GOLD Options History — July 2015

In July 2015, GOLD traded between $28.68 and $33.48. ATM implied volatility averaged 36.8%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.8% (HV 20d: 32.0%). Max pain ranged from $31.25 to $35.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.27.

Notable Days

2015-07-20: Highest Volume — 23,388 contracts
2015-07-20: Largest IV spike — 25.0% change
2015-07-27: Highest IV Rank — 100.0%
2015-07-27: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.09	$28.68	$33.48	$32.50	$30.30
Max Pain	$33.13	$31.25	$35.00	$35.00	$31.25
ATM IV	36.8%	28.6%	49.6%	29.4%	40.5%
Expected Move	10.5%	8.2%	14.2%	8.4%	11.6%
HV 20d	32.0%	23.4%	44.4%	23.4%	44.1%
HV 60d	27.5%	25.1%	32.0%	25.1%	32.0%
IV Rank	58.2%	30.5%	100.0%	33.3%	69.5%
IV Percentile	64.3%	31.0%	100.0%	36.9%	82.9%
Term Structure	-1.5%	-4.6%	0.8%	0.8%	-1.6%
VWIV	36.3%	28.0%	49.2%	28.6%	40.5%
Skew 25d	2.8%	1.9%	3.9%	2.3%	2.2%
Skew 10d	5.4%	4.2%	8.9%	4.4%	4.8%
Call IV 25d	35.4%	27.6%	48.3%	28.8%	39.6%
Put IV 25d	38.2%	30.3%	51.5%	31.1%	41.8%
Bid-Ask Spread %	18.45	11.23	22.96	15.35	22.96
Gamma HHI	0.09	0.08	0.12	0.08	0.09
Net GEX	-455.3K	-793.7K	68.1K	-260.3K	-322.7K
Net DEX	36.7M	20.5M	49.3M	29.9M	35.5M
Net VEX	-397.4K	-484.2K	-309.0K	-362.8K	-482.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.65	1.96	1.10	1.75
Total Volume	9,333.273	5,652	23,388	10,854	11,492
Total OI	90,280	79,424	106,464	79,598	106,464

