GOLD Options History — September 2010

In September 2010, GOLD traded between $45.80 and $51.87. ATM implied volatility averaged 29.8%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.1% (HV 20d: 23.7%). Max pain ranged from $42.50 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2010-09-17: Highest Volume — 17,518 contracts
  • 2010-09-15: Largest IV spike — 7.9% change
  • 2010-09-15: Highest IV Rank — 14.6%
  • 2010-09-15: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.83$45.80$51.87$45.96$50.73
Max Pain$46.07$42.50$47.50$42.50$47.50
ATM IV29.8%27.8%32.2%30.1%30.6%
Expected Move8.6%8.1%9.2%8.6%8.8%
HV 20d23.7%21.0%29.0%29.0%22.4%
HV 60d26.0%25.0%26.5%26.3%25.9%
IV Rank6.6%0.0%14.6%7.6%9.5%
IV Percentile5.9%0.4%12.3%4.8%12.3%
Term Structure1.7%0.8%2.8%2.8%1.5%
VWIV30.9%28.6%33.2%29.8%31.2%
Skew 25d2.8%1.5%4.1%1.7%3.7%
Skew 10d5.8%2.8%8.8%3.6%7.8%
Call IV 25d29.3%28.0%30.6%29.6%29.7%
Put IV 25d32.1%30.3%33.4%31.3%33.3%
Bid-Ask Spread %16.477.7926.2513.7020.37
Gamma HHI0.160.120.250.130.15
Net GEX2.6M103.4K5.9M2.8M1.3M
Net DEX-77.5M-117.9M-47.4M-55.2M-80.1M
Net VEX-663.4K-718.0K-618.7K-718.0K-640.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.149.390.280.93
Total Volume5,258.66799617,5184,3462,778
Total OI135,102.667116,102155,288145,274118,548

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$45.96$42.5030.1%8.6%29.0%7.6%29.8%1.7%2.8%2.8M-55.2M-718.0K0.2813.70N/AN/A3,40694072,39072,884
2010-09-02$46.07$42.5029.8%8.5%24.6%6.7%28.6%1.7%1.9%2.8M-55.0M-706.5K0.357.79N/AN/A2,74097071,73073,442
2010-09-03$45.80$45.0027.8%8.9%24.5%0.0%31.2%2.8%1.8%2.5M-47.4M-706.3K0.318.84N/AN/A1,54047071,67073,604
2010-09-07$46.28$45.0029.1%8.9%24.6%4.4%31.9%2.2%1.9%3.0M-57.6M-676.2K0.308.68N/AN/A1,97459871,99873,748
2010-09-08$46.70$45.0028.1%8.9%24.5%1.1%31.8%2.0%1.7%3.6M-67.4M-664.2K0.2510.14N/AN/A3,12278271,74673,670
2010-09-09$46.95$45.0030.2%8.7%23.9%8.0%30.9%2.2%2.2%4.0M-70.5M-663.4K0.589.67N/AN/A1,20669472,48873,882
2010-09-10$46.94$45.0029.5%8.5%23.8%5.9%30.5%2.5%2.5%4.0M-69.0M-658.8K0.4211.32N/AN/A70029672,43873,930
2010-09-13$47.09$45.0030.3%8.7%22.5%8.3%31.0%2.4%1.5%4.5M-73.5M-636.0K1.4512.14N/AN/A8561,23872,43273,956
2010-09-14$49.16$45.0029.8%8.5%25.9%6.7%30.3%1.5%1.8%5.9M-117.9M-640.8K0.3621.13N/AN/A10,1123,64672,81674,412
2010-09-15$48.66$45.0032.2%9.2%25.3%14.6%32.1%2.4%0.8%5.4M-102.5M-657.3K1.7025.71N/AN/A4,1687,07273,99276,134
2010-09-16$48.95$47.5030.3%8.7%25.3%8.4%31.4%2.1%1.5%4.3M-98.5M-674.6K0.1426.25N/AN/A4,73066073,22081,404
2010-09-17$49.09$47.5030.6%8.8%24.6%9.5%33.2%3.5%1.2%2.0M-101.2M-650.8K4.8225.65N/AN/A3,01014,50873,84481,444
2010-09-20$49.77$47.5030.5%8.7%23.9%9.0%31.6%4.1%1.0%103.4K-57.9M-676.7K9.3913.95N/AN/A1,25611,79645,41674,766
2010-09-21$50.34$47.5029.8%8.6%23.7%6.8%30.2%3.3%1.6%535.0K-66.8M-666.3K0.6418.26N/AN/A1,39088645,80471,308
2010-09-22$51.38$47.5028.2%8.1%21.0%1.5%30.1%3.4%2.1%1.1M-83.2M-664.2K0.7420.40N/AN/A2,3201,72846,25871,720
2010-09-23$50.65$47.5029.8%8.5%21.2%6.7%29.8%3.4%1.6%774.1K-72.7M-669.9K1.1323.76N/AN/A1,1581,31047,25071,610
2010-09-24$51.12$47.5029.5%8.5%21.2%5.8%29.6%3.3%1.8%1.2M-85.1M-643.1K4.2315.73N/AN/A1,3645,76647,71471,796
2010-09-27$50.58$47.5030.6%8.8%21.5%9.3%31.0%3.6%1.5%822.4K-73.9M-649.3K0.9320.58N/AN/A2,1561,99647,78268,320
2010-09-28$51.87$47.5029.3%8.4%21.4%4.9%32.5%3.3%1.7%2.0M-97.7M-650.3K1.1116.53N/AN/A1,5841,75449,42468,072
2010-09-29$51.41$47.5028.9%8.3%21.8%3.6%30.7%3.5%1.8%1.8M-94.7M-618.7K0.9015.21N/AN/A92482849,49268,602
2010-09-30$50.73$47.5030.6%8.8%22.4%9.5%31.2%3.7%1.5%1.3M-80.1M-640.1K0.9320.37N/AN/A1,4401,33849,68068,868