GOLD Options History — August 2016

In August 2016, GOLD traded between $46.86 and $59.92. ATM implied volatility averaged 35.8%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 2.9% (HV 20d: 32.9%). Max pain ranged from $43.75 to $52.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 2.02.

Notable Days

2016-08-04: Highest Volume — 19,958 contracts
2016-08-24: Largest IV spike — 13.4% change
2016-08-03: Highest IV Rank — 42.0%
2016-08-03: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.81	$46.86	$59.92	$59.34	$46.86
Max Pain	$47.28	$43.75	$52.50	$52.50	$47.50
ATM IV	35.8%	32.4%	42.4%	41.5%	37.6%
Expected Move	10.3%	9.3%	12.1%	11.9%	10.8%
HV 20d	32.9%	27.6%	39.7%	39.7%	33.2%
HV 60d	42.7%	39.9%	44.8%	44.8%	41.3%
IV Rank	13.9%	0.0%	42.0%	38.4%	22.8%
IV Percentile	20.2%	0.0%	82.1%	73.8%	37.3%
Term Structure	0.4%	-3.4%	3.5%	-2.6%	-1.6%
VWIV	36.7%	33.7%	43.5%	42.2%	38.0%
Skew 25d	1.4%	0.4%	2.5%	0.8%	2.5%
Skew 10d	2.3%	0.6%	4.0%	0.7%	2.0%
Call IV 25d	36.0%	32.8%	42.7%	41.9%	37.2%
Put IV 25d	37.4%	33.7%	43.6%	42.6%	39.6%
Bid-Ask Spread %	28.02	16.92	47.72	16.92	27.57
Gamma HHI	0.16	0.13	0.19	0.17	0.16
Net GEX	3.5M	1.9M	4.8M	4.8M	1.9M
Net DEX	-146.8M	-273.1M	-5.7M	-263.2M	-5.7M
Net VEX	-580.5K	-664.2K	-501.0K	-637.7K	-507.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.02	0.67	3.27	2.50	1.87
Total Volume	12,986.087	2,606	19,958	12,572	12,310
Total OI	116,337.652	97,830	123,100	113,804	116,800