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
2015-07-01	$32.50	$35.00	29.4%	8.4%	23.4%	33.3%	28.6%	2.3%	0.8%	-260.3K	29.9M	-362.8K	1.10	15.35	N/A	N/A	5,170	5,684	41,546	38,052
2015-07-02	$33.27	$35.00	28.6%	8.2%	25.5%	30.5%	28.0%	2.7%	0.5%	27.9K	22.5M	-388.1K	0.76	12.66	N/A	N/A	5,538	4,232	42,360	39,262
2015-07-06	$33.48	$35.00	30.5%	8.5%	25.2%	36.8%	29.2%	2.3%	-0.5%	68.1K	20.5M	-384.6K	0.65	11.23	N/A	N/A	6,086	3,944	42,362	39,516
2015-07-07	$32.11	$35.00	33.5%	9.1%	28.4%	47.3%	32.3%	3.0%	-0.6%	-405.5K	33.1M	-367.0K	0.96	19.76	N/A	N/A	4,882	4,670	43,250	39,618
2015-07-08	$32.12	$35.00	34.6%	9.4%	28.4%	51.4%	33.0%	2.3%	-1.1%	-405.6K	33.1M	-373.1K	0.96	20.99	N/A	N/A	4,780	4,606	43,350	40,146
2015-07-09	$32.16	$35.00	33.2%	9.5%	26.0%	46.4%	33.1%	3.0%	-1.5%	-445.0K	33.3M	-371.9K	1.40	18.73	N/A	N/A	3,260	4,570	43,534	40,400
2015-07-10	$32.01	$35.00	31.4%	9.1%	26.0%	39.9%	31.6%	2.9%	-0.5%	-525.5K	34.9M	-356.9K	1.24	19.57	N/A	N/A	3,250	4,032	43,610	40,410
2015-07-13	$32.49	$33.75	33.1%	9.0%	27.0%	45.8%	31.4%	2.4%	-0.6%	-395.3K	30.3M	-365.6K	1.47	18.05	N/A	N/A	2,878	4,222	44,134	40,506
2015-07-14	$32.35	$33.75	31.3%	8.7%	27.0%	39.7%	30.4%	2.4%	-0.1%	-439.1K	32.2M	-354.7K	1.96	14.11	N/A	N/A	2,096	4,108	44,304	40,548
2015-07-15	$31.76	$33.75	31.3%	9.0%	27.1%	39.6%	30.4%	2.4%	-0.8%	-656.0K	38.2M	-337.2K	1.71	16.61	N/A	N/A	2,368	4,040	44,424	40,516
2015-07-16	$31.74	$33.75	30.9%	8.9%	26.1%	38.3%	30.0%	2.7%	-0.9%	-646.6K	38.2M	-335.0K	1.72	19.07	N/A	N/A	2,356	4,046	44,768	40,516
2015-07-17	$30.98	$33.75	31.4%	9.0%	26.3%	40.0%	31.2%	2.7%	-0.0%	-704.8K	44.7M	-323.0K	1.40	15.70	N/A	N/A	3,290	4,616	44,852	40,478
2015-07-20	$29.27	$33.75	39.3%	11.3%	31.1%	67.4%	38.6%	3.1%	-1.9%	-793.7K	48.2M	-309.0K	1.42	20.22	N/A	N/A	9,654	13,734	40,554	38,870
2015-07-21	$30.02	$31.25	39.1%	11.2%	33.2%	66.7%	39.5%	3.9%	-2.1%	-622.9K	41.2M	-421.9K	0.67	16.48	N/A	N/A	7,174	4,814	47,578	46,240
2015-07-22	$30.13	$31.25	39.9%	11.4%	33.4%	69.7%	39.2%	3.8%	-1.9%	-574.2K	39.9M	-437.1K	1.27	19.76	N/A	N/A	3,214	4,092	48,090	46,962
2015-07-23	$29.00	$31.25	41.8%	12.0%	34.1%	76.2%	41.5%	3.0%	-2.1%	-713.8K	49.3M	-417.6K	1.23	21.14	N/A	N/A	3,216	3,946	49,384	47,334
2015-07-24	$30.17	$31.25	46.0%	13.2%	38.3%	90.8%	45.7%	3.0%	-3.4%	-327.0K	34.1M	-484.2K	0.94	22.26	N/A	N/A	4,820	4,530	50,794	48,208
2015-07-27	$28.68	$31.25	49.6%	14.2%	41.2%	100.0%	49.2%	3.1%	-4.6%	-555.4K	48.8M	-452.7K	0.90	21.03	N/A	N/A	2,972	2,680	52,156	49,676
2015-07-28	$29.57	$31.25	47.1%	13.5%	43.6%	91.5%	47.8%	3.3%	-3.5%	-423.3K	40.2M	-470.4K	1.05	20.17	N/A	N/A	3,046	3,212	52,592	50,136
2015-07-29	$30.27	$31.25	44.6%	12.8%	44.4%	83.0%	44.6%	3.1%	-2.7%	-350.5K	34.8M	-480.1K	1.88	21.81	N/A	N/A	4,096	7,694	52,586	50,610
2015-07-30	$29.52	$31.25	43.0%	12.3%	43.9%	77.7%	42.9%	1.9%	-2.7%	-546.0K	44.5M	-466.2K	1.47	18.34	N/A	N/A	4,942	7,280	54,058	51,406
2015-07-31	$30.30	$31.25	40.5%	11.6%	44.1%	69.5%	40.5%	2.2%	-1.6%	-322.7K	35.5M	-482.5K	1.75	22.96	N/A	N/A	4,182	7,310	54,854	51,610