GOLD Options History — May 2009

In May 2009, GOLD traded between $24.78 and $34.94. ATM implied volatility averaged 58.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 3.4% (HV 20d: 62.3%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-05-29: Highest Volume — 50,910 contracts
  • 2009-05-11: Largest IV spike — 12.4% change
  • 2009-05-04: Highest IV Rank — 26.9%
  • 2009-05-01: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.16$24.78$34.94$24.78$34.91
Max Pain$25.75$22.50$30.00$22.50$30.00
ATM IV58.9%53.0%69.0%62.9%57.0%
Expected Move16.7%15.9%18.0%18.0%16.3%
HV 20d62.3%49.2%73.9%73.9%50.0%
HV 60d66.0%63.8%67.9%67.7%64.3%
IV Rank17.5%12.0%26.9%21.2%15.7%
IV Percentile30.5%20.2%58.3%40.1%23.4%
Term Structure0.0%-2.1%1.6%-2.1%0.2%
VWIV58.2%53.5%63.2%63.2%57.0%
Skew 25d8.1%5.4%9.4%7.2%5.4%
Skew 10d15.7%10.3%18.5%17.6%10.3%
Call IV 25d54.3%51.3%59.0%59.0%54.9%
Put IV 25d62.4%59.0%66.7%66.2%60.3%
Bid-Ask Spread %9.206.4112.0611.6911.40
Gamma HHI0.180.120.250.120.22
Net GEX1.8M793.5K2.9M794.7K2.9M
Net DEX-123.9M-199.2M-50.2M-50.2M-199.2M
Net VEX-669.8K-981.3K-503.0K-516.9K-981.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.162.140.680.67
Total Volume13,354.92,04650,9102,04650,910
Total OI135,975.6112,902187,324114,112187,324

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$24.78$22.5062.9%18.0%73.9%21.2%63.2%7.2%-2.1%794.7K-50.2M-516.9K0.6811.69N/AN/A1,22082676,15037,962
2009-05-04$25.63$25.0069.0%17.8%69.0%26.9%61.6%9.1%-0.4%958.6K-60.5M-511.8K2.1410.06N/AN/A1,0522,25675,41037,492
2009-05-05$25.00$25.0067.5%17.9%65.2%25.5%60.0%9.3%-0.7%793.5K-51.0M-503.0K1.687.88N/AN/A8221,37875,44438,016
2009-05-06$26.34$25.0061.4%16.9%67.1%19.8%59.3%9.4%-0.3%991.0K-68.6M-518.5K1.2912.06N/AN/A2,0442,64275,26638,778
2009-05-07$26.77$25.0057.0%16.7%66.9%15.7%58.8%8.7%0.3%1.2M-76.8M-521.8K1.239.36N/AN/A3,5964,40675,93038,892
2009-05-08$29.02$25.0053.0%16.1%69.7%12.0%57.6%8.9%1.6%1.3M-105.3M-529.1K0.1610.36N/AN/A17,5722,88872,42640,784
2009-05-11$28.96$25.0059.6%16.5%69.8%18.1%58.5%8.5%0.7%1.8M-116.6M-592.4K0.6611.85N/AN/A3,4482,27286,31642,306
2009-05-12$29.91$25.0058.2%16.5%69.8%16.8%58.0%8.4%1.0%1.8M-130.5M-595.9K0.208.02N/AN/A10,7702,20485,58642,892
2009-05-13$28.59$25.0062.2%17.2%72.8%20.5%58.0%8.5%0.4%1.7M-109.8M-593.5K0.547.87N/AN/A3,3561,82687,92443,846
2009-05-14$30.23$25.0059.4%17.0%71.2%18.0%57.8%7.6%0.0%1.9M-138.8M-617.7K0.819.59N/AN/A11,4169,22488,70244,536
2009-05-15$29.77$25.0058.4%16.7%67.4%17.0%58.6%8.0%1.2%2.4M-126.0M-652.7K0.797.73N/AN/A6,0244,75093,81051,848
2009-05-18$30.09$25.0057.6%16.5%60.8%16.3%58.1%7.8%0.2%1.6M-105.9M-645.7K0.388.15N/AN/A5,8622,22481,03241,480
2009-05-19$31.32$25.0055.6%16.0%56.3%14.5%55.7%8.1%-0.1%1.9M-127.0M-666.3K0.418.80N/AN/A7,6863,12682,49242,288
2009-05-20$33.01$25.0057.0%16.3%57.6%15.7%56.2%6.8%-0.4%2.3M-158.1M-696.4K0.778.30N/AN/A14,28811,03887,41644,080
2009-05-21$33.23$27.5057.1%16.4%56.9%15.8%57.8%7.3%0.0%2.3M-159.0M-775.6K1.187.56N/AN/A9,32611,04095,03850,794
2009-05-22$33.37$27.5057.9%16.6%52.3%16.6%58.6%8.6%-0.6%2.3M-163.1M-863.6K1.858.63N/AN/A2,9705,502101,05057,500
2009-05-26$33.94$27.5056.5%16.2%50.6%15.2%60.8%9.4%-0.3%2.4M-172.6M-861.1K0.588.45N/AN/A4,6322,676102,19459,762
2009-05-27$33.33$27.5056.1%16.1%49.2%14.9%53.5%7.7%-0.0%2.4M-162.4M-859.7K0.769.91N/AN/A7,2165,516105,05860,822
2009-05-28$34.94$27.5055.3%15.9%50.3%14.2%54.8%7.1%0.0%2.7M-197.1M-893.9K0.676.41N/AN/A16,22210,872107,89462,972
2009-05-29$34.91$30.0057.0%16.3%50.0%15.7%57.0%5.4%0.2%2.9M-199.2M-981.3K0.6711.40N/AN/A30,39820,512117,88669,438