Daily Data (23 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
2016-08-01	$59.34	$52.50	41.5%	11.9%	39.7%	38.4%	42.2%	0.8%	-2.6%	4.8M	-263.2M	-637.7K	2.50	16.92	N/A	N/A	3,588	8,984	70,642	43,162
2016-08-02	$59.92	$52.50	42.1%	12.1%	37.3%	40.9%	42.4%	0.9%	-2.7%	4.8M	-273.1M	-625.7K	2.30	19.28	N/A	N/A	4,186	9,628	70,672	43,858
2016-08-03	$59.42	$52.50	42.4%	12.1%	36.4%	42.0%	43.5%	0.6%	-3.4%	4.8M	-263.7M	-628.9K	2.35	47.72	N/A	N/A	3,778	8,864	70,858	44,994
2016-08-04	$56.63	$43.75	37.2%	10.7%	36.2%	19.2%	38.9%	0.4%	0.3%	4.3M	-206.3M	-644.5K	2.80	34.31	N/A	N/A	5,258	14,700	71,024	45,514
2016-08-05	$54.66	$45.00	34.3%	10.3%	36.2%	6.3%	36.1%	1.3%	1.4%	3.1M	-161.9M	-664.2K	1.72	29.53	N/A	N/A	6,714	11,516	71,658	49,648
2016-08-08	$54.67	$45.00	35.7%	10.3%	35.8%	12.7%	36.1%	0.9%	1.2%	3.1M	-163.8M	-644.0K	2.19	25.93	N/A	N/A	4,858	10,634	72,290	50,084
2016-08-09	$55.23	$45.00	34.6%	10.3%	33.4%	7.7%	36.3%	1.8%	0.9%	3.3M	-174.4M	-634.5K	2.35	27.05	N/A	N/A	4,076	9,582	72,718	49,988
2016-08-10	$55.56	$46.25	35.6%	10.2%	32.7%	12.4%	36.1%	1.1%	1.1%	3.7M	-186.0M	-613.0K	2.20	28.13	N/A	N/A	4,366	9,624	72,566	50,110
2016-08-11	$55.31	$46.25	35.0%	10.0%	32.5%	9.7%	35.1%	1.7%	1.4%	3.4M	-177.3M	-602.5K	2.56	25.85	N/A	N/A	4,126	10,566	72,566	50,510
2016-08-12	$54.54	$46.25	34.8%	10.0%	32.5%	8.7%	35.5%	1.5%	1.5%	2.9M	-162.3M	-601.6K	2.22	28.15	N/A	N/A	4,278	9,512	72,766	49,796
2016-08-15	$54.62	$46.25	34.3%	9.8%	32.2%	6.3%	34.7%	1.2%	1.7%	3.0M	-164.4M	-570.0K	2.52	27.95	N/A	N/A	4,004	10,074	72,858	49,962
2016-08-16	$55.57	$46.25	33.9%	9.7%	33.0%	4.6%	34.3%	1.5%	2.4%	3.7M	-186.6M	-553.8K	1.93	31.70	N/A	N/A	4,754	9,184	72,992	49,842
2016-08-17	$54.66	$46.25	34.2%	9.8%	30.9%	5.9%	34.7%	1.6%	2.3%	3.3M	-166.0M	-560.3K	0.93	35.63	N/A	N/A	1,352	1,254	73,292	49,808
2016-08-18	$55.06	$46.25	32.7%	9.4%	29.9%	0.0%	34.3%	0.9%	3.1%	3.4M	-177.0M	-542.6K	1.23	36.15	N/A	N/A	1,504	1,852	73,730	49,098
2016-08-19	$54.26	$47.50	32.5%	9.3%	30.1%	0.0%	34.3%	1.2%	3.5%	4.4M	-156.6M	-540.0K	2.36	32.75	N/A	N/A	4,718	11,156	73,306	49,724
2016-08-22	$52.99	$47.50	33.4%	9.6%	28.6%	4.0%	35.8%	2.1%	2.0%	4.2M	-123.4M	-528.3K	3.27	26.80	N/A	N/A	3,134	10,252	58,646	39,184
2016-08-23	$52.42	$47.50	32.4%	9.3%	27.6%	0.0%	33.7%	0.9%	1.8%	4.1M	-116.6M	-522.9K	2.05	25.73	N/A	N/A	4,592	9,432	59,266	40,680
2016-08-24	$49.63	$47.50	36.7%	10.5%	31.8%	18.8%	37.1%	1.4%	-0.6%	3.1M	-57.2M	-552.6K	1.10	17.57	N/A	N/A	2,960	3,242	63,270	41,318
2016-08-25	$49.84	$47.50	36.5%	10.5%	31.6%	17.9%	36.6%	1.9%	-1.5%	3.2M	-58.8M	-556.9K	0.67	20.08	N/A	N/A	10,608	7,110	64,334	43,216
2016-08-26	$49.59	$47.50	35.0%	10.0%	30.9%	11.5%	35.2%	1.7%	0.3%	3.6M	-64.0M	-570.6K	1.66	25.32	N/A	N/A	3,852	6,400	68,490	43,760
2016-08-29	$49.59	$47.50	34.1%	9.8%	30.5%	7.4%	34.3%	2.1%	0.1%	3.5M	-58.0M	-549.9K	1.72	29.74	N/A	N/A	3,404	5,840	69,272	44,046
2016-08-30	$47.11	$47.50	37.7%	10.8%	33.1%	22.9%	37.7%	2.2%	-2.4%	2.0M	-10.1M	-501.0K	1.89	24.60	N/A	N/A	5,836	11,018	69,306	44,142
2016-08-31	$46.86	$47.50	37.6%	10.8%	33.2%	22.8%	38.0%	2.5%	-1.6%	1.9M	-5.7M	-507.2K	1.87	27.57	N/A	N/A	4,282	8,028	71,262	45,538