GOLD Options History — November 2010

In November 2010, GOLD traded between $46.78 and $50.17. ATM implied volatility averaged 35.5%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 4.9% (HV 20d: 30.6%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-11-09: Highest Volume — 11,760 contracts
  • 2010-11-09: Largest IV drop — 9.8% change
  • 2010-11-08: Highest IV Rank — 53.1%
  • 2010-11-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.17$46.78$50.17$47.10$47.03
Max Pain$45.48$45.00$47.50$47.50$45.00
ATM IV35.5%31.9%40.4%39.0%34.5%
Expected Move10.0%9.2%11.2%11.2%9.9%
HV 20d30.6%25.7%34.9%33.6%26.1%
HV 60d28.4%27.8%29.1%27.8%28.2%
IV Rank31.1%17.7%53.1%37.4%28.8%
IV Percentile40.9%18.3%68.7%60.3%36.9%
Term Structure0.1%-3.4%1.9%-3.4%0.5%
VWIV35.8%32.6%40.4%40.4%34.9%
Skew 25d-0.3%-0.9%0.5%-0.5%-0.6%
Skew 10d-0.0%-1.9%2.7%-1.5%-1.1%
Call IV 25d35.9%33.0%39.8%39.8%35.4%
Put IV 25d35.7%32.2%39.3%39.3%34.8%
Bid-Ask Spread %38.6914.7950.5514.7946.03
Gamma HHI0.160.130.250.160.13
Net GEX819.5K-3.0M3.8M-701.2K489.1K
Net DEX-45.2M-97.4M-3.9M-3.9M-24.4M
Net VEX-653.7K-747.4K-562.8K-747.4K-618.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.192.000.192.00
Total Volume4,740.4762,20811,7605,9563,682
Total OI146,604128,634157,300156,492133,268

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$47.10$47.5039.0%11.2%33.6%37.4%40.4%-0.5%-3.4%-701.2K-3.9M-747.4K0.1914.79N/AN/A4,99296467,61088,882
2010-11-02$47.52$47.5038.0%10.9%32.6%33.9%38.7%-0.7%-3.3%233.8K-25.2M-710.3K0.3616.14N/AN/A1,90669463,98283,064
2010-11-03$46.78$47.5037.1%10.6%32.8%31.0%37.9%-0.3%-2.5%-515.7K-6.8M-686.2K0.4719.75N/AN/A3,4241,59864,16083,388
2010-11-04$48.66$47.5037.5%10.7%34.2%35.6%37.9%0.2%-3.0%1.5M-52.6M-704.8K0.8316.77N/AN/A3,5102,90665,16883,728
2010-11-05$48.51$45.0038.0%9.9%32.9%40.4%35.2%0.5%0.3%1.3M-52.3M-697.7K0.2250.34N/AN/A4,04688266,28083,458
2010-11-08$49.04$45.0040.4%10.1%33.3%53.1%36.3%0.2%-0.1%2.1M-69.2M-682.7K0.8550.55N/AN/A5,3304,53068,18483,600
2010-11-09$48.31$45.0036.4%10.1%33.5%36.4%36.5%0.3%0.2%1.2M-48.7M-673.1K0.5348.01N/AN/A7,6864,07467,60084,140
2010-11-10$49.68$45.0036.3%10.0%34.9%36.2%35.4%0.4%0.4%3.1M-84.2M-686.4K0.6139.64N/AN/A3,4902,11468,67883,872
2010-11-11$50.17$45.0034.9%10.0%34.5%30.6%35.4%-0.0%0.2%3.8M-97.4M-696.6K0.2942.92N/AN/A2,12862669,50484,952
2010-11-12$49.26$45.0035.4%10.2%34.8%32.7%35.8%0.0%0.2%2.3M-71.4M-688.7K0.4241.66N/AN/A2,7661,17269,48885,086
2010-11-15$48.79$45.0036.0%10.3%34.6%35.3%36.7%-0.2%-0.2%1.6M-63.3M-667.3K0.7947.26N/AN/A1,3881,09070,03285,486
2010-11-16$47.66$45.0036.4%10.4%28.2%37.0%37.4%-0.7%0.6%-1.0M-28.6M-660.2K0.5543.18N/AN/A2,8381,55869,97885,684
2010-11-17$47.27$45.0034.6%9.9%28.2%29.3%35.3%-0.1%1.7%-3.0M-13.3M-652.4K0.3850.52N/AN/A3,2781,23670,08286,240
2010-11-18$48.16$45.0033.9%9.7%27.3%26.1%35.3%-0.7%1.7%-1.7M-46.8M-632.6K0.4548.31N/AN/A1,57470271,06686,200
2010-11-19$48.34$45.0032.1%9.2%27.3%18.4%32.6%-0.2%1.9%-424.7K-54.0M-609.7K1.9042.79N/AN/A8701,65671,13686,164
2010-11-22$48.74$45.0032.5%9.3%27.4%19.9%33.4%0.2%1.6%2.3M-58.2M-600.5K0.2442.19N/AN/A4,3201,04458,75471,520
2010-11-23$47.89$45.0033.5%9.6%28.2%24.4%34.5%-0.9%1.6%1.6M-45.0M-594.0K0.1931.95N/AN/A3,33064058,43872,180
2010-11-24$47.85$45.0031.9%9.2%26.2%17.7%33.1%-0.9%1.3%1.5M-42.3M-578.5K1.2439.29N/AN/A9861,22257,95472,162
2010-11-26$47.72$45.0032.5%9.3%25.7%20.3%34.2%-0.5%1.6%1.1M-36.1M-577.1K0.4940.40N/AN/A1,79888255,81072,824
2010-11-29$47.02$45.0034.6%9.9%26.1%29.1%35.6%-0.8%-0.3%519.5K-25.3M-562.8K1.7240.05N/AN/A2,4364,18255,73873,144
2010-11-30$47.03$45.0034.5%9.9%26.1%28.8%34.9%-0.6%0.5%489.1K-24.4M-618.1K2.0046.03N/AN/A1,2262,45657,20676,062