GOLD Options History — April 2016

In April 2016, GOLD traded between $44.08 and $50.16. ATM implied volatility averaged 36.6%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.2% (HV 20d: 36.9%). Max pain ranged from $45.00 to $48.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.33.

Notable Days

2016-04-29: Highest Volume — 14,396 contracts
2016-04-11: Largest IV spike — 12.7% change
2016-04-29: Highest IV Rank — 49.6%
2016-04-29: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.74	$44.08	$50.16	$45.24	$50.16
Max Pain	$47.20	$45.00	$48.75	$45.00	$47.50
ATM IV	36.6%	32.9%	40.1%	32.9%	40.1%
Expected Move	10.5%	9.4%	11.5%	9.4%	11.5%
HV 20d	36.9%	34.3%	40.5%	34.3%	40.5%
HV 60d	39.6%	38.3%	40.8%	39.7%	40.7%
IV Rank	38.3%	25.8%	49.6%	25.8%	49.6%
IV Percentile	40.4%	20.6%	67.5%	20.6%	67.5%
Term Structure	-0.6%	-1.6%	2.5%	2.5%	-0.8%
VWIV	37.6%	32.9%	40.5%	32.9%	40.5%
Skew 25d	1.4%	0.6%	2.1%	1.6%	0.6%
Skew 10d	2.6%	1.6%	3.9%	3.9%	2.2%
Call IV 25d	36.5%	32.5%	40.8%	32.5%	40.8%
Put IV 25d	38.0%	34.1%	41.4%	34.1%	41.4%
Bid-Ask Spread %	14.72	12.03	17.52	14.48	17.40
Gamma HHI	0.15	0.12	0.19	0.13	0.18
Net GEX	2.8M	1.7M	4.3M	2.2M	4.3M
Net DEX	-100.7M	-152.0M	-66.8M	-82.0M	-152.0M
Net VEX	-570.8K	-630.6K	-522.3K	-542.9K	-630.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.35	2.83	0.38	0.35
Total Volume	9,152	5,472	14,396	5,472	14,396
Total OI	90,811.81	82,646	102,336	82,646	102,336

Daily Data (21 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
2016-04-01	$45.24	$45.00	32.9%	9.4%	34.3%	25.8%	32.9%	1.6%	2.5%	2.2M	-82.0M	-542.9K	0.38	14.48	N/A	N/A	3,958	1,514	57,638	25,008
2016-04-04	$44.08	$46.25	35.3%	10.4%	35.2%	33.8%	36.8%	2.1%	-1.1%	1.8M	-66.8M	-522.3K	1.05	13.53	N/A	N/A	3,482	3,670	58,060	25,100
2016-04-05	$45.10	$46.25	35.4%	10.3%	36.3%	34.3%	36.4%	1.9%	-0.3%	2.2M	-80.2M	-549.3K	1.13	15.68	N/A	N/A	3,026	3,420	58,496	27,252
2016-04-06	$45.09	$46.25	35.6%	10.5%	35.2%	34.8%	36.6%	1.4%	-0.9%	2.2M	-79.5M	-549.0K	0.64	17.52	N/A	N/A	4,702	3,004	58,708	27,422
2016-04-07	$46.10	$46.25	36.3%	10.6%	35.9%	37.2%	37.3%	1.8%	-0.3%	2.7M	-98.7M	-561.7K	0.42	15.56	N/A	N/A	8,432	3,550	58,360	27,774
2016-04-08	$47.00	$47.50	34.6%	10.5%	35.7%	31.5%	36.9%	1.8%	-0.1%	3.3M	-121.6M	-591.5K	1.38	15.37	N/A	N/A	5,726	7,922	60,982	28,364
2016-04-11	$48.18	$47.50	39.0%	10.7%	35.8%	45.9%	38.1%	1.6%	-0.2%	3.7M	-129.6M	-592.8K	1.01	14.86	N/A	N/A	3,638	3,690	60,426	31,996
2016-04-12	$48.95	$47.50	38.6%	10.6%	35.7%	44.7%	37.7%	1.6%	-0.2%	4.1M	-143.0M	-589.4K	0.84	14.23	N/A	N/A	5,352	4,496	60,602	32,662
2016-04-13	$47.23	$47.50	36.7%	10.5%	38.5%	38.5%	37.3%	1.4%	-0.2%	2.9M	-111.5M	-577.5K	1.34	15.52	N/A	N/A	2,790	3,746	60,216	32,540
2016-04-14	$46.01	$47.50	35.6%	10.2%	38.3%	34.9%	37.0%	1.6%	-0.3%	1.7M	-87.2M	-548.8K	1.99	16.07	N/A	N/A	3,170	6,316	60,636	32,864
2016-04-15	$47.20	$47.50	35.6%	10.2%	36.7%	34.9%	36.9%	1.2%	-0.2%	2.9M	-110.2M	-574.9K	1.43	12.62	N/A	N/A	3,426	4,894	61,350	35,282
2016-04-18	$46.46	$47.50	36.0%	10.3%	35.9%	36.2%	37.4%	1.5%	-0.5%	2.6M	-92.3M	-552.2K	2.71	15.42	N/A	N/A	1,924	5,216	57,502	27,044
2016-04-19	$48.28	$47.50	36.2%	10.4%	37.7%	36.8%	36.3%	1.3%	-0.7%	3.3M	-117.1M	-571.5K	1.11	13.87	N/A	N/A	3,392	3,760	57,648	28,086
2016-04-20	$46.42	$48.75	37.0%	10.6%	40.4%	39.4%	38.0%	1.6%	-1.4%	2.6M	-90.4M	-563.8K	1.80	13.60	N/A	N/A	2,744	4,938	58,456	28,444
2016-04-21	$47.04	$47.50	37.2%	10.7%	37.5%	40.2%	38.2%	0.8%	-1.4%	2.8M	-98.7M	-563.4K	1.24	12.28	N/A	N/A	4,496	5,572	58,972	29,238
2016-04-22	$46.66	$47.50	36.9%	10.6%	37.6%	39.1%	37.9%	0.8%	-1.6%	2.8M	-95.4M	-572.7K	1.82	12.03	N/A	N/A	3,522	6,412	60,562	31,204
2016-04-25	$45.74	$47.50	37.5%	10.7%	38.3%	41.0%	39.2%	1.1%	-1.6%	2.2M	-79.2M	-552.8K	2.83	14.34	N/A	N/A	2,354	6,650	60,170	32,060
2016-04-26	$46.26	$47.50	37.8%	10.8%	36.6%	42.0%	39.1%	1.4%	-1.4%	2.3M	-83.7M	-587.2K	2.83	14.64	N/A	N/A	2,130	6,034	60,450	35,022
2016-04-27	$46.69	$47.50	37.7%	10.8%	35.9%	41.7%	39.4%	1.9%	-1.6%	2.5M	-89.6M	-589.9K	0.87	16.91	N/A	N/A	6,864	5,952	60,510	36,076
2016-04-28	$47.55	$47.50	37.6%	10.8%	36.4%	41.3%	38.6%	0.8%	-1.0%	3.1M	-106.3M	-602.2K	0.71	13.21	N/A	N/A	6,964	4,948	64,630	36,900
2016-04-29	$50.16	$47.50	40.1%	11.5%	40.5%	49.6%	40.5%	0.6%	-0.8%	4.3M	-152.0M	-630.6K	0.35	17.40	N/A	N/A	10,628	3,768	64,722	37,614