GOLD Options History — December 2014

In December 2014, GOLD traded between $30.74 and $34.41. ATM implied volatility averaged 42.6%, placing in the 81.5% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 17.9% (HV 20d: 60.5%). Max pain ranged from $33.75 to $36.25. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.67.

Notable Days

2014-12-22: Highest Volume — 19,864 contracts
2014-12-11: Largest IV drop — 11.5% change
2014-12-10: Highest IV Rank — 100.0%
2014-12-16: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.95	$30.74	$34.41	$34.41	$33.70
Max Pain	$35.54	$33.75	$36.25	$36.25	$33.75
ATM IV	42.6%	38.5%	48.6%	42.0%	38.5%
Expected Move	11.9%	11.1%	13.3%	11.1%	11.5%
HV 20d	60.5%	49.1%	70.7%	68.6%	49.1%
HV 60d	52.8%	49.4%	55.8%	49.4%	55.6%
IV Rank	81.5%	64.7%	100.0%	84.2%	64.7%
IV Percentile	93.9%	84.1%	100.0%	96.8%	84.1%
Term Structure	-0.3%	-3.5%	2.8%	-3.5%	1.6%
VWIV	41.6%	38.3%	46.3%	38.3%	42.8%
Skew 25d	4.1%	2.3%	6.0%	4.4%	2.7%
Skew 10d	8.7%	5.6%	11.7%	8.4%	7.9%
Call IV 25d	40.5%	37.0%	46.6%	40.7%	38.0%
Put IV 25d	44.6%	40.7%	51.2%	45.1%	40.7%
Bid-Ask Spread %	15.73	12.73	20.69	19.31	15.54
Gamma HHI	0.13	0.11	0.19	0.12	0.14
Net GEX	438.5K	-789.9K	1.6M	532.1K	1.1M
Net DEX	5.2M	-19.6M	37.7M	-16.0M	-4.9M
Net VEX	-475.3K	-535.6K	-405.3K	-535.6K	-482.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.14	0.96	0.76	0.81
Total Volume	12,594.455	1,514	19,864	14,646	1,548
Total OI	135,551.727	108,918	152,728	140,436	113,210

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
2014-12-01	$34.41	$36.25	42.0%	11.1%	68.6%	84.2%	38.3%	4.4%	-3.5%	532.1K	-16.0M	-535.6K	0.76	19.31	N/A	N/A	8,322	6,324	87,940	52,496
2014-12-02	$32.66	$36.25	43.9%	11.4%	70.4%	91.2%	39.7%	4.0%	-3.0%	-3.8K	14.1M	-486.3K	0.56	14.38	N/A	N/A	9,942	5,538	88,692	53,498
2014-12-03	$33.80	$36.25	43.0%	11.2%	70.5%	87.9%	39.6%	3.6%	-3.4%	460.1K	-8.6M	-530.3K	0.71	15.11	N/A	N/A	7,786	5,548	91,098	53,868
2014-12-04	$33.17	$36.25	42.4%	11.2%	70.7%	85.5%	38.4%	3.4%	-3.1%	200.0K	2.7M	-499.1K	0.75	14.37	N/A	N/A	1,160	872	90,886	53,888
2014-12-05	$32.41	$36.25	42.1%	11.4%	62.0%	84.5%	40.6%	4.0%	-0.3%	-90.0K	17.6M	-462.2K	0.51	12.73	N/A	N/A	7,982	4,104	90,872	54,066
2014-12-08	$33.30	$36.25	46.0%	11.4%	61.4%	99.5%	40.5%	4.5%	-0.8%	239.9K	998.0K	-489.6K	0.74	14.56	N/A	N/A	7,896	5,870	91,254	54,206
2014-12-09	$33.94	$36.25	45.4%	11.4%	58.0%	97.3%	39.8%	4.4%	-0.7%	485.9K	-9.6M	-509.8K	0.59	14.91	N/A	N/A	8,484	5,026	91,436	55,086
2014-12-10	$33.34	$36.25	48.6%	11.8%	56.6%	100.0%	41.9%	5.0%	-1.5%	272.2K	603.4K	-495.1K	0.65	16.25	N/A	N/A	7,412	4,806	91,978	54,554
2014-12-11	$32.77	$36.25	43.0%	11.9%	56.9%	80.5%	41.8%	4.4%	-1.4%	38.6K	10.8M	-469.5K	0.65	16.39	N/A	N/A	7,532	4,890	92,218	54,516
2014-12-12	$32.26	$36.25	44.0%	12.2%	56.9%	83.8%	42.7%	4.6%	-1.5%	-161.5K	18.1M	-451.9K	0.70	18.35	N/A	N/A	7,296	5,132	92,404	54,610
2014-12-15	$30.74	$36.25	47.6%	13.1%	54.7%	96.5%	45.9%	3.9%	-1.5%	-676.0K	37.7M	-405.3K	0.78	18.28	N/A	N/A	8,308	6,492	92,738	54,820
2014-12-16	$31.00	$35.00	47.9%	13.3%	54.9%	97.3%	46.3%	4.7%	-1.6%	-789.9K	33.9M	-417.1K	0.76	15.55	N/A	N/A	9,152	6,948	93,498	55,398
2014-12-17	$33.24	$35.00	44.4%	12.6%	60.5%	85.4%	44.2%	6.0%	-0.1%	190.9K	-1.5M	-479.0K	0.54	18.00	N/A	N/A	10,612	5,714	94,588	55,786
2014-12-18	$34.20	$36.25	41.5%	12.0%	59.9%	75.2%	41.4%	4.1%	0.2%	1.6M	-19.6M	-485.5K	0.72	19.38	N/A	N/A	9,032	6,488	95,546	56,232
2014-12-19	$33.77	$36.25	39.2%	11.5%	59.5%	67.2%	39.9%	2.3%	1.4%	1.6M	-8.1M	-472.2K	0.14	20.69	N/A	N/A	7,010	962	95,662	57,066
2014-12-22	$31.81	$0.00	41.4%	12.2%	63.0%	74.7%	41.0%	3.7%	1.1%	541.4K	19.1M	-435.4K	0.53	13.14	N/A	N/A	12,986	6,878	68,832	40,086
2014-12-23	$31.93	$35.00	39.2%	11.9%	63.0%	67.0%	41.4%	4.4%	2.1%	551.4K	18.8M	-441.1K	0.57	12.75	N/A	N/A	12,378	7,012	69,782	40,752
2014-12-24	$32.55	$33.75	39.3%	11.9%	62.9%	67.6%	42.7%	3.2%	2.8%	732.7K	9.8M	-471.6K	0.94	14.83	N/A	N/A	7,278	6,846	70,290	41,244
2014-12-26	$33.23	$35.00	38.8%	11.7%	63.5%	65.7%	42.8%	3.1%	2.3%	944.0K	-444.8K	-487.6K	0.95	12.95	N/A	N/A	7,270	6,924	70,422	41,532
2014-12-29	$32.77	$33.75	40.6%	12.0%	55.8%	72.1%	44.3%	4.6%	1.4%	768.2K	8.3M	-458.5K	0.96	14.25	N/A	N/A	7,048	6,756	70,586	41,858
2014-12-30	$33.95	$33.75	38.6%	11.7%	52.6%	65.1%	40.0%	4.4%	2.0%	1.1M	-8.8M	-491.2K	0.52	14.29	N/A	N/A	998	516	70,668	41,976
2014-12-31	$33.70	$33.75	38.5%	11.5%	49.1%	64.7%	42.8%	2.7%	1.6%	1.1M	-4.9M	-482.1K	0.81	15.54	N/A	N/A	854	694	71,058	42,152