GOLD Options History — February 2011

In February 2011, GOLD traded between $38.51 and $41.13. ATM implied volatility averaged 30.9%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.6% (HV 20d: 28.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2011-02-18: Highest Volume — 14,750 contracts
  • 2011-02-07: Largest IV drop — 18.1% change
  • 2011-02-04: Highest IV Rank — 27.2%
  • 2011-02-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.92$38.51$41.13$39.38$40.48
Max Pain$42.11$40.00$45.00$40.00$42.50
ATM IV30.9%26.4%34.1%33.9%29.9%
Expected Move9.0%8.3%9.7%9.7%8.6%
HV 20d28.3%26.2%30.6%28.3%27.4%
HV 60d25.3%24.7%26.4%24.7%26.4%
IV Rank16.5%0.0%27.2%25.9%14.3%
IV Percentile21.3%0.0%48.8%45.2%14.3%
Term Structure0.8%-1.3%3.0%-0.9%1.4%
VWIV31.7%29.4%34.8%34.6%30.4%
Skew 25d0.4%-0.5%1.5%1.0%0.8%
Skew 10d0.5%-3.5%3.2%3.2%-3.5%
Call IV 25d31.8%29.9%34.8%34.0%30.1%
Put IV 25d32.2%29.9%35.1%35.1%30.9%
Bid-Ask Spread %19.3013.8325.1022.7119.75
Gamma HHI0.310.210.470.360.22
Net GEX-654.5K-2.3M855.4K-1.5M149.8K
Net DEX35.5M5.0M65.0M42.2M30.2M
Net VEX-508.7K-540.5K-484.1K-520.3K-497.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.082.180.431.30
Total Volume4,999.3681,78814,7504,0342,054
Total OI92,647.05385,942105,62085,94290,622

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$39.38$40.0033.9%9.7%28.3%25.9%34.6%1.0%-0.9%-1.5M42.2M-520.3K0.4322.71N/AN/A2,8121,22238,98046,962
2011-02-02$39.30$40.0033.5%9.6%28.1%24.2%33.7%0.5%-1.3%-1.7M43.0M-510.0K0.5525.10N/AN/A1,68092638,79847,344
2011-02-03$40.17$40.0031.8%9.1%26.8%17.2%31.7%1.5%-0.1%-1.3M29.7M-520.5K0.2123.03N/AN/A1,71435238,75847,446
2011-02-04$39.98$45.0034.1%9.7%26.6%27.2%34.8%-0.2%-0.2%-1.2M30.6M-526.0K0.0817.29N/AN/A8,58272839,34847,442
2011-02-07$41.02$42.5028.0%8.8%28.0%0.7%31.0%-0.1%2.2%170.5K5.0M-540.5K0.3721.98N/AN/A5,1681,90244,95247,476
2011-02-08$41.13$42.5027.8%9.0%27.8%0.2%30.7%0.6%0.7%-37.6K7.6M-527.6K0.6217.84N/AN/A3,2942,05843,40047,168
2011-02-09$40.02$42.5026.4%8.8%29.1%0.0%31.2%0.6%1.4%-857.4K30.4M-507.3K2.1821.72N/AN/A9322,03442,93648,258
2011-02-10$39.38$42.5030.4%8.7%29.5%16.3%30.7%1.0%1.7%-1.6M47.2M-502.3K1.1815.89N/AN/A1,5661,84243,10049,722
2011-02-11$38.51$42.5030.3%8.7%30.3%15.7%30.9%0.4%2.1%-2.3M65.0M-484.1K0.4119.52N/AN/A1,51861643,56051,156
2011-02-14$38.93$42.5032.7%9.4%30.6%25.4%32.9%0.3%-0.6%-1.9M59.1M-484.6K0.1016.59N/AN/A4,32844244,00651,378
2011-02-15$39.09$42.5032.7%9.4%29.2%25.4%32.8%0.5%-0.1%-1.3M52.2M-494.1K0.2713.83N/AN/A3,9621,07247,26851,404
2011-02-16$39.41$42.5031.9%9.1%29.2%22.0%31.8%0.6%0.2%-262.2K43.9M-497.4K0.2020.13N/AN/A5,5841,10249,15051,284
2011-02-17$39.57$40.0030.1%8.6%27.0%15.1%30.2%0.8%1.5%855.4K39.2M-511.2K0.3318.95N/AN/A5,5501,81652,72452,182
2011-02-18$40.93$42.5028.8%8.3%29.6%9.8%29.4%-0.5%3.0%508.8K5.3M-517.0K0.3616.15N/AN/A10,8603,89051,87053,750
2011-02-22$40.38$42.5031.2%9.0%30.0%19.5%31.3%-0.5%0.5%-44.7K35.2M-500.1K0.4322.29N/AN/A5,5842,41841,27846,138
2011-02-23$40.42$42.5032.1%9.2%26.2%23.0%33.0%-0.3%1.3%2.9K34.8M-512.9K0.5418.04N/AN/A2,3201,24442,18047,508
2011-02-24$39.78$42.5031.4%9.0%26.9%20.0%32.5%-0.1%0.1%-256.3K46.0M-505.1K0.4617.40N/AN/A1,22856042,90048,250
2011-02-25$40.65$42.5029.4%8.4%27.3%11.9%29.5%0.3%2.0%157.2K28.2M-507.2K0.5518.49N/AN/A1,30672242,73646,860
2011-02-28$40.48$42.5029.9%8.6%27.4%14.3%30.4%0.8%1.4%149.8K30.2M-497.2K1.3019.75N/AN/A8921,16243,15647,466