GOLD Options History — May 2010

In May 2010, GOLD traded between $39.84 and $45.38. ATM implied volatility averaged 44.0%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 5.3% (HV 20d: 38.7%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-05-11: Highest Volume — 24,064 contracts
  • 2010-05-20: Largest IV spike — 10.9% change
  • 2010-05-20: Highest IV Rank — 72.6%
  • 2010-05-20: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.58$39.84$45.38$41.55$43.73
Max Pain$39.50$37.50$40.00$37.50$40.00
ATM IV44.0%39.2%51.2%39.2%41.1%
Expected Move12.6%11.2%14.7%11.2%11.8%
HV 20d38.7%25.2%48.5%26.2%48.4%
HV 60d35.8%32.4%37.9%34.6%37.2%
IV Rank42.5%19.3%72.6%19.3%34.2%
IV Percentile44.0%22.6%77.8%22.6%29.4%
Term Structure-0.5%-3.0%1.2%-0.4%1.2%
VWIV44.3%40.4%51.5%41.5%40.4%
Skew 25d2.9%1.3%4.1%2.1%2.9%
Skew 10d5.8%2.7%8.6%4.6%5.6%
Call IV 25d43.1%39.0%50.6%39.0%39.6%
Put IV 25d46.0%41.2%54.1%41.2%42.4%
Bid-Ask Spread %15.3010.1326.7114.6314.53
Gamma HHI0.130.110.150.140.15
Net GEX2.3M529.5K3.1M2.5M3.1M
Net DEX-99.8M-176.5M-30.9M-93.1M-96.3M
Net VEX-715.8K-764.8K-672.0K-674.2K-717.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.271.411.310.38
Total Volume8,349.12,50424,0648,4963,042
Total OI150,271.3131,614170,600136,520137,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$41.55$37.5039.2%11.2%26.2%19.3%41.5%2.1%-0.4%2.5M-93.1M-674.2K1.3114.63N/AN/A3,6824,81476,88259,638
2010-05-04$41.38$37.5040.5%11.6%26.3%22.8%41.4%2.1%-1.3%2.3M-89.0M-677.2K0.4017.44N/AN/A6,5182,63877,63662,744
2010-05-05$40.70$37.5041.6%11.9%25.2%26.7%41.4%2.3%-1.0%1.9M-68.9M-672.0K0.9721.30N/AN/A4,3924,26477,92264,708
2010-05-06$42.13$37.5043.9%12.6%27.8%39.3%44.6%1.3%0.1%2.4M-103.4M-718.8K0.8126.71N/AN/A11,7789,55278,67267,986
2010-05-07$41.69$40.0044.1%12.7%27.4%40.0%45.6%2.1%-0.6%1.7M-83.2M-764.8K1.0916.95N/AN/A2,5082,73080,13875,212
2010-05-10$41.20$40.0042.9%12.3%26.1%35.9%42.8%2.3%-0.3%1.9M-77.7M-699.5K0.6115.53N/AN/A2,0101,23077,71470,408
2010-05-11$44.88$40.0043.0%12.1%39.8%36.5%42.8%2.8%0.3%3.1M-165.1M-700.4K0.5414.74N/AN/A15,6628,40278,65270,394
2010-05-12$45.38$40.0041.1%12.0%39.9%29.9%41.6%2.7%0.1%3.1M-176.5M-724.1K0.3516.13N/AN/A10,3263,56882,58874,488
2010-05-13$44.44$40.0041.4%11.9%40.8%31.0%41.8%3.0%0.6%2.9M-151.8M-737.7K0.7913.84N/AN/A2,7682,20085,35274,964
2010-05-14$44.91$40.0042.6%12.2%39.8%38.5%42.8%3.4%0.8%3.1M-165.2M-736.3K0.4713.03N/AN/A5,2982,48285,82675,222
2010-05-17$44.13$40.0044.1%12.7%40.2%45.9%44.0%3.0%-0.4%2.9M-147.5M-743.5K0.7512.97N/AN/A3,3922,52888,16276,096
2010-05-18$43.63$40.0044.2%12.7%40.3%46.0%43.5%3.0%-0.1%2.5M-132.3M-731.2K0.9011.47N/AN/A2,5662,31088,51277,148
2010-05-19$41.97$40.0046.2%13.2%43.0%53.5%46.4%3.0%-1.2%1.7M-88.7M-723.4K0.8713.21N/AN/A6,2865,49288,63076,970
2010-05-20$39.84$40.0051.2%14.7%47.2%72.6%51.5%3.5%-3.0%529.5K-30.9M-704.4K1.4117.15N/AN/A5,1607,26489,43478,568
2010-05-21$40.84$40.0050.3%14.4%46.7%69.5%49.9%3.6%-2.6%1.1M-65.0M-721.2K1.3010.70N/AN/A2,3463,05690,50280,098
2010-05-24$40.90$40.0049.7%14.2%46.4%66.9%49.1%3.8%-2.2%1.5M-38.0M-707.5K0.7614.64N/AN/A2,1801,66669,15262,462
2010-05-25$42.31$40.0048.2%13.8%47.8%61.3%48.9%4.1%-0.7%2.1M-63.4M-722.4K0.4615.11N/AN/A2,7761,28670,23862,932
2010-05-26$42.15$40.0045.2%13.0%46.8%49.9%45.1%3.1%-0.3%2.2M-63.7M-718.6K0.2715.80N/AN/A4,9601,34671,44263,350
2010-05-27$43.77$40.0040.3%11.6%48.5%31.3%41.7%3.5%1.2%3.0M-96.8M-721.2K0.5610.13N/AN/A1,61089473,25463,762
2010-05-28$43.73$40.0041.1%11.8%48.4%34.2%40.4%2.9%1.2%3.1M-96.3M-717.6K0.3814.53N/AN/A2,20683673,76063,808