GOLD Options History — September 2009

In September 2009, GOLD traded between $28.50 and $37.53. ATM implied volatility averaged 50.9%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 0.8% (HV 20d: 51.7%). Max pain ranged from $27.50 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2009-09-03: Highest Volume — 32,608 contracts
  • 2009-09-08: Largest IV spike — 10.4% change
  • 2009-09-08: Highest IV Rank — 13.8%
  • 2009-09-14: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.92$28.50$37.53$28.50$34.94
Max Pain$31.79$27.50$35.00$27.50$35.00
ATM IV50.9%44.9%55.2%44.9%47.9%
Expected Move14.6%12.9%15.4%12.9%13.7%
HV 20d51.7%34.7%55.5%34.7%53.1%
HV 60d49.8%45.6%52.5%45.6%46.3%
IV Rank9.8%4.2%13.8%4.2%7.0%
IV Percentile16.9%4.4%23.4%4.4%13.9%
Term Structure1.3%-1.4%3.8%3.3%3.0%
VWIV51.0%43.9%55.4%43.9%47.1%
Skew 25d3.2%2.3%3.9%2.9%3.8%
Skew 10d6.2%3.7%8.1%4.2%7.6%
Call IV 25d49.7%43.1%53.3%43.1%46.1%
Put IV 25d52.9%46.1%56.3%46.1%49.9%
Bid-Ask Spread %11.485.9215.966.447.71
Gamma HHI0.190.100.450.130.15
Net GEX2.8M891.7K5.5M891.7K2.6M
Net DEX-140.9M-236.8M-39.5M-39.5M-97.7M
Net VEX-781.7K-851.9K-626.9K-626.9K-851.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.131.770.170.47
Total Volume13,453.0484,00032,6084,0006,772
Total OI179,943.905140,208208,646175,428181,714

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$28.50$27.5044.9%12.9%34.7%4.2%43.9%2.9%3.3%891.7K-39.5M-626.9K0.176.44N/AN/A3,430570113,99661,432
2009-09-02$31.56$27.5049.1%14.1%50.4%8.1%50.1%2.8%1.5%2.0M-103.1M-725.1K0.238.09N/AN/A16,5123,880116,31861,602
2009-09-03$33.80$27.5051.7%14.8%55.5%10.5%52.7%2.3%1.1%2.9M-157.0M-786.0K0.435.92N/AN/A22,8309,778120,15863,176
2009-09-04$34.15$30.0050.0%14.5%54.6%8.9%52.8%3.4%1.0%3.0M-162.0M-793.6K0.6311.96N/AN/A7,2664,582120,34066,762
2009-09-08$34.68$30.0055.2%15.3%52.8%13.8%55.4%3.0%-0.6%3.3M-175.9M-778.3K0.6715.96N/AN/A16,97811,344121,83868,426
2009-09-09$34.26$30.0054.1%15.2%52.9%12.8%53.5%3.7%-0.1%2.8M-154.9M-777.8K1.1914.44N/AN/A5,2566,262121,70871,414
2009-09-10$35.68$30.0053.8%15.4%54.1%12.5%53.7%3.9%-1.2%3.3M-190.1M-797.5K0.499.94N/AN/A10,6725,222122,12073,228
2009-09-11$35.99$30.0053.0%15.2%53.1%11.8%52.6%3.0%-0.1%3.4M-197.6M-798.1K0.4912.03N/AN/A8,0163,902123,09074,220
2009-09-14$35.33$32.5053.8%15.4%52.3%12.5%54.0%3.0%-1.4%3.0M-175.6M-762.5K0.8613.32N/AN/A3,6363,126122,64874,736
2009-09-15$35.75$32.5052.8%15.1%48.0%11.5%52.6%3.5%-0.7%3.2M-184.8M-758.9K0.7315.93N/AN/A7,5945,538122,53675,078
2009-09-16$37.53$32.5052.8%15.1%49.7%11.5%53.0%3.4%-1.0%4.9M-236.8M-796.0K0.2910.73N/AN/A16,6304,750125,79877,636
2009-09-17$37.33$32.5051.1%14.6%49.9%10.0%51.5%3.1%0.4%5.5M-233.2M-816.0K0.329.27N/AN/A9,2322,936129,93478,712
2009-09-18$36.95$32.5050.1%14.4%50.5%9.1%51.5%2.7%1.3%5.5M-215.1M-802.0K0.9112.61N/AN/A5,1924,732129,30479,068
2009-09-21$36.10$32.5051.7%14.8%52.2%10.5%52.0%3.0%2.1%1.7M-102.0M-774.6K0.4115.84N/AN/A6,5982,67487,70252,506
2009-09-22$36.52$32.5049.9%14.3%51.7%8.8%50.4%3.3%2.3%1.9M-112.6M-806.4K0.749.15N/AN/A2,3301,73491,74253,780
2009-09-23$36.16$32.5050.5%14.5%52.3%9.4%49.4%2.8%3.6%1.8M-106.4M-803.8K0.7914.40N/AN/A5,3064,20892,36254,578
2009-09-24$34.93$35.0051.0%14.6%54.0%9.9%50.6%3.8%2.7%1.5M-85.3M-800.5K0.5312.72N/AN/A8,0644,30495,66257,530
2009-09-25$34.30$35.0050.9%14.6%54.5%9.8%51.3%2.8%3.0%1.4M-73.3M-790.4K1.7710.79N/AN/A2,3064,09299,83860,174
2009-09-28$33.98$35.0047.7%13.7%54.8%6.8%47.3%3.3%3.7%1.2M-64.4M-745.8K0.1310.96N/AN/A21,6182,732100,04661,052
2009-09-29$34.81$35.0047.3%13.6%55.1%6.5%46.3%3.6%3.8%2.3M-91.0M-823.8K0.6312.81N/AN/A6,0963,814112,95861,900
2009-09-30$34.94$35.0047.9%13.7%53.1%7.0%47.1%3.8%3.0%2.6M-97.7M-851.9K0.477.71N/AN/A4,6022,170117,81863,896