GOLD Options History — July 2010

In July 2010, GOLD traded between $43.96 and $47.73. ATM implied volatility averaged 34.1%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 9.9% (HV 20d: 24.2%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2010-07-09: Highest Volume — 18,880 contracts
  • 2010-07-12: Largest IV spike — 19.0% change
  • 2010-07-01: Highest IV Rank — 29.9%
  • 2010-07-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.94$43.96$47.73$46.33$44.94
Max Pain$47.02$45.00$47.50$45.00$45.00
ATM IV34.1%31.4%39.8%39.8%31.8%
Expected Move9.9%9.1%11.4%11.4%9.1%
HV 20d24.2%21.6%25.2%23.8%24.3%
HV 60d34.5%34.0%34.9%34.9%34.7%
IV Rank9.3%0.0%29.9%29.9%1.2%
IV Percentile7.3%0.0%30.6%30.6%0.4%
Term Structure1.2%-0.3%4.4%1.3%0.1%
VWIV35.0%31.5%42.5%42.5%31.5%
Skew 25d3.5%2.5%4.2%4.2%2.8%
Skew 10d7.1%4.7%9.0%9.0%6.0%
Call IV 25d33.4%30.6%39.1%39.1%30.6%
Put IV 25d37.0%33.4%43.4%43.4%33.4%
Bid-Ask Spread %15.349.3423.6215.7614.02
Gamma HHI0.140.110.250.120.14
Net GEX2.3M954.0K5.5M1.6M2.0M
Net DEX-46.6M-76.9M-12.2M-49.8M-32.6M
Net VEX-755.6K-811.2K-697.7K-757.1K-701.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.092.452.450.19
Total Volume5,773.04876418,88014,5487,698
Total OI126,373.143111,484138,558111,484131,298

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$46.33$45.0039.8%11.4%23.8%29.9%42.5%4.2%1.3%1.6M-49.8M-757.1K2.4515.76N/AN/A4,21410,33455,16656,318
2010-07-02$46.56$45.0034.5%9.9%23.2%9.6%34.7%4.2%4.4%1.4M-50.3M-775.3K0.2615.95N/AN/A6,2941,64455,47261,634
2010-07-06$46.81$47.5036.6%11.0%23.1%17.5%39.5%3.5%1.1%2.3M-59.4M-772.9K1.1716.23N/AN/A1,3521,58658,49462,554
2010-07-07$47.73$47.5034.6%10.7%23.8%9.9%37.1%3.8%1.1%3.1M-76.9M-765.9K0.8616.30N/AN/A1,2601,08458,65862,988
2010-07-08$47.09$47.5032.0%10.5%24.7%0.0%36.6%3.7%0.7%2.8M-62.8M-748.1K0.5115.57N/AN/A4,5362,29458,98663,226
2010-07-09$46.65$47.5032.3%10.1%24.2%1.0%34.7%3.9%1.4%2.9M-61.3M-757.8K0.2614.29N/AN/A15,0323,84862,42064,006
2010-07-12$45.98$47.5038.4%10.3%24.8%24.7%36.3%3.7%1.1%3.6M-55.9M-805.1K1.3817.43N/AN/A2,1122,90872,64865,910
2010-07-13$46.62$47.5033.7%9.8%25.1%6.3%34.8%3.8%1.7%3.4M-65.9M-799.3K1.0217.01N/AN/A2,4802,53668,87466,914
2010-07-14$46.99$47.5031.4%9.7%23.9%0.0%34.6%3.3%2.0%4.5M-74.7M-811.2K1.4418.13N/AN/A9561,37269,54667,440
2010-07-15$47.08$47.5033.8%9.7%23.9%8.9%34.2%3.5%1.9%5.5M-75.4M-807.5K1.2316.02N/AN/A9701,19469,50267,788
2010-07-16$45.58$47.5036.4%10.4%24.8%18.7%35.8%2.9%1.2%1.3M-44.2M-775.8K0.4819.42N/AN/A5,6682,74669,61868,088
2010-07-19$45.29$47.5034.8%10.0%24.2%12.6%35.2%3.8%1.6%1.8M-33.9M-748.9K1.0718.87N/AN/A3,5843,82459,00058,416
2010-07-20$45.69$47.5035.1%10.1%24.5%13.7%34.3%3.8%0.9%1.8M-37.7M-760.5K0.5123.62N/AN/A1,31066659,50661,238
2010-07-21$45.30$47.5034.0%9.7%24.6%9.6%33.9%3.9%1.2%1.6M-31.4M-746.3K1.3312.29N/AN/A2,0482,72460,48461,632
2010-07-22$46.13$47.5033.3%9.6%25.2%7.2%33.0%3.6%0.7%2.1M-42.8M-748.1K1.7411.78N/AN/A6101,06460,68262,286
2010-07-23$46.15$47.5032.9%9.4%25.0%5.5%33.2%3.5%1.2%2.2M-43.2M-742.6K1.3413.44N/AN/A65287460,71061,966
2010-07-26$45.59$47.5032.5%9.3%21.6%4.0%32.7%2.9%0.7%1.8M-34.2M-714.2K0.0913.56N/AN/A5,35248460,91462,012
2010-07-27$43.96$47.5033.3%9.5%24.5%7.1%34.2%3.4%0.4%970.5K-12.2M-697.7K1.089.34N/AN/A3,3143,57463,77862,148
2010-07-28$44.09$47.5032.9%9.4%24.5%5.4%32.8%3.7%-0.3%954.0K-12.5M-705.5K0.1310.85N/AN/A5,56670664,68264,096
2010-07-29$44.19$45.0032.4%9.3%24.4%3.6%32.7%2.5%-0.0%1.5M-22.0M-726.7K0.6512.25N/AN/A46230268,34264,396
2010-07-30$44.94$45.0031.8%9.1%24.3%1.2%31.5%2.8%0.1%2.0M-32.6M-701.6K0.1914.02N/AN/A6,4481,25066,80264,496