GOLD Options History — January 2009

In January 2009, GOLD traded between $18.38 and $22.88. ATM implied volatility averaged 76.1%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 1.9% (HV 20d: 74.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2009-01-12: Highest Volume — 12,852 contracts
  • 2009-01-12: Largest IV spike — 25.6% change
  • 2009-01-12: Highest IV Rank — 47.6%
  • 2009-01-12: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.76$18.38$22.88$21.63$22.23
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV76.1%67.7%91.3%70.3%67.7%
Expected Move21.9%19.4%23.7%20.1%19.4%
HV 20d74.2%63.1%82.2%63.1%77.9%
HV 60d116.3%102.5%131.1%131.1%103.6%
IV Rank33.5%25.7%47.6%28.0%25.7%
IV Percentile72.4%61.9%81.7%71.0%61.9%
Term Structure1.0%-0.9%3.2%3.2%2.9%
VWIV76.1%68.0%82.8%71.7%68.6%
Skew 25d7.2%2.3%11.3%7.2%2.3%
Skew 10d10.2%6.0%13.6%12.6%6.0%
Call IV 25d72.6%65.6%78.6%67.7%67.2%
Put IV 25d79.8%69.5%85.1%74.9%69.5%
Bid-Ask Spread %8.115.6311.886.3811.88
Gamma HHI0.150.120.180.170.16
Net GEX446.9K173.0K681.9K619.5K621.8K
Net DEX-17.4M-27.5M-3.4M-25.1M-24.4M
Net VEX-208.8K-243.0K-162.4K-212.8K-239.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.132.180.650.37
Total Volume3,8321,14812,8522,0944,230
Total OI69,888.756,10479,65068,24870,162

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$21.63$20.0070.3%20.1%63.1%28.0%71.7%7.2%3.2%619.5K-25.1M-212.8K0.656.38N/AN/A1,27282245,71622,532
2009-01-05$20.43$20.0078.5%22.6%67.9%35.7%77.1%10.2%-0.5%468.0K-16.6M-192.4K1.036.12N/AN/A1,4641,50446,58622,896
2009-01-06$21.50$20.0071.9%21.1%69.0%29.5%75.2%11.3%1.3%612.0K-23.1M-205.0K0.705.63N/AN/A82657846,66622,942
2009-01-07$20.40$20.0076.3%22.3%70.6%33.6%74.9%10.3%0.2%467.5K-16.2M-187.4K0.357.15N/AN/A3,1941,10646,63023,164
2009-01-08$21.32$20.0071.1%21.5%71.3%28.8%76.7%10.7%1.0%639.7K-24.0M-207.3K1.235.73N/AN/A1,6742,05648,92023,602
2009-01-09$20.41$20.0072.7%22.0%68.7%30.3%77.9%9.8%1.7%449.7K-16.2M-196.4K1.436.28N/AN/A47267648,49824,938
2009-01-12$18.38$20.0091.3%23.7%78.2%47.6%80.0%5.5%0.8%173.0K-3.4M-162.4K0.6610.52N/AN/A7,7385,11448,59024,910
2009-01-13$19.68$20.0078.3%22.7%82.0%35.5%78.0%7.5%0.7%362.8K-14.0M-214.5K0.567.68N/AN/A2,6301,47052,21627,434
2009-01-14$19.14$20.0081.3%23.2%79.5%38.3%81.3%6.9%-0.1%268.8K-8.7M-187.9K0.428.46N/AN/A1,87479450,11227,976
2009-01-15$19.89$20.0080.9%23.2%79.5%37.9%81.7%6.8%1.2%357.0K-13.7M-195.3K0.596.76N/AN/A1,8101,06850,38428,114
2009-01-16$21.05$20.0077.9%22.3%82.2%35.1%77.1%9.1%1.4%426.2K-23.9M-210.2K1.606.24N/AN/A1,1021,76850,58028,358
2009-01-20$20.30$20.0082.4%23.6%77.7%39.3%82.8%6.5%-0.6%362.8K-14.0M-198.0K1.617.80N/AN/A3,1545,09036,92819,176
2009-01-21$20.01$20.0078.5%22.5%72.9%35.7%79.9%5.9%2.0%299.8K-10.8M-200.1K2.188.41N/AN/A1,4683,19638,51022,646
2009-01-22$20.25$20.0079.2%22.7%71.5%36.3%77.6%5.9%0.9%290.8K-11.5M-210.7K0.319.47N/AN/A1,80856238,77624,918
2009-01-23$21.51$20.0075.9%21.8%73.8%33.3%75.4%6.6%0.8%417.2K-18.0M-226.5K0.136.74N/AN/A4,18855639,35425,004
2009-01-26$21.46$20.0075.5%21.6%73.6%32.9%75.1%5.7%0.6%466.4K-19.9M-231.8K0.287.64N/AN/A2,11858841,35425,118
2009-01-27$21.50$20.0072.1%20.7%73.3%29.8%70.0%6.4%0.6%495.1K-19.8M-231.5K0.759.63N/AN/A1,8581,39242,27425,304
2009-01-28$21.20$20.0073.0%20.9%73.2%30.6%72.4%6.2%-0.9%458.3K-16.4M-223.0K0.6111.80N/AN/A1,41085842,23225,582
2009-01-29$22.88$20.0067.8%19.4%77.8%25.8%68.0%4.0%2.0%681.9K-27.5M-243.0K0.7611.77N/AN/A1,7961,35642,75425,918
2009-01-30$22.23$20.0067.7%19.4%77.9%25.7%68.6%2.3%2.9%621.8K-24.4M-239.8K0.3711.88N/AN/A3,0821,14843,53026,632