GOLD Options History — December 2010

In December 2010, GOLD traded between $40.78 and $47.13. ATM implied volatility averaged 31.7%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 11.0% (HV 20d: 20.8%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2010-12-21: Highest Volume — 21,132 contracts
  • 2010-12-27: Largest IV spike — 14.5% change
  • 2010-12-14: Highest IV Rank — 31.9%
  • 2010-12-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.93$40.78$47.13$47.02$41.16
Max Pain$43.75$42.50$45.00$45.00$42.50
ATM IV31.7%28.5%35.3%32.9%33.5%
Expected Move9.0%8.2%9.6%9.4%9.6%
HV 20d20.8%17.3%25.9%25.9%24.7%
HV 60d27.6%26.9%28.5%28.1%27.8%
IV Rank16.9%3.3%31.9%21.7%24.6%
IV Percentile20.9%2.0%48.4%24.2%36.9%
Term Structure2.6%1.1%4.6%1.1%2.4%
VWIV32.2%28.9%34.7%33.6%33.7%
Skew 25d1.0%-0.9%1.8%-0.5%0.6%
Skew 10d1.9%-2.3%4.7%-0.2%2.2%
Call IV 25d31.8%28.3%34.0%33.4%34.0%
Put IV 25d32.8%29.5%34.7%32.9%34.6%
Bid-Ask Spread %42.568.5762.1947.458.57
Gamma HHI0.200.130.290.130.26
Net GEX-2.0M-3.4M305.0K305.0K-3.4M
Net DEX25.4M-22.9M69.6M-22.9M67.3M
Net VEX-611.9K-639.7K-584.0K-609.8K-618.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.116.151.080.66
Total Volume6,368.5452,58821,1323,7643,938
Total OI136,643.909114,020157,680134,276131,292

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$47.02$45.0032.9%9.4%25.9%21.7%33.6%-0.5%1.1%305.0K-22.9M-609.8K1.0847.45N/AN/A1,8101,95457,08477,192
2010-12-02$47.13$45.0030.8%8.8%25.3%12.8%31.5%0.3%2.3%185.8K-21.8M-603.4K0.8642.35N/AN/A2,0121,73257,55277,986
2010-12-03$46.80$45.0030.4%8.7%20.7%11.2%30.6%-0.9%2.4%-48.0K-18.5M-584.0K0.8645.62N/AN/A4,7624,08857,86478,180
2010-12-06$46.73$45.0032.8%9.4%20.7%21.2%32.8%1.2%2.7%75.8K-15.3M-604.7K0.6460.19N/AN/A1,7921,13860,72280,526
2010-12-07$45.61$45.0031.4%9.2%21.6%15.4%33.5%0.4%2.6%-1.4M9.2M-595.6K0.7555.33N/AN/A3,5422,66261,23481,116
2010-12-08$44.66$45.0033.5%9.6%22.1%24.2%34.1%0.8%1.7%-2.0M25.6M-598.5K1.1750.03N/AN/A5,4346,33461,76081,380
2010-12-09$44.43$45.0033.2%9.4%18.6%23.1%33.4%0.7%2.1%-2.3M32.7M-622.8K1.1548.93N/AN/A1,6261,86263,92484,144
2010-12-10$44.78$45.0032.3%9.4%18.4%19.3%34.3%0.4%2.5%-2.4M26.2M-621.4K0.6950.07N/AN/A5,3323,69462,18685,174
2010-12-13$45.61$45.0034.4%9.4%19.6%28.3%33.7%0.5%2.5%-1.9M378.6K-630.5K0.6950.03N/AN/A3,1962,20666,32286,424
2010-12-14$44.98$42.5035.3%9.2%19.8%31.9%34.3%1.6%2.7%-2.4M15.4M-639.7K1.5650.00N/AN/A1,7402,72267,54286,378
2010-12-15$44.07$42.5032.2%9.2%19.5%18.8%34.7%1.7%2.4%-2.7M27.6M-620.7K1.2350.83N/AN/A2,4943,07868,20886,504
2010-12-16$43.88$42.5031.4%9.0%19.4%15.6%32.4%1.7%2.8%-2.6M30.7M-638.5K2.5846.49N/AN/A1,4103,63869,12287,004
2010-12-17$43.63$45.0031.0%8.9%17.5%13.7%30.5%1.7%3.2%-1.6M38.4M-637.4K1.2750.77N/AN/A1,3341,69069,93887,742
2010-12-20$43.59$45.0029.1%8.3%17.3%5.4%29.0%1.8%3.4%-1.6M12.9M-605.1K0.7427.64N/AN/A1,5621,15446,06068,504
2010-12-21$42.40$42.5028.6%8.2%18.2%3.4%29.1%1.3%3.7%-2.0M29.5M-589.3K6.1529.33N/AN/A2,95418,17845,96268,058
2010-12-22$42.16$42.5028.8%8.3%17.8%4.3%28.9%0.8%3.4%-2.7M38.7M-612.0K1.9830.17N/AN/A1,1522,28047,45873,276
2010-12-23$42.10$42.5028.5%8.2%17.8%3.3%29.1%1.2%4.6%-2.7M42.8M-608.1K0.4128.26N/AN/A2,8661,17447,53472,450
2010-12-27$40.78$42.5032.7%9.4%19.8%20.9%32.8%1.5%2.2%-3.1M68.7M-590.8K2.0762.19N/AN/A3,1586,53048,25674,216
2010-12-28$42.06$42.5032.0%9.2%24.0%17.8%32.5%1.7%2.5%-3.1M49.6M-620.7K0.2434.24N/AN/A3,39080649,11876,962
2010-12-29$41.91$42.5031.7%9.1%23.9%16.6%31.4%1.5%2.6%-3.2M52.7M-616.3K0.1129.22N/AN/A2,32426449,30877,108
2010-12-30$40.95$42.5031.9%9.1%24.6%17.6%32.0%1.1%2.3%-3.3M69.6M-594.2K5.7338.53N/AN/A2,24412,85250,30477,092
2010-12-31$41.16$42.5033.5%9.6%24.7%24.6%33.7%0.6%2.4%-3.4M67.3M-618.8K0.668.57N/AN/A2,3681,57051,47079,822