Ari Pine

Derivatives Research & Trading

29 May 2011 Gold Options Weekly Chartbook

ATM Volatility Realized Volatility

24.0%
60.0%
22.0%

50.0%
20.0%
20 Day Realized
Implied Volatility

100 Day Realized

18.0%
40.0%

16.0% 5/27/2011
5/20/2011 30.0%
14.0%

12.0% 20.0%

10.0%
0 100 200 300 400 500 600 700 800 10.0%
Days Till Expiration

Average Change In Implied Volatility by Strike 0.0%

1/2/2009

3/2/2009

5/2/2009

7/2/2009

9/2/2009

11/2/2009

1/2/2010

3/2/2010

5/2/2010

7/2/2010

9/2/2010

11/2/2010

1/2/2011

3/2/2011

5/2/2011
0.10%

0.00%
31 60 123 179 244 305 363 550
-0.10%
One Standard Deviation Volatility Cone
-0.20% Data: 1/1/2005 - Present
30.0%
Change (Vega)

-0.30%

-0.40%
25.0%
-0.50%

-0.60%
20.0%
-0.70%

-0.80% 15.0%
Mean
-0.90% upper
Days Till Expiration lower
10.0%
Im plieds
60 day fwd implied
Weekly Average Daily
5.0%
Hi Low Range Range Move Vol 0 50 100 150 200 250 300

1539.5 1503.7 35.8 19.5 7.1 8.3% 30 Day ATM Implied Volatility
30.0%

25.0%
Chartbook
20.0%
Implied Volatility

Skew and Kurtosis

7

15.0%
6

5
10.0%
Diff in Implied Vol

4
5.0%
25 Delta Risk Reversal (C-P)
10 Delta Butterfly
3
0.0%
1/4/10

2/4/10

3/4/10

4/4/10

5/4/10

6/4/10

7/4/10

8/4/10

9/4/10

10/4/10

11/4/10

12/4/10

1/4/11

2/4/11

3/4/11

4/4/11

5/4/11

0
0.08490 0.16440 0.33700 0.49040 0.66850 0.83560 0.99450 1.50680 2.00550
Time to Expiry (Years)

This report expresses the opinions of the author and is provided for informational purposes only. There is a risk in trading commodities, equities, futures and
options. Past performance is not necessarily indicative of future results. Refer to important legal notices at the end of this document.
Ari Pine
Derivatives Research & Trading

29 May 2011 Gold Options Weekly Chartbook

Realized Skew: Rolling 45 Trading Day Measure

2

1.5

0.5
Skew

0
1/2/2008

3/2/2008

5/2/2008

7/2/2008

9/2/2008

11/2/2008

1/2/2009
3/2/2009
5/2/2009

7/2/2009

9/2/2009

11/2/2009

1/2/2010
3/2/2010

5/2/2010
7/2/2010

9/2/2010
11/2/2010

1/2/2011
3/2/2011

5/2/2011
-0.5

-1

-1.5

-2

Realized Excess Kurtosis: 45 Trading Day Rolling Measure

10

6
Excess Kurtosis

0
1/2/2008
3/2/2008

5/2/2008
7/2/2008

9/2/2008
11/2/2008
1/2/2009
3/2/2009
5/2/2009

7/2/2009

9/2/2009
11/2/2009
1/2/2010

3/2/2010
5/2/2010

7/2/2010
9/2/2010

11/2/2010
1/2/2011
3/2/2011
5/2/2011

-2

Gold Silver Ratio

(Spot Month Futures)
90

80

70

60

50

40

30
1/3/2006
4/3/2006
7/3/2006
10/3/2006
1/3/2007
4/3/2007
7/3/2007
10/3/2007
1/3/2008
4/3/2008
7/3/2008
10/3/2008
1/3/2009
4/3/2009
7/3/2009
10/3/2009
1/3/2010
4/3/2010
7/3/2010
10/3/2010
1/3/2011
4/3/2011

Contact Info:

Ari Pine
(516) 690-1904
ari@pinert.com

This report expresses the opinions of the author and is provided for informational purposes only. There is a risk in trading commodities, equities, futures and
options. Past performance is not necessarily indicative of future results. Refer to important legal notices at the end of this document.
Ari Pine
Derivatives Research & Trading

29 May 2011 Gold Options Weekly Chartbook

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positions consistent with or against what may be written
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not be construed as an offer to sell, buy or trade any
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kind, resulting from whatever cause through the use of
any information obtained either directly or indirectly from
this report.

This report expresses the opinions of the author and is provided for informational purposes only. There is a risk in trading commodities, equities, futures and
options. Past performance is not necessarily indicative of future results. Refer to important legal notices at the end of this document.