GOLD Options History — February 2009

In February 2009, GOLD traded between $21.18 and $25.04. ATM implied volatility averaged 66.7%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 2.9% (HV 20d: 69.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2009-02-17: Highest Volume — 24,274 contracts
  • 2009-02-17: Largest IV spike — 13.4% change
  • 2009-02-24: Highest IV Rank — 29.7%
  • 2009-02-24: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.22$21.18$25.04$21.18$22.74
Max Pain$21.97$20.00$22.50$20.00$22.50
ATM IV66.7%60.3%72.1%71.7%67.8%
Expected Move19.4%17.9%20.7%20.6%19.5%
HV 20d69.7%60.4%79.6%79.6%67.2%
HV 60d87.6%70.1%101.1%101.1%70.1%
IV Rank24.8%18.8%29.7%29.4%25.8%
IV Percentile60.2%55.6%65.9%65.5%59.1%
Term Structure1.9%-1.9%5.3%3.1%1.9%
VWIV68.2%63.9%72.3%71.1%70.1%
Skew 25d7.7%3.6%9.7%3.6%8.2%
Skew 10d15.8%7.1%19.5%7.1%18.4%
Call IV 25d64.2%59.7%69.2%69.2%63.7%
Put IV 25d71.9%67.6%76.7%72.8%71.9%
Bid-Ask Spread %13.576.6020.4714.7813.86
Gamma HHI0.200.150.270.150.16
Net GEX910.0K458.5K1.6M458.5K538.7K
Net DEX-33.6M-57.8M-16.1M-16.5M-20.7M
Net VEX-267.5K-309.8K-224.2K-224.2K-277.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.212.870.511.36
Total Volume6,1841,05024,2742,1824,780
Total OI82,302.21171,23298,10871,23283,794

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$21.18$20.0071.7%20.6%79.6%29.4%71.1%3.6%3.1%458.5K-16.5M-224.2K0.5114.78N/AN/A1,44274044,01227,220
2009-02-03$21.72$20.0066.9%19.2%77.3%24.9%69.3%4.7%3.9%546.6K-19.9M-231.6K0.7119.09N/AN/A61443644,74427,436
2009-02-04$22.07$20.0066.6%19.1%75.4%24.6%66.9%4.7%4.0%597.5K-22.6M-234.0K0.5420.16N/AN/A1,62487044,63427,636
2009-02-05$22.48$20.0065.1%18.7%72.9%23.2%67.6%5.5%5.3%723.4K-26.9M-239.3K0.3120.47N/AN/A2,38673445,54627,956
2009-02-06$23.30$22.5064.5%19.8%72.4%22.7%67.8%8.6%2.5%914.7K-35.6M-258.5K0.8014.94N/AN/A3,1702,54047,52427,726
2009-02-09$22.29$22.5061.4%19.2%72.4%19.8%66.4%9.2%2.5%772.8K-26.1M-242.3K1.2612.65N/AN/A2,6543,34449,35629,214
2009-02-10$22.04$22.5060.3%18.7%60.4%18.8%65.0%9.4%3.5%680.0K-22.9M-234.9K0.4615.49N/AN/A1,86485849,08028,968
2009-02-11$24.68$22.5061.0%18.1%67.9%19.4%65.4%8.5%3.1%1.3M-50.4M-268.0K0.8514.62N/AN/A8,8427,56050,23229,128
2009-02-12$24.48$22.5063.4%18.2%66.8%21.6%64.4%7.7%3.6%1.2M-48.5M-280.6K0.7414.24N/AN/A2,8622,11453,06833,234
2009-02-13$23.89$22.5062.4%17.9%67.3%20.8%63.9%7.5%4.0%1.1M-39.9M-272.3K0.4212.56N/AN/A2,03686252,73634,110
2009-02-17$25.04$22.5070.8%20.3%66.4%28.5%70.6%8.1%-1.4%1.2M-53.5M-277.4K0.2111.96N/AN/A19,9804,29452,52234,356
2009-02-18$24.73$22.5068.3%19.6%64.9%26.2%68.0%7.9%0.9%1.5M-52.1M-303.6K0.2213.03N/AN/A5,0581,12259,47836,186
2009-02-19$24.00$22.5067.5%19.3%65.8%25.4%68.1%8.1%1.7%1.4M-42.4M-298.5K0.4311.25N/AN/A2,3541,00461,70836,400
2009-02-20$25.04$22.5068.6%19.7%66.9%26.5%67.8%8.7%0.4%1.6M-57.8M-309.8K0.2811.57N/AN/A7,2602,01461,18236,332
2009-02-23$24.54$22.5069.9%20.0%65.1%27.7%69.5%9.7%-1.4%1.0M-41.4M-304.9K0.629.61N/AN/A1,6381,02253,08426,910
2009-02-24$22.73$22.5072.1%20.7%71.4%29.7%72.3%8.5%-1.4%730.8K-25.7M-275.8K0.776.60N/AN/A7,1245,47853,70627,116
2009-02-25$22.25$22.5071.7%20.6%71.9%29.4%69.8%9.2%-1.9%579.6K-19.7M-281.0K0.2410.66N/AN/A3,59888054,45829,784
2009-02-26$22.05$22.5068.2%19.6%71.8%26.1%72.0%8.2%1.5%470.7K-16.1M-268.2K2.8710.34N/AN/A6041,73452,99830,168
2009-02-27$22.74$22.5067.8%19.5%67.2%25.8%70.1%8.2%1.9%538.7K-20.7M-277.9K1.3613.86N/AN/A2,0262,75452,58031,214