GOLD Options History — June 2016

In June 2016, GOLD traded between $42.29 and $55.95. ATM implied volatility averaged 38.3%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 7.6% (HV 20d: 45.9%). Max pain ranged from $41.25 to $47.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.28.

Notable Days

2016-06-27: Highest Volume — 26,734 contracts
2016-06-24: Largest IV spike — 7.1% change
2016-06-27: Highest IV Rank — 57.0%
2016-06-27: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.10	$42.29	$55.95	$42.29	$55.95
Max Pain	$45.34	$41.25	$47.50	$41.25	$47.50
ATM IV	38.3%	34.9%	42.5%	35.9%	38.6%
Expected Move	11.0%	10.1%	12.2%	10.3%	11.1%
HV 20d	45.9%	41.1%	57.6%	57.6%	47.7%
HV 60d	48.5%	45.6%	50.4%	45.8%	50.4%
IV Rank	42.8%	32.6%	57.0%	35.8%	36.9%
IV Percentile	47.1%	19.8%	83.7%	25.4%	47.2%
Term Structure	0.6%	-0.9%	1.8%	-0.0%	1.8%
VWIV	38.9%	35.2%	43.0%	36.6%	39.6%
Skew 25d	1.7%	-0.1%	2.9%	2.0%	0.2%
Skew 10d	3.7%	0.9%	7.1%	3.8%	1.7%
Call IV 25d	38.0%	34.5%	43.1%	36.0%	39.4%
Put IV 25d	39.7%	36.8%	42.9%	38.0%	39.6%
Bid-Ask Spread %	31.82	21.71	59.00	27.39	26.32
Gamma HHI	0.15	0.11	0.33	0.11	0.17
Net GEX	4.3M	1.0M	6.3M	1.0M	5.5M
Net DEX	-133.7M	-247.1M	-35.0M	-35.0M	-247.1M
Net VEX	-692.7K	-760.4K	-599.2K	-607.5K	-736.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.69	2.88	1.14	1.25
Total Volume	13,816.273	9,216	26,734	9,896	19,466
Total OI	126,722.545	92,230	150,406	137,532	109,682

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
2016-06-01	$42.29	$41.25	35.9%	10.3%	57.6%	35.8%	36.6%	2.0%	-0.0%	1.0M	-35.0M	-607.5K	1.14	27.39	N/A	N/A	4,634	5,262	92,870	44,662
2016-06-02	$42.43	$43.75	34.9%	10.1%	42.3%	32.6%	35.2%	2.9%	0.6%	1.0M	-37.6M	-599.2K	1.29	32.13	N/A	N/A	4,024	5,192	93,110	44,978
2016-06-03	$46.08	$43.75	36.3%	10.1%	51.2%	37.1%	36.4%	1.9%	1.2%	4.1M	-115.4M	-679.5K	0.98	23.07	N/A	N/A	7,598	7,428	93,140	45,178
2016-06-06	$46.06	$43.75	36.6%	10.2%	47.4%	38.2%	36.1%	2.3%	1.0%	4.2M	-116.4M	-672.1K	1.07	28.53	N/A	N/A	4,800	5,114	94,400	46,316
2016-06-07	$45.40	$43.75	35.4%	10.1%	44.1%	34.2%	35.9%	2.1%	1.3%	3.7M	-102.4M	-643.2K	0.82	28.09	N/A	N/A	6,632	5,462	94,680	46,296
2016-06-08	$47.47	$43.75	35.9%	10.3%	46.0%	35.7%	36.7%	2.0%	1.4%	5.7M	-150.7M	-694.2K	1.18	27.70	N/A	N/A	5,374	6,334	96,204	46,738
2016-06-09	$48.12	$45.00	37.0%	10.6%	45.3%	39.3%	36.8%	2.5%	1.2%	6.2M	-164.7M	-718.3K	0.80	21.71	N/A	N/A	9,002	7,176	96,870	47,894
2016-06-10	$47.34	$45.00	37.5%	10.8%	45.5%	41.1%	38.5%	1.8%	1.3%	5.1M	-143.9M	-707.8K	0.82	23.58	N/A	N/A	6,664	5,454	96,360	48,770
2016-06-13	$47.45	$45.00	39.7%	11.4%	45.4%	48.2%	41.0%	2.4%	0.0%	5.2M	-146.6M	-692.6K	1.16	36.01	N/A	N/A	5,212	6,030	96,458	49,228
2016-06-14	$46.26	$45.00	40.5%	11.6%	45.5%	50.8%	40.5%	2.5%	-0.0%	4.0M	-119.1M	-674.0K	1.02	26.58	N/A	N/A	6,714	6,860	97,624	50,140
2016-06-15	$47.85	$45.00	39.8%	11.4%	47.0%	48.6%	39.9%	1.9%	-0.4%	5.9M	-157.1M	-704.4K	0.69	32.07	N/A	N/A	8,514	5,866	99,284	50,134
2016-06-16	$47.27	$45.00	39.6%	11.3%	43.9%	47.9%	39.8%	1.9%	0.4%	5.1M	-140.8M	-678.8K	0.77	29.65	N/A	N/A	7,790	6,002	99,098	50,366
2016-06-17	$47.48	$46.25	39.8%	11.4%	43.9%	48.6%	39.6%	2.0%	0.3%	6.3M	-144.3M	-680.9K	0.98	37.58	N/A	N/A	5,790	5,686	99,612	50,794
2016-06-20	$47.87	$46.25	38.6%	11.1%	43.8%	44.5%	39.2%	1.2%	0.2%	3.5M	-100.8M	-681.5K	2.88	37.73	N/A	N/A	2,738	7,884	64,666	27,564
2016-06-21	$47.08	$46.25	38.1%	10.9%	44.0%	43.0%	39.0%	2.3%	0.4%	3.1M	-88.6M	-679.4K	1.51	26.57	N/A	N/A	4,732	7,140	65,396	31,006
2016-06-22	$47.70	$46.25	38.8%	11.1%	41.1%	45.2%	39.7%	1.7%	-0.9%	3.6M	-100.2M	-697.8K	1.62	38.71	N/A	N/A	4,930	8,002	67,698	31,580
2016-06-23	$47.43	$46.25	37.6%	10.8%	41.1%	41.5%	39.1%	1.4%	0.9%	3.4M	-97.3M	-694.7K	1.70	59.00	N/A	N/A	4,638	7,868	67,968	32,938
2016-06-24	$50.72	$46.25	40.3%	11.6%	46.6%	50.3%	40.9%	1.7%	-0.1%	4.4M	-152.6M	-742.0K	1.00	31.74	N/A	N/A	11,400	11,446	68,010	34,638
2016-06-27	$53.34	$47.50	42.5%	12.2%	46.4%	57.0%	43.0%	-0.1%	0.2%	4.5M	-193.2M	-746.7K	0.78	31.52	N/A	N/A	15,050	11,684	66,282	35,576
2016-06-28	$52.75	$47.50	40.7%	11.7%	47.2%	45.6%	42.3%	-0.1%	1.3%	4.7M	-183.2M	-760.4K	2.78	36.88	N/A	N/A	3,388	9,428	68,798	37,750
2016-06-29	$53.92	$47.50	39.4%	11.3%	47.0%	40.6%	40.3%	0.7%	1.5%	5.0M	-204.3M	-748.2K	1.85	37.46	N/A	N/A	4,752	8,798	69,144	37,996
2016-06-30	$55.95	$47.50	38.6%	11.1%	47.7%	36.9%	39.6%	0.2%	1.8%	5.5M	-247.1M	-736.1K	1.25	26.32	N/A	N/A	8,670	10,796	71,130	38,552