GOLD Options History — January 2010

In January 2010, GOLD traded between $34.47 and $42.48. ATM implied volatility averaged 39.9%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 3.7% (HV 20d: 36.2%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.43.

Notable Days

  • 2010-01-21: Highest Volume — 30,722 contracts
  • 2010-01-14: Largest IV spike — 20.4% change
  • 2010-01-29: Highest IV Rank — 29.2%
  • 2010-01-29: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.49$34.47$42.48$41.13$34.47
Max Pain$41.18$40.00$42.50$40.00$40.00
ATM IV39.9%33.1%45.3%42.1%45.3%
Expected Move12.0%10.9%13.0%12.6%13.0%
HV 20d36.2%29.5%42.0%42.0%35.4%
HV 60d40.6%38.8%42.5%40.7%39.2%
IV Rank12.9%0.0%29.2%7.4%29.2%
IV Percentile7.2%0.0%22.2%4.8%22.2%
Term Structure-0.1%-1.1%0.5%0.3%-0.8%
VWIV41.8%38.1%45.6%43.2%45.6%
Skew 25d2.0%0.1%3.8%2.7%0.5%
Skew 10d3.3%-1.0%6.5%4.1%-1.0%
Call IV 25d40.9%37.3%45.5%42.3%45.5%
Put IV 25d42.9%39.3%46.0%44.9%46.0%
Bid-Ask Spread %8.254.8416.004.849.34
Gamma HHI0.180.100.330.160.18
Net GEX1.1M-1.3M4.0M2.4M-1.3M
Net DEX-55.0M-143.0M57.6M-113.3M57.6M
Net VEX-603.5K-700.0K-454.1K-649.3K-454.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.163.451.760.58
Total Volume10,014.9473,04430,7228,1184,792
Total OI141,032.105104,880183,720157,850106,700

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$41.13$40.0042.1%12.6%42.0%7.4%43.2%2.7%0.3%2.4M-113.3M-649.3K1.764.84N/AN/A2,9405,17892,90264,948
2010-01-05$41.16$40.0039.7%12.2%39.0%2.9%42.6%3.0%0.3%2.4M-112.8M-639.2K1.305.64N/AN/A3,6644,77092,91665,658
2010-01-06$42.16$40.0038.7%12.2%39.9%0.9%42.9%3.3%0.3%3.2M-134.8M-655.1K2.495.26N/AN/A2,8667,14293,73666,222
2010-01-07$41.95$42.5036.1%11.9%37.7%0.0%42.2%3.0%0.5%2.8M-126.0M-656.4K1.224.99N/AN/A6,4167,82094,52069,256
2010-01-08$42.42$42.5033.3%11.8%37.1%0.0%41.4%3.8%-0.0%3.7M-141.2M-700.0K0.714.87N/AN/A2,0021,42498,86673,672
2010-01-11$42.48$42.5035.2%11.6%37.0%3.2%41.2%3.1%0.5%4.0M-143.0M-676.4K1.365.85N/AN/A3,7305,08499,23074,156
2010-01-12$40.88$42.5039.4%11.8%39.7%10.4%41.3%2.4%-0.0%1.9M-100.1M-669.0K2.155.85N/AN/A6,29413,502100,49877,102
2010-01-13$41.62$42.5033.1%11.3%39.4%0.0%39.7%2.6%0.1%3.2M-119.6M-672.8K1.686.37N/AN/A1,2162,046103,46274,854
2010-01-14$41.58$42.5039.8%11.4%37.6%13.7%39.9%3.0%0.1%3.1M-114.4M-664.9K3.017.06N/AN/A1,9845,970103,08274,978
2010-01-15$40.70$42.5040.1%11.5%36.8%14.3%40.1%2.5%0.2%373.4K-95.0M-668.0K3.456.88N/AN/A3,35811,582104,02479,696
2010-01-19$41.00$42.5039.5%11.3%29.5%12.9%38.8%2.8%0.3%511.0K-55.2M-659.2K1.206.53N/AN/A4,3605,21059,65050,882
2010-01-20$39.67$42.5038.2%10.9%29.9%10.4%38.1%2.0%-0.1%-54.3K-36.0M-652.9K2.8511.72N/AN/A5,24014,93661,50054,372
2010-01-21$37.56$40.0040.8%11.7%35.4%16.6%40.7%0.9%-0.6%-549.5K-12.2M-618.6K0.5616.00N/AN/A19,70611,01662,16252,412
2010-01-22$37.09$40.0042.1%12.1%35.4%19.6%42.1%0.9%-0.5%-870.3K26.8M-509.5K1.3110.84N/AN/A3,7264,89651,83653,646
2010-01-25$36.94$40.0043.0%12.3%33.7%23.1%43.0%0.1%-1.1%-1.1M35.4M-496.0K0.8311.09N/AN/A1,9901,66050,42055,822
2010-01-26$36.15$40.0044.0%12.6%34.1%25.7%43.3%0.7%-0.9%-1.2M43.2M-482.1K0.1615.57N/AN/A6,4041,04450,51255,534
2010-01-27$35.77$40.0044.7%12.8%34.2%27.8%44.2%0.7%-1.1%-1.3M46.9M-473.6K0.378.58N/AN/A2,22681849,21855,662
2010-01-28$35.63$40.0044.0%12.6%34.1%26.2%44.0%0.3%-0.5%-1.3M48.6M-470.2K0.219.43N/AN/A2,70057249,63455,870
2010-01-29$34.47$40.0045.3%13.0%35.4%29.2%45.6%0.5%-0.8%-1.3M57.6M-454.1K0.589.34N/AN/A3,0321,76050,81855,882