GOLD Options History — October 2010

In October 2010, GOLD traded between $45.75 and $52.56. ATM implied volatility averaged 32.8%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.6% (HV 20d: 29.2%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2010-10-29: Highest Volume — 16,286 contracts
  • 2010-10-07: Largest IV spike — 14.5% change
  • 2010-10-29: Highest IV Rank — 29.3%
  • 2010-10-29: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.75$45.75$52.56$51.66$46.96
Max Pain$49.64$47.50$50.00$47.50$47.50
ATM IV32.8%27.9%36.6%27.9%36.6%
Expected Move9.6%8.0%10.5%8.0%10.5%
HV 20d29.2%22.8%34.5%22.9%33.5%
HV 60d27.6%25.9%29.7%25.9%27.9%
IV Rank16.7%0.2%29.3%0.2%29.3%
IV Percentile24.0%0.8%48.0%0.8%48.0%
Term Structure-0.4%-2.4%2.8%2.8%-1.4%
VWIV33.9%30.1%36.8%30.1%36.8%
Skew 25d2.8%-0.1%3.7%3.6%-0.1%
Skew 10d5.7%-0.2%9.5%9.5%-0.2%
Call IV 25d32.5%27.7%37.4%27.7%37.4%
Put IV 25d35.4%31.2%37.3%31.2%37.3%
Bid-Ask Spread %11.986.7322.3922.3915.57
Gamma HHI0.170.120.280.160.12
Net GEX1.9M-1.3M5.6M2.1M-61.0K
Net DEX-66.5M-131.5M19.4M-98.6M-11.7M
Net VEX-642.4K-710.4K-608.6K-623.1K-710.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.225.670.941.51
Total Volume5,860.8571,79216,2862,59616,286
Total OI129,027.524115,838143,860119,664143,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$51.66$47.5027.9%8.0%22.9%0.2%30.1%3.6%2.8%2.1M-98.6M-623.1K0.9422.39N/AN/A1,3401,25650,15669,508
2010-10-04$51.38$50.0028.9%8.8%22.8%3.7%32.9%3.4%0.1%1.8M-92.6M-626.3K1.478.25N/AN/A9081,33450,68069,942
2010-10-05$52.52$50.0029.4%9.3%23.5%5.2%32.5%2.6%-0.2%2.7M-113.3M-620.1K0.258.06N/AN/A6,1101,50850,85270,406
2010-10-06$52.42$50.0029.7%9.4%23.6%6.4%33.6%3.7%-0.3%3.3M-119.9M-611.5K2.048.41N/AN/A1,6683,40253,58870,604
2010-10-07$50.50$50.0034.0%9.9%28.2%20.7%33.4%3.5%-0.8%1.2M-78.2M-642.2K0.386.73N/AN/A5,6562,12453,43071,530
2010-10-08$51.70$50.0030.4%9.5%29.0%8.8%34.2%3.1%-0.1%2.7M-104.0M-658.6K0.776.80N/AN/A1,8261,41255,10872,472
2010-10-11$51.57$50.0033.3%9.6%29.1%18.4%34.6%2.7%-0.2%3.0M-106.3M-616.2K1.188.86N/AN/A1,4501,71254,71872,584
2010-10-12$51.10$50.0035.1%9.7%25.7%24.3%33.9%3.6%-0.6%2.7M-97.4M-608.6K1.218.93N/AN/A4,0584,90254,95473,524
2010-10-13$51.70$50.0031.1%9.3%25.5%11.0%33.3%3.4%-0.1%4.1M-110.8M-636.4K0.2510.81N/AN/A3,58288658,21477,020
2010-10-14$52.56$50.0033.1%9.5%25.9%17.9%34.5%3.1%-0.1%5.6M-131.5M-646.6K0.4911.14N/AN/A4,1462,01459,34477,026
2010-10-15$51.92$50.0032.5%9.3%26.5%15.6%33.1%3.5%0.1%5.2M-114.6M-647.3K0.2211.32N/AN/A1,46632660,22478,312
2010-10-18$51.20$50.0033.0%9.5%26.8%17.2%33.1%3.0%0.2%3.0M-89.4M-622.9K2.4510.53N/AN/A7061,73254,04061,798
2010-10-19$48.17$50.0035.0%10.0%34.4%24.2%34.9%3.3%-2.4%1.4M-38.7M-614.0K0.8313.47N/AN/A6,0345,00054,34462,510
2010-10-20$48.53$50.0034.4%9.9%33.6%22.0%33.8%3.3%-1.1%1.5M-44.3M-643.1K1.0510.31N/AN/A1,0641,11255,55664,998
2010-10-21$47.22$50.0033.6%9.6%34.5%19.3%33.4%3.0%-0.5%816.7K-22.5M-624.9K1.2312.83N/AN/A5,7807,08256,08465,546
2010-10-22$47.22$50.0033.7%9.7%34.2%19.7%33.8%3.4%-0.6%607.8K-15.8M-671.1K1.2115.45N/AN/A1,1521,39860,16271,400
2010-10-25$47.23$50.0033.6%9.6%34.1%19.3%35.8%2.5%-0.9%642.6K-17.4M-640.1K5.6714.01N/AN/A1,4688,31860,47071,778
2010-10-26$46.99$50.0033.8%9.7%32.4%20.1%34.8%1.5%-0.2%-372.2K-7.7M-681.7K1.0113.40N/AN/A2,5842,59860,92078,814
2010-10-27$45.75$50.0035.1%10.1%33.3%24.3%35.0%1.4%-0.8%-1.3M19.4M-656.9K0.4618.87N/AN/A2,6261,19661,26679,444
2010-10-28$46.53$47.5034.5%9.9%34.2%22.4%35.0%1.8%-1.0%-513.0K-1.0M-687.9K0.3615.51N/AN/A2,8301,02662,52679,866
2010-10-29$46.96$47.5036.6%10.5%33.5%29.3%36.8%-0.1%-1.4%-61.0K-11.7M-710.4K1.5115.57N/AN/A6,4849,80263,59280,268