0.51 12.99 N/A N/A 8,030 4,060 64,278 49,256 2014-10-28 $32.47 $38.75 34.6% 9.6% 38.6% 56.1% 32.2% 3.4% -0.8% -807.8K 37.4M -386.4K 0.20 18.22 N/A N/A 760 152 64,912 49,434 2014-10-29 $31.68 $38.75 36.4% 9.8% 39.4% 63.0% 30.9% 3.2% -1.3% -874.3K 46.5M -361.9K 0.63 13.63 N/A N/A 6,298 3,980 65,174 49,668 2014-10-30 $29.90 $38.75 39.8% 10.4% 43.7% 75.6% 33.7% 3.0% -2.4% -876.4K 64.3M -317.4K 0.73 13.32 N/A N/A 6,256 4,564 64,698 50,308 2014-10-31 $29.14 $38.75 42.4% 10.8% 43.6% 85.7% 36.9% 2.1% -2.3% -737.8K 67.5M -310.9K 0.94 13.76 N/A N/A 6,862 6,444 65,358 50,402
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