GOLD Options History — November 2009

In November 2009, GOLD traded between $34.00 and $43.85. ATM implied volatility averaged 48.4%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 2.8% (HV 20d: 45.6%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2009-11-16: Highest Volume — 26,122 contracts
  • 2009-11-10: Largest IV drop — 7.5% change
  • 2009-11-03: Highest IV Rank — 22.0%
  • 2009-11-03: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.31$34.00$43.85$34.00$42.37
Max Pain$35.63$35.00$37.50$35.00$37.50
ATM IV48.4%41.8%57.8%55.4%44.0%
Expected Move13.9%12.0%16.6%15.9%12.6%
HV 20d45.6%34.0%49.3%47.3%34.0%
HV 60d47.8%41.8%49.3%47.8%41.8%
IV Rank10.2%2.0%22.0%18.9%5.2%
IV Percentile18.6%0.8%46.0%39.7%4.4%
Term Structure0.3%-3.3%2.3%-2.2%1.8%
VWIV48.9%42.3%58.8%56.2%44.2%
Skew 25d3.1%1.2%4.2%3.3%3.5%
Skew 10d6.2%3.9%7.6%6.6%6.8%
Call IV 25d47.3%40.7%57.4%54.9%42.7%
Put IV 25d50.4%43.7%60.3%58.2%46.1%
Bid-Ask Spread %8.835.2213.0313.036.09
Gamma HHI0.180.120.230.120.21
Net GEX5.6M1.7M7.8M1.7M5.8M
Net DEX-213.9M-284.6M-62.8M-62.8M-218.8M
Net VEX-836.3K-869.2K-748.6K-748.6K-826.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.232.010.510.94
Total Volume11,2784,15626,1224,1567,176
Total OI200,925.2185,618223,748185,618202,496

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$34.00$35.0055.4%15.9%47.3%18.9%56.2%3.3%-2.2%1.7M-62.8M-748.6K0.5113.03N/AN/A2,7501,406118,42867,190
2009-11-03$36.38$35.0057.8%16.6%47.1%22.0%58.8%2.9%-3.3%3.1M-120.7M-826.2K0.309.34N/AN/A10,0763,044118,98267,566
2009-11-04$37.41$35.0055.0%15.8%47.9%18.4%55.5%1.2%-1.2%3.8M-150.6M-851.5K0.2310.40N/AN/A14,4503,284121,52267,950
2009-11-05$37.50$35.0053.1%15.2%47.1%16.0%53.8%1.6%0.0%4.6M-157.6M-857.6K0.6711.28N/AN/A2,7161,818127,03668,808
2009-11-06$38.67$35.0051.3%14.6%48.0%13.8%50.1%3.1%0.0%5.1M-187.8M-856.8K0.4511.41N/AN/A7,3103,312125,93469,502
2009-11-09$39.42$35.0051.4%14.4%48.1%13.9%50.2%3.2%-0.6%5.6M-208.5M-847.9K0.3710.29N/AN/A11,7204,312126,50470,464
2009-11-10$39.30$35.0047.6%13.9%48.0%9.0%49.4%2.5%0.4%5.9M-203.0M-839.5K1.088.84N/AN/A3,2923,546129,47871,742
2009-11-11$40.45$35.0046.6%13.8%48.8%7.8%48.6%2.9%0.2%6.6M-239.6M-845.3K0.2911.39N/AN/A13,0443,796129,75473,014
2009-11-12$39.81$35.0048.3%13.8%49.0%10.0%48.7%3.2%0.4%6.1M-214.8M-834.3K1.637.78N/AN/A2,3543,838130,78673,950
2009-11-13$40.44$35.0047.5%13.6%48.0%9.0%48.4%3.4%0.7%6.6M-232.9M-825.8K0.418.45N/AN/A4,1981,700130,31074,686
2009-11-16$41.94$35.0048.2%13.8%49.3%9.8%48.5%3.7%0.3%7.2M-284.6M-825.1K0.928.98N/AN/A13,59612,526130,72675,416
2009-11-17$41.91$35.0047.9%13.7%47.5%9.5%48.3%4.2%0.3%7.0M-274.4M-833.7K1.0410.05N/AN/A5,2325,416132,19879,210
2009-11-18$41.86$35.0047.7%13.7%47.6%9.2%47.8%3.9%-0.1%7.3M-277.9M-869.2K0.585.63N/AN/A7,1004,100137,30882,028
2009-11-19$41.78$35.0047.6%13.6%46.9%9.1%48.4%3.1%0.1%7.8M-274.8M-865.7K2.018.01N/AN/A3,0286,084139,37283,774
2009-11-20$41.63$35.0046.1%13.2%46.8%7.2%47.1%2.8%1.3%5.9M-259.7M-836.4K0.759.93N/AN/A3,7502,818138,63885,110
2009-11-23$42.10$37.5044.2%12.7%44.3%5.4%45.7%3.6%1.3%5.4M-211.1M-814.2K1.835.22N/AN/A4,6348,462116,66069,556
2009-11-24$42.68$37.5042.1%12.1%44.1%2.5%42.3%2.4%2.3%5.7M-224.0M-830.8K0.996.19N/AN/A3,6803,650117,68873,064
2009-11-25$43.85$37.5041.8%12.0%34.9%2.0%43.0%3.3%1.8%6.3M-254.6M-844.4K1.085.24N/AN/A7,0427,592118,36074,242
2009-11-27$42.63$37.5043.7%12.5%36.2%4.8%43.9%3.2%2.0%5.4M-220.8M-846.9K0.369.10N/AN/A13,0644,644120,32078,732
2009-11-30$42.37$37.5044.0%12.6%34.0%5.2%44.2%3.5%1.8%5.8M-218.8M-826.7K0.946.09N/AN/A3,7083,468123,77078,726