GOLD Options History — January 2011

In January 2011, GOLD traded between $38.01 and $41.62. ATM implied volatility averaged 33.3%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.8% (HV 20d: 26.5%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2011-01-05: Highest Volume — 13,686 contracts
  • 2011-01-13: Largest IV spike — 11.8% change
  • 2011-01-31: Highest IV Rank — 33.8%
  • 2011-01-31: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.76$38.01$41.62$40.80$38.24
Max Pain$41.63$40.00$42.50$42.50$40.00
ATM IV33.3%31.2%35.7%32.4%35.7%
Expected Move9.7%9.0%10.2%9.3%10.2%
HV 20d26.5%24.7%29.1%24.8%25.9%
HV 60d25.8%24.3%27.2%27.0%25.3%
IV Rank23.7%14.5%33.8%19.8%33.8%
IV Percentile37.8%19.8%60.3%27.4%60.3%
Term Structure0.2%-1.6%2.7%1.6%-1.6%
VWIV34.2%32.1%36.0%32.2%35.3%
Skew 25d0.4%-2.0%2.4%1.7%1.1%
Skew 10d1.3%-2.1%8.6%3.3%2.3%
Call IV 25d34.5%32.4%36.6%32.4%35.1%
Put IV 25d34.8%32.5%37.0%34.1%36.2%
Bid-Ask Spread %26.2517.0638.4830.5920.17
Gamma HHI0.320.230.400.280.40
Net GEX-3.1M-4.4M-1.8M-3.8M-1.8M
Net DEX76.7M44.1M117.2M77.0M58.1M
Net VEX-574.8K-624.7K-504.9K-597.2K-507.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.143.483.480.33
Total Volume5,6491,26013,6869,7561,260
Total OI127,389.579,644153,660133,23886,078

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$40.80$42.5032.4%9.3%24.8%19.8%32.2%1.7%1.6%-3.8M77.0M-597.2K3.4830.59N/AN/A2,1767,58052,24480,994
2011-01-04$40.34$42.5031.5%9.0%24.7%15.8%32.1%0.1%2.7%-4.1M90.3M-617.9K0.6334.27N/AN/A4,1082,57053,28884,234
2011-01-05$39.09$42.5034.1%9.8%25.5%26.8%34.7%0.8%1.6%-4.2M117.2M-596.1K1.0733.14N/AN/A6,6127,07455,33485,180
2011-01-06$39.57$42.5033.3%9.5%26.0%23.5%34.0%1.1%2.3%-3.4M99.5M-619.5K1.3238.48N/AN/A2,8003,69258,83883,546
2011-01-07$39.66$42.5031.5%9.9%26.1%16.0%35.0%0.9%-0.2%-3.4M97.6M-618.2K1.1830.61N/AN/A2,1122,49859,61884,322
2011-01-10$40.09$42.5032.9%10.2%26.3%21.8%35.8%0.7%-0.4%-3.5M88.9M-612.0K0.2029.62N/AN/A2,16642459,96885,772
2011-01-11$40.71$42.5032.4%10.2%26.0%19.6%36.0%-0.8%-0.7%-3.4M71.2M-623.1K0.6929.71N/AN/A3,3762,34260,77085,810
2011-01-12$40.80$42.5031.2%10.0%26.0%14.5%35.2%0.0%0.1%-3.3M69.1M-624.7K3.0624.39N/AN/A1,1543,53462,15086,746
2011-01-13$40.44$42.5034.9%10.0%25.4%30.3%35.1%-2.0%-0.4%-3.5M80.2M-611.4K1.5324.74N/AN/A1,8842,87662,25887,992
2011-01-14$40.66$42.5034.8%10.0%25.6%29.9%35.4%-0.6%-0.2%-3.4M74.4M-624.1K0.3427.45N/AN/A1,66256462,51489,770
2011-01-18$41.62$42.5033.9%9.7%27.3%26.0%34.2%0.1%0.2%-3.5M44.1M-599.1K0.3926.07N/AN/A2,47496663,79689,864
2011-01-19$41.12$42.5033.5%9.6%27.6%24.5%33.2%0.1%0.1%-3.2M58.4M-577.4K0.4125.73N/AN/A4,3901,81463,03089,430
2011-01-20$39.81$42.5033.5%9.6%28.1%24.3%34.0%-0.0%0.7%-3.4M106.0M-558.4K0.8824.83N/AN/A4,8724,28862,10889,318
2011-01-21$39.77$40.0032.7%9.4%28.1%20.8%32.5%-0.4%0.6%-4.4M110.4M-540.2K0.6825.40N/AN/A2,9301,99662,57086,628
2011-01-24$39.65$40.0032.3%9.2%28.1%19.1%33.1%-0.2%0.2%-2.1M46.3M-528.7K0.1418.48N/AN/A3,59050432,80046,844
2011-01-25$38.15$40.0033.1%9.5%29.1%22.5%33.6%0.4%0.9%-2.4M65.2M-504.9K0.3819.28N/AN/A3,6441,40233,78046,964
2011-01-26$38.48$40.0034.1%9.8%26.6%26.8%33.6%2.4%-0.7%-2.2M60.3M-514.3K1.3617.06N/AN/A3,2384,40635,91247,058
2011-01-27$38.01$40.0034.7%9.9%26.7%29.6%35.0%0.9%-1.3%-1.9M61.7M-506.7K1.3422.43N/AN/A3,4724,66237,62647,002
2011-01-28$38.22$40.0034.7%9.9%26.0%29.4%34.6%1.5%-1.6%-1.8M57.6M-514.1K0.6022.64N/AN/A1,16470438,74646,888
2011-01-31$38.24$40.0035.7%10.2%25.9%33.8%35.3%1.1%-1.6%-1.8M58.1M-507.4K0.3320.17N/AN/A94431638,97047,108