GOLD Options History — October 2015 In October 2015, GOLD traded between $29.34 and $35.55. ATM implied volatility averaged 40.1%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 4.9% (HV 20d: 45.0%). Max pain ranged from $30.00 to $33.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.34.
Notable Days 2015-10-06 : Highest Volume — 13,348 contracts2015-10-12 : Largest IV spike — 12.9% change2015-10-12 : Highest IV Rank — 66.5%2015-10-01 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $33.67 $29.34 $35.55 $29.34 $33.49 Max Pain $31.76 $30.00 $33.75 $30.00 $33.75 ATM IV 40.1% 37.0% 45.3% 44.7% 37.0% Expected Move 11.4% 10.6% 12.8% 12.8% 10.6% HV 20d 45.0% 32.5% 51.1% 43.4% 32.5% HV 60d 44.8% 42.8% 46.8% 43.8% 43.2% IV Rank 49.6% 39.3% 66.5% 64.6% 39.3% IV Percentile 62.4% 40.1% 89.7% 89.7% 40.1% Term Structure -0.9% -2.2% 1.7% -0.1% 0.2% VWIV 40.3% 36.8% 47.7% 47.7% 37.3% Skew 25d 2.7% 1.4% 3.6% 2.4% 1.8% Skew 10d 4.9% 2.0% 8.7% 4.6% 3.0% Call IV 25d 38.8% 36.6% 43.6% 43.6% 36.7% Put IV 25d 41.5% 38.5% 46.0% 46.0% 38.6% Bid-Ask Spread % 20.06 16.71 23.08 22.40 20.54 Gamma HHI 0.14 0.11 0.21 0.11 0.15 Net GEX 2.0M 168.5K 3.8M 168.5K 1.8M Net DEX -37.3M -68.2M 25.0M 25.0M -26.5M Net VEX -440.2K -461.8K -405.2K -425.1K -425.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.34 0.35 3.45 1.00 1.28 Total Volume 7,194.818 2,276 13,348 4,746 4,342 Total OI 101,904.636 91,094 107,272 107,272 102,314
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 2015-10-01 $29.34 $30.00 44.7% 12.8% 43.4% 64.6% 47.7% 2.4% -0.1% 168.5K 25.0M -425.1K 1.00 22.40 N/A N/A 2,378 2,368 60,726 46,546 2015-10-02 $31.66 $30.00 41.7% 12.0% 51.1% 54.9% 42.7% 3.6% 1.7% 1.4M -12.7M -451.7K 1.91 22.50 N/A N/A 3,666 7,016 60,970 42,394 2015-10-05 $31.95 $30.00 42.0% 11.9% 50.0% 55.8% 43.0% 3.6% -1.6% 1.6M -16.8M -446.0K 0.68 18.90 N/A N/A 1,358 918 61,456 43,010 2015-10-06 $32.34 $30.00 43.0% 12.0% 49.9% 59.2% 42.1% 3.1% -1.9% 1.8M -22.5M -454.8K 1.02 17.97 N/A N/A 6,608 6,740 61,976 43,084 2015-10-07 $32.84 $31.25 42.2% 11.8% 49.4% 56.5% 41.7% 3.5% -1.7% 2.0M -30.1M -461.8K 2.45 19.62 N/A N/A 2,706 6,618 61,300 43,262 2015-10-08 $32.87 $31.25 41.7% 11.7% 49.5% 54.7% 41.7% 3.2% -1.3% 2.0M -29.9M -457.2K 3.39 22.21 N/A N/A 1,910 6,478 61,650 43,588 2015-10-09 $33.73 $31.25 40.1% 11.5% 49.7% 49.5% 41.3% 3.4% -1.4% 2.5M -45.7M -461.3K 3.22 17.65 N/A N/A 2,010 6,466 61,734 43,956 2015-10-12 $33.26 $31.25 45.3% 11.5% 47.5% 66.5% 40.8% 3.2% -1.5% 2.1M -36.4M -436.0K 3.45 20.57 N/A N/A 2,062 7,106 61,858 44,188 2015-10-13 $33.37 $31.25 42.8% 11.5% 47.4% 58.3% 40.7% 3.0% -1.0% 2.1M -36.1M -443.5K 1.30 20.66 N/A N/A 2,212 2,876 62,082 44,880 2015-10-14 $35.02 $31.25 39.9% 11.4% 46.6% 49.0% 40.5% 3.3% -1.4% 3.6M -68.2M -451.1K 1.65 18.76 N/A N/A 2,706 4,452 62,158 44,954 2015-10-15 $34.83 $32.50 38.8% 11.1% 46.8% 45.3% 39.5% 2.3% -0.8% 3.8M -64.3M -434.6K 0.86 19.25 N/A N/A 3,040 2,604 62,528 44,166 2015-10-16 $34.76 $32.50 38.5% 11.0% 46.9% 44.3% 39.4% 2.4% -1.2% 1.7M -58.3M -434.2K 1.24 19.86 N/A N/A 2,076 2,578 62,704 44,130 2015-10-19 $34.02 $32.50 39.2% 11.2% 46.4% 46.7% 39.5% 2.8% -1.4% 1.6M -35.7M -416.8K 0.35 20.43 N/A N/A 8,706 3,032 52,520 38,574 2015-10-20 $35.18 $32.50 39.6% 11.3% 45.6% 47.8% 39.7% 2.0% -2.2% 2.1M -55.8M -448.7K 0.72 18.39 N/A N/A 4,334 3,124 56,100 39,314 2015-10-21 $34.48 $32.50 38.4% 11.0% 46.3% 43.9% 38.9% 2.4% -1.1% 1.9M -43.6M -450.4K 0.75 19.26 N/A N/A 3,972 2,974 56,516 40,098 2015-10-22 $34.72 $32.50 37.3% 10.7% 40.5% 40.5% 37.9% 2.4% -0.1% 2.0M -45.8M -446.6K 0.67 21.87 N/A N/A 3,768 2,530 56,518 40,434 2015-10-23 $35.55 $32.50 37.3% 10.7% 39.7% 40.4% 36.8% 1.9% -0.6% 2.2M -59.9M -450.4K 0.72 20.33 N/A N/A 3,682 2,638 56,588 40,674 2015-10-26 $34.52 $32.50 38.0% 10.9% 39.8% 42.8% 39.0% 1.8% -0.7% 1.9M -42.8M -429.2K 0.64 20.43 N/A N/A 3,690 2,374 56,580 41,066 2015-10-27 $34.58 $32.50 38.3% 11.0% 39.5% 43.7% 38.6% 1.4% -0.8% 2.0M -43.2M -429.0K 0.55 16.71 N/A N/A 3,866 2,136 56,820 41,092 2015-10-28 $34.62 $32.50 38.7% 11.1% 39.3% 44.9% 38.8% 2.6% -0.9% 2.0M -44.7M -426.1K 1.03 19.94 N/A N/A 2,946 3,032 57,034 41,088 2015-10-29 $33.56 $32.50 37.8% 10.8% 41.5% 42.1% 37.9% 2.5% -0.5% 1.7M -26.1M -405.2K 0.72 23.08 N/A N/A 4,774 3,414 57,636 41,636 2015-10-30 $33.49 $33.75 37.0% 10.6% 32.5% 39.3% 37.3% 1.8% 0.2% 1.8M -26.5M -425.7K 1.28 20.54 N/A N/A 1,906 2,436 60,452 41,862
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