GOLD Options History — March 2016

In March 2016, GOLD traded between $43.92 and $48.07. ATM implied volatility averaged 36.6%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 0.4% (HV 20d: 37.0%). Max pain ranged from $38.75 to $46.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2016-03-17: Highest Volume — 28,706 contracts
2016-03-09: Largest IV drop — 13.5% change
2016-03-08: Highest IV Rank — 60.6%
2016-03-01: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.38	$43.92	$48.07	$43.92	$45.56
Max Pain	$44.72	$38.75	$46.25	$38.75	$45.00
ATM IV	36.6%	32.8%	43.5%	39.7%	34.1%
Expected Move	10.3%	9.4%	11.4%	11.4%	9.8%
HV 20d	37.0%	28.1%	48.1%	48.1%	34.5%
HV 60d	38.8%	36.8%	40.4%	40.3%	39.6%
IV Rank	38.1%	25.8%	60.6%	48.2%	29.8%
IV Percentile	43.3%	21.8%	87.3%	64.7%	27.8%
Term Structure	0.6%	-2.9%	2.1%	-2.2%	1.7%
VWIV	36.6%	33.3%	41.6%	39.9%	34.1%
Skew 25d	2.0%	0.5%	4.2%	1.2%	1.6%
Skew 10d	2.5%	0.2%	4.8%	1.0%	2.5%
Call IV 25d	35.5%	32.8%	39.4%	39.4%	33.3%
Put IV 25d	37.6%	34.0%	41.4%	40.6%	34.9%
Bid-Ask Spread %	18.62	11.64	23.87	21.32	13.01
Gamma HHI	0.13	0.10	0.17	0.10	0.13
Net GEX	2.9M	2.1M	5.5M	2.4M	2.4M
Net DEX	-134.7M	-183.2M	-75.8M	-139.3M	-88.2M
Net VEX	-583.4K	-635.5K	-532.4K	-577.5K	-556.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.16	1.26	0.84	0.54
Total Volume	10,592.545	5,022	28,706	7,232	5,538
Total OI	103,538.364	72,792	126,244	104,368	82,016

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
2016-03-01	$43.92	$38.75	39.7%	11.4%	48.1%	48.2%	39.9%	1.2%	-2.2%	2.4M	-139.3M	-577.5K	0.84	21.32	N/A	N/A	3,926	3,306	67,340	37,028
2016-03-02	$44.34	$38.75	39.4%	11.3%	47.9%	47.4%	41.6%	3.1%	-2.9%	2.6M	-146.2M	-587.5K	1.18	18.42	N/A	N/A	5,628	6,632	69,196	37,232
2016-03-03	$44.97	$45.00	38.2%	10.4%	47.1%	43.3%	37.6%	3.8%	1.3%	2.8M	-161.6M	-609.5K	1.21	19.68	N/A	N/A	5,262	6,378	72,668	40,938
2016-03-04	$45.46	$45.00	42.0%	11.3%	46.8%	55.8%	39.2%	2.3%	-0.0%	3.1M	-173.0M	-635.5K	0.53	22.77	N/A	N/A	7,394	3,888	74,906	42,436
2016-03-07	$45.52	$45.00	42.4%	11.1%	46.7%	57.2%	39.0%	3.3%	0.4%	3.2M	-170.5M	-634.9K	0.41	21.62	N/A	N/A	6,044	2,484	77,044	43,320
2016-03-08	$44.40	$45.00	43.5%	10.9%	37.9%	60.6%	38.2%	3.3%	0.1%	2.6M	-152.7M	-624.0K	0.44	19.57	N/A	N/A	6,012	2,646	77,732	43,538
2016-03-09	$44.74	$45.00	37.6%	10.8%	37.7%	41.3%	37.8%	4.2%	0.1%	2.8M	-158.7M	-621.7K	0.42	21.72	N/A	N/A	5,804	2,464	77,838	43,824
2016-03-10	$45.74	$45.00	37.7%	10.8%	38.3%	41.6%	38.7%	2.4%	-0.0%	3.3M	-179.0M	-630.8K	0.48	20.15	N/A	N/A	6,214	2,982	78,264	44,190
2016-03-11	$44.91	$45.00	36.2%	10.4%	37.2%	36.8%	36.8%	1.8%	0.6%	3.1M	-163.9M	-609.7K	0.47	18.98	N/A	N/A	5,504	2,580	79,300	45,158
2016-03-14	$44.49	$45.00	36.6%	10.5%	36.3%	38.2%	37.3%	1.7%	0.6%	2.6M	-151.7M	-592.2K	0.54	15.93	N/A	N/A	5,072	2,744	78,846	45,470
2016-03-15	$44.83	$45.00	36.1%	10.3%	28.3%	36.4%	38.6%	2.0%	0.2%	2.7M	-157.4M	-588.5K	1.21	19.01	N/A	N/A	3,034	3,676	78,872	45,938
2016-03-16	$46.23	$45.00	34.2%	9.8%	28.1%	30.3%	33.9%	1.9%	0.5%	4.1M	-182.8M	-581.9K	0.16	22.42	N/A	N/A	23,768	3,832	78,806	47,438
2016-03-17	$48.07	$45.00	35.5%	10.2%	29.1%	34.5%	35.9%	0.9%	1.0%	5.5M	-183.2M	-580.1K	0.18	23.87	N/A	N/A	24,404	4,302	68,006	47,734
2016-03-18	$46.80	$45.00	34.5%	9.9%	30.9%	31.4%	34.7%	0.5%	1.1%	2.8M	-141.3M	-570.5K	0.35	22.68	N/A	N/A	17,720	6,168	66,014	49,064
2016-03-21	$45.91	$45.00	33.6%	9.6%	31.8%	28.3%	34.4%	1.1%	1.5%	2.6M	-94.2M	-548.0K	1.26	15.38	N/A	N/A	2,610	3,296	52,960	19,832
2016-03-22	$46.33	$46.25	32.8%	9.4%	31.7%	25.8%	33.3%	1.2%	2.0%	2.8M	-99.7M	-548.3K	1.10	11.64	N/A	N/A	2,388	2,634	53,180	20,370
2016-03-23	$44.46	$46.25	33.8%	9.7%	35.0%	28.9%	34.6%	2.0%	1.9%	2.1M	-75.8M	-532.4K	0.88	13.91	N/A	N/A	4,450	3,902	53,270	20,800
2016-03-24	$44.98	$46.25	34.0%	9.8%	35.2%	29.7%	34.3%	1.7%	2.1%	2.2M	-80.7M	-549.6K	0.74	15.08	N/A	N/A	3,566	2,654	55,072	22,556
2016-03-28	$44.91	$46.25	34.5%	9.9%	35.0%	31.2%	35.4%	1.0%	1.2%	2.1M	-78.8M	-535.4K	0.99	18.01	N/A	N/A	4,054	4,014	55,354	22,732
2016-03-29	$46.43	$46.25	34.1%	9.8%	36.4%	29.8%	34.7%	1.7%	1.5%	2.7M	-99.2M	-565.2K	1.03	18.97	N/A	N/A	4,032	4,146	56,258	24,184
2016-03-30	$45.45	$45.00	34.6%	9.9%	34.6%	31.5%	35.1%	1.7%	1.4%	2.3M	-85.3M	-554.3K	0.52	15.40	N/A	N/A	3,862	2,022	56,566	24,554
2016-03-31	$45.56	$45.00	34.1%	9.8%	34.5%	29.8%	34.1%	1.6%	1.7%	2.4M	-88.2M	-556.8K	0.54	13.01	N/A	N/A	3,586	1,952	57,138	24,878