GOLD Options History — April 2010

In April 2010, GOLD traded between $39.13 and $42.12. ATM implied volatility averaged 36.3%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.1% (HV 20d: 33.2%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2010-04-07: Highest Volume — 20,342 contracts
  • 2010-04-12: Largest IV spike — 13.0% change
  • 2010-04-12: Highest IV Rank — 18.5%
  • 2010-04-12: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.64$39.13$42.12$40.49$42.12
Max Pain$36.07$35.00$37.50$37.50$37.50
ATM IV36.3%33.2%39.2%33.2%38.4%
Expected Move10.5%9.5%11.1%9.5%11.0%
HV 20d33.2%25.7%35.8%35.8%25.7%
HV 60d39.6%36.9%41.3%41.2%36.9%
IV Rank11.3%2.8%18.5%2.8%17.0%
IV Percentile9.9%1.2%19.8%1.2%19.8%
Term Structure0.2%-0.5%2.1%2.1%-0.5%
VWIV36.7%33.0%38.7%33.0%38.7%
Skew 25d1.9%1.0%2.9%2.4%1.7%
Skew 10d3.5%2.0%5.3%4.4%3.3%
Call IV 25d36.0%31.8%38.3%31.8%38.3%
Put IV 25d37.9%34.2%40.0%34.2%40.0%
Bid-Ask Spread %14.408.4522.3719.0821.52
Gamma HHI0.180.120.340.240.14
Net GEX2.2M-1.7M4.6M4.6M2.6M
Net DEX-92.5M-144.1M-39.5M-132.3M-105.0M
Net VEX-678.7K-718.9K-633.1K-633.1K-691.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.155.491.920.53
Total Volume7,548.9521,73620,34216,4224,324
Total OI136,286.857122,826152,206122,826136,876

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$40.49$37.5033.2%9.5%35.8%2.8%33.0%2.4%2.1%4.6M-132.3M-633.1K1.9219.08N/AN/A5,61810,80474,96647,860
2010-04-05$40.31$35.0036.3%10.6%35.2%10.7%37.1%1.9%-0.4%3.4M-113.4M-650.9K0.4413.03N/AN/A3,5721,57275,75454,238
2010-04-06$40.42$35.0035.7%10.4%34.1%9.1%36.5%1.9%-0.1%3.4M-118.0M-655.3K2.6614.91N/AN/A4741,26277,58054,718
2010-04-07$41.50$35.0035.9%10.5%35.0%9.6%38.0%2.6%-0.4%2.9M-144.1M-649.5K1.558.45N/AN/A7,96212,38077,71855,422
2010-04-08$41.02$35.0036.8%10.8%34.5%12.4%37.8%2.1%-0.1%3.0M-133.2M-641.0K1.0612.26N/AN/A1,7821,89677,71855,422
2010-04-09$41.73$35.0034.7%10.8%34.5%6.7%38.2%2.3%0.1%2.0M-136.9M-709.8K0.1710.45N/AN/A11,4842,00680,07464,124
2010-04-12$40.66$35.0039.2%11.1%35.7%18.5%38.4%2.0%-0.0%2.2M-102.1M-711.3K0.2114.40N/AN/A6,4901,39081,38064,936
2010-04-13$40.78$35.0036.4%10.7%35.2%11.3%37.3%2.4%-0.1%2.1M-108.8M-718.9K0.1715.91N/AN/A3,85864485,05065,030
2010-04-14$41.06$35.0036.9%10.6%33.9%12.6%36.3%2.9%-0.1%1.4M-113.0M-695.1K0.209.17N/AN/A4,10884283,18065,102
2010-04-15$40.77$35.0036.2%10.4%34.0%11.2%36.1%1.6%-0.0%1.6M-107.3M-684.8K0.7910.85N/AN/A3,0902,43084,24465,134
2010-04-16$39.96$35.0036.4%10.4%34.6%11.8%36.3%1.0%0.6%-1.7M-80.6M-681.7K0.9012.07N/AN/A6,2465,61485,11067,096
2010-04-19$39.55$35.0036.6%10.5%32.6%12.2%36.7%1.3%0.2%2.1M-49.4M-672.1K0.3112.00N/AN/A4,0781,26270,46854,438
2010-04-20$39.13$35.0035.7%10.2%32.9%9.9%35.8%1.4%0.6%1.9M-39.5M-663.9K5.4915.68N/AN/A1,1726,43069,98655,328
2010-04-21$39.73$37.5034.5%9.9%33.1%6.7%34.8%1.6%0.8%1.4M-39.7M-680.8K0.6314.66N/AN/A4,4182,78270,06860,700
2010-04-22$39.73$37.5036.1%10.3%30.7%10.8%36.3%1.7%0.1%1.8M-46.4M-686.4K0.3215.91N/AN/A5,6821,79272,80259,400
2010-04-23$40.98$37.5034.5%9.9%32.0%6.5%34.5%1.7%1.4%2.1M-71.9M-692.5K0.1512.55N/AN/A6,32492072,19660,510
2010-04-26$40.38$37.5036.2%10.4%31.7%11.1%35.9%2.2%0.4%1.9M-59.2M-671.1K1.5818.53N/AN/A1,7742,80872,19660,510
2010-04-27$40.11$37.5038.2%11.0%32.0%16.6%38.2%1.7%-0.3%2.0M-57.8M-681.1K0.3522.37N/AN/A5,0061,73073,86659,622
2010-04-28$41.27$37.5037.9%10.9%33.0%15.9%37.9%1.6%-0.5%2.3M-84.8M-693.1K0.1715.66N/AN/A7,5501,24674,51660,028
2010-04-29$41.80$37.5037.1%10.6%31.4%13.6%37.4%1.9%-0.1%2.6M-98.5M-689.7K0.4913.00N/AN/A2,4941,21276,63660,022
2010-04-30$42.12$37.5038.4%11.0%25.7%17.0%38.7%1.7%-0.5%2.6M-105.0M-691.1K0.5321.52N/AN/A2,8221,50276,81860,058