GOLD Options History — August 2009

In August 2009, GOLD traded between $27.95 and $32.49. ATM implied volatility averaged 45.3%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 0.4% (HV 20d: 44.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2009-08-03: Highest Volume — 11,114 contracts
  • 2009-08-17: Largest IV spike — 7.7% change
  • 2009-08-17: Highest IV Rank — 6.7%
  • 2009-08-17: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.42$27.95$32.49$32.49$29.41
Max Pain$26.31$25.00$30.00$30.00$27.50
ATM IV45.3%40.4%49.5%44.4%42.6%
Expected Move13.1%11.6%14.2%12.7%12.2%
HV 20d44.9%33.5%48.0%47.5%33.5%
HV 60d49.6%45.8%53.9%53.9%45.8%
IV Rank2.9%0.0%6.7%1.8%2.1%
IV Percentile4.0%0.0%11.5%1.2%1.6%
Term Structure3.6%1.3%6.8%1.3%3.7%
VWIV45.4%42.2%48.7%44.5%43.4%
Skew 25d3.4%1.9%4.3%2.6%2.9%
Skew 10d6.3%4.8%7.6%5.8%6.9%
Call IV 25d44.2%40.0%47.5%43.1%42.0%
Put IV 25d47.6%43.1%51.7%45.7%45.0%
Bid-Ask Spread %8.844.8914.1010.844.89
Gamma HHI0.130.120.170.140.13
Net GEX981.1K250.0K2.1M2.1M1.2M
Net DEX-46.8M-114.4M-9.3M-114.4M-56.3M
Net VEX-690.5K-831.2K-615.5K-831.2K-633.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.082.380.331.70
Total Volume5,067.5241,94611,11411,1143,732
Total OI180,961.714163,944190,752178,710173,768

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$32.49$30.0044.4%12.7%47.5%1.8%44.5%2.6%1.3%2.1M-114.4M-831.2K0.3310.84N/AN/A8,3662,748114,63864,072
2009-08-04$32.05$30.0044.5%12.8%47.8%1.9%44.9%1.9%2.0%1.9M-103.8M-828.5K0.8011.31N/AN/A1,8681,502116,39264,628
2009-08-05$31.05$30.0045.7%13.1%46.0%3.1%45.3%2.9%1.8%1.5M-79.7M-797.2K0.4013.22N/AN/A4,6121,856116,68465,304
2009-08-06$30.61$30.0044.9%12.9%46.2%2.3%43.7%4.1%2.3%1.3M-67.1M-774.0K0.1614.10N/AN/A8,5881,344115,88065,460
2009-08-07$29.96$25.0044.3%13.6%46.9%1.7%47.1%3.7%3.9%1.1M-54.4M-753.3K0.156.37N/AN/A5,798862116,78665,834
2009-08-10$29.04$25.0046.9%13.7%47.6%4.3%48.7%3.4%3.5%669.7K-30.9M-708.0K0.2111.06N/AN/A8,8741,858115,45466,292
2009-08-11$28.77$25.0046.5%13.5%47.0%3.9%47.8%3.2%4.0%957.7K-32.8M-707.1K0.337.38N/AN/A2,692896121,46266,248
2009-08-12$29.00$25.0045.5%13.4%45.3%2.9%47.1%3.6%4.4%833.8K-35.6M-703.0K0.847.92N/AN/A2,6022,182119,35866,534
2009-08-13$30.13$25.0045.8%13.1%47.7%3.2%46.2%3.6%5.0%1.3M-62.8M-733.8K1.216.53N/AN/A2,4762,988120,15467,124
2009-08-14$29.25$25.0046.0%13.2%48.0%3.3%45.6%3.9%4.7%666.4K-38.7M-695.6K0.936.02N/AN/A2,2722,102119,69267,922
2009-08-17$27.95$25.0049.5%14.2%46.8%6.7%48.3%4.3%3.1%250.0K-9.3M-640.1K0.4610.86N/AN/A5,4082,466119,94468,792
2009-08-18$28.39$25.0048.8%14.0%47.4%6.0%47.5%4.0%3.5%378.7K-18.2M-653.1K0.909.03N/AN/A1,5001,348120,72668,748
2009-08-19$28.38$25.0047.9%13.7%47.3%5.2%47.7%3.8%4.6%258.4K-16.4M-642.0K1.1211.59N/AN/A1,8042,022120,37269,130
2009-08-20$28.50$25.0046.7%13.4%47.1%4.0%47.0%3.4%5.5%292.8K-17.7M-637.4K2.389.06N/AN/A6941,654120,01269,664
2009-08-21$28.79$25.0043.6%12.5%47.4%1.1%44.0%4.1%6.8%893.5K-22.1M-635.9K0.466.98N/AN/A1,330616120,02070,732
2009-08-24$28.59$25.0045.7%13.1%47.3%3.1%45.0%2.8%2.1%892.4K-40.2M-618.2K0.677.49N/AN/A2,1481,434107,22256,722
2009-08-25$28.73$25.0045.4%13.0%39.0%2.8%43.6%3.3%2.3%933.0K-42.3M-622.2K0.087.76N/AN/A3,398278108,41657,614
2009-08-26$28.30$25.0043.6%12.5%38.9%1.1%42.6%3.3%3.1%902.2K-36.1M-615.5K0.837.44N/AN/A2,6962,238110,72057,672
2009-08-27$29.11$27.5041.7%11.9%40.5%0.0%42.2%3.0%3.4%1.1M-49.8M-636.1K0.307.75N/AN/A1,542470112,34259,284
2009-08-28$29.36$27.5040.4%11.6%37.9%0.0%42.2%3.1%4.7%1.2M-54.3M-635.8K1.248.03N/AN/A1,4061,748113,01659,362
2009-08-31$29.41$27.5042.6%12.2%33.5%2.1%43.4%2.9%3.7%1.2M-56.3M-633.0K1.704.89N/AN/A1,3802,352113,50060,268