GOLD Options History — March 2010 In March 2010, GOLD traded between $36.00 and $39.18. ATM implied volatility averaged 35.4%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 2.4% (HV 20d: 37.7%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.80.
Notable Days 2010-03-22 : Highest Volume — 28,056 contracts2010-03-08 : Largest IV spike — 11.0% change2010-03-11 : Highest IV Rank — 11.4%2010-03-10 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $37.46 $36.00 $39.18 $37.10 $38.41 Max Pain $37.50 $37.50 $37.50 $37.50 $37.50 ATM IV 35.4% 32.1% 37.8% 37.8% 32.1% Expected Move 10.2% 9.2% 10.9% 10.8% 9.2% HV 20d 37.7% 32.6% 48.9% 48.9% 32.9% HV 60d 40.7% 38.9% 42.4% 41.7% 39.7% IV Rank 6.0% 0.0% 11.4% 11.2% 0.0% IV Percentile 2.1% 0.0% 4.8% 2.0% 0.0% Term Structure 2.0% 0.4% 2.9% 0.4% 2.9% VWIV 35.8% 31.4% 39.0% 38.7% 31.4% Skew 25d 2.1% 0.9% 3.1% 2.8% 2.1% Skew 10d 3.9% 1.4% 5.3% 3.7% 3.5% Call IV 25d 34.8% 31.0% 37.1% 37.1% 31.0% Put IV 25d 37.0% 33.1% 39.9% 39.9% 33.1% Bid-Ask Spread % 11.90 7.10 20.51 12.88 10.47 Gamma HHI 0.20 0.12 0.38 0.15 0.34 Net GEX 1.3M -370.6K 4.4M -331.8K 4.4M Net DEX -21.3M -80.9M 2.4M 1.4M -80.9M Net VEX -508.3K -640.4K -426.6K -434.3K -634.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.13 4.74 1.39 0.42 Total Volume 7,919.826 1,712 28,056 6,372 6,664 Total OI 117,268.087 93,840 139,958 107,992 120,984
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2010-03-01 $37.10 $37.50 37.8% 10.8% 48.9% 11.2% 38.7% 2.8% 0.4% -331.8K 1.4M -434.3K 1.39 12.88 N/A N/A 2,662 3,710 54,992 53,000 2010-03-02 $37.97 $37.50 36.9% 10.6% 45.9% 9.2% 37.0% 2.7% 0.7% 226.6K -8.9M -464.0K 0.60 10.28 N/A N/A 2,590 1,542 56,184 54,252 2010-03-03 $39.18 $37.50 35.1% 10.1% 47.0% 5.1% 35.9% 2.4% 1.5% 1.0M -29.5M -461.1K 0.70 11.92 N/A N/A 4,164 2,904 57,456 53,592 2010-03-04 $37.91 $37.50 37.4% 10.7% 47.8% 11.1% 36.6% 2.3% 0.5% 349.4K -11.5M -454.4K 0.93 12.37 N/A N/A 2,624 2,450 57,796 55,052 2010-03-05 $38.77 $37.50 33.3% 10.3% 41.8% 0.6% 36.2% 2.4% 2.8% 881.5K -22.8M -461.5K 0.40 7.10 N/A N/A 3,666 1,464 58,352 56,802 2010-03-08 $37.97 $37.50 37.0% 10.8% 41.6% 10.0% 38.2% 2.3% 2.2% 382.5K -11.5M -454.4K 0.32 7.85 N/A N/A 1,296 416 58,646 57,256 2010-03-09 $37.84 $37.50 36.1% 10.8% 40.1% 7.7% 37.6% 2.9% 2.1% 205.4K -8.3M -441.7K 0.36 7.32 N/A N/A 2,014 726 58,958 57,410 2010-03-10 $37.16 $37.50 36.6% 10.9% 38.5% 9.1% 37.4% 2.5% 2.1% -153.5K -1.2M -447.8K 0.56 9.19 N/A N/A 2,742 1,536 60,254 57,694 2010-03-11 $37.83 $37.50 37.5% 10.8% 37.9% 11.4% 37.2% 3.1% 2.1% 545.9K -11.6M -461.1K 0.38 7.89 N/A N/A 1,860 706 61,948 58,580 2010-03-12 $37.32 $37.50 36.5% 10.5% 35.9% 8.8% 37.0% 2.1% 2.8% 63.0K -4.2M -449.9K 1.55 8.91 N/A N/A 992 1,538 61,760 58,790 2010-03-15 $36.91 $37.50 37.0% 10.6% 35.3% 10.1% 39.0% 2.1% 2.5% -370.6K 2.4M -426.6K 3.03 9.80 N/A N/A 918 2,782 61,460 58,694 2010-03-16 $38.05 $37.50 36.2% 10.4% 33.6% 8.1% 35.9% 2.7% 2.1% 799.9K -13.8M -434.8K 0.15 10.77 N/A N/A 6,326 954 61,444 60,266 2010-03-17 $37.94 $37.50 36.7% 10.5% 33.5% 9.2% 36.6% 2.4% 1.3% 1.1M -17.4M -452.2K 0.15 10.28 N/A N/A 20,746 3,194 65,414 60,526 2010-03-18 $37.48 $37.50 35.0% 10.0% 33.7% 4.9% 35.0% 2.0% 2.4% 2.0M -25.2M -500.4K 4.74 13.48 N/A N/A 3,186 15,110 75,414 61,624 2010-03-19 $36.34 $37.50 34.8% 10.0% 35.1% 4.5% 34.9% 2.1% 1.8% 926.7K -3.1M -488.7K 0.28 14.39 N/A N/A 12,184 3,360 76,274 63,684 2010-03-22 $36.83 $37.50 33.8% 9.7% 35.4% 1.9% 34.6% 1.8% 2.2% 1.5M -18.3M -529.5K 0.27 11.90 N/A N/A 22,112 5,944 54,676 39,164 2010-03-23 $37.11 $37.50 33.7% 9.7% 33.0% 1.6% 33.9% 1.5% 1.9% 2.0M -35.5M -603.1K 0.62 12.25 N/A N/A 3,392 2,104 63,162 43,930 2010-03-24 $36.01 $37.50 35.7% 10.2% 34.9% 6.8% 35.4% 1.3% 1.9% 1.8M -21.0M -594.7K 0.57 16.61 N/A N/A 3,778 2,148 65,476 44,514 2010-03-25 $36.00 $37.50 34.9% 10.0% 34.0% 4.7% 35.0% 0.9% 2.3% 2.1M -22.3M -609.2K 0.32 18.54 N/A N/A 2,568 810 68,124 46,290 2010-03-26 $37.04 $37.50 33.6% 9.6% 35.2% 1.4% 33.5% 1.2% 2.3% 2.6M -40.4M -621.0K 0.13 12.44 N/A N/A 13,738 1,772 67,690 46,650 2010-03-29 $37.30 $37.50 33.3% 9.5% 33.7% 0.6% 33.3% 1.8% 2.4% 4.1M -56.8M -640.4K 0.19 16.54 N/A N/A 3,786 718 74,538 47,956 2010-03-30 $37.15 $37.50 32.4% 9.3% 32.6% 0.0% 32.7% 1.1% 2.3% 3.8M -49.1M -624.5K 0.33 20.51 N/A N/A 1,700 560 72,460 47,978 2010-03-31 $38.41 $37.50 32.1% 9.2% 32.9% 0.0% 31.4% 2.1% 2.9% 4.4M -80.9M -634.8K 0.42 10.47 N/A N/A 4,702 1,962 72,806 48,178
« Feb 2010 | All History | Apr 2010 » Home GOLD History March 2010