GOLD Options History — April 2011

In April 2011, GOLD traded between $40.78 and $43.92. ATM implied volatility averaged 33.0%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 15.4% (HV 20d: 48.4%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2011-04-05: Highest Volume — 24,256 contracts
  • 2011-04-05: Largest IV spike — 14.9% change
  • 2011-04-11: Highest IV Rank — 45.0%
  • 2011-04-11: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.84$40.78$43.92$41.80$43.28
Max Pain$39.50$37.50$40.00$37.50$40.00
ATM IV33.0%29.6%37.5%29.6%31.5%
Expected Move9.5%8.5%10.2%8.5%9.0%
HV 20d48.4%36.8%50.5%47.9%36.8%
HV 60d37.4%34.3%38.4%34.3%37.1%
IV Rank26.6%12.8%45.0%12.8%20.7%
IV Percentile47.1%15.5%82.1%15.5%33.7%
Term Structure-0.4%-1.2%2.3%2.3%-1.0%
VWIV33.4%29.6%35.9%29.6%31.9%
Skew 25d0.5%-0.4%1.6%0.0%1.4%
Skew 10d1.2%-0.7%4.0%2.0%1.7%
Call IV 25d33.4%30.0%35.9%30.0%31.8%
Put IV 25d33.9%30.1%36.2%30.1%33.2%
Bid-Ask Spread %14.838.5720.8020.8017.13
Gamma HHI0.170.140.220.190.15
Net GEX2.2M947.9K3.4M2.1M3.4M
Net DEX-58.6M-85.8M-30.1M-55.0M-62.9M
Net VEX-665.4K-778.0K-552.8K-558.3K-778.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.052.120.140.36
Total Volume7,262.198824,25615,3284,688
Total OI96,731.784,538108,89286,116108,892

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$41.80$37.5029.6%8.5%47.9%12.8%29.6%0.0%2.3%2.1M-55.0M-558.3K0.1420.80N/AN/A13,4821,84643,72642,390
2011-04-04$40.78$37.5031.1%9.3%45.9%19.1%33.1%1.0%-0.1%1.8M-36.5M-554.3K0.9113.75N/AN/A2,9422,66643,85843,048
2011-04-05$43.92$37.5035.8%9.9%49.0%37.8%33.7%1.1%-1.2%1.7M-81.3M-552.8K0.3313.18N/AN/A18,2645,99242,95444,364
2011-04-06$42.83$37.5034.9%10.0%50.4%34.5%35.2%0.3%-0.8%2.0M-69.8M-609.4K0.2814.23N/AN/A5,6761,56648,22846,348
2011-04-07$42.68$40.0034.8%10.1%48.4%33.7%35.3%0.7%-1.0%2.2M-67.8M-618.4K0.4515.45N/AN/A3,6021,61849,74646,676
2011-04-08$43.60$40.0032.8%10.1%48.6%25.8%35.1%0.2%-0.9%2.5M-85.8M-639.6K0.4613.10N/AN/A4,8922,23652,00647,856
2011-04-11$42.92$40.0037.5%10.2%49.2%45.0%35.9%0.3%-1.2%2.4M-73.4M-659.7K0.748.57N/AN/A2,1841,61053,04049,574
2011-04-12$42.53$40.0035.5%10.1%49.0%36.6%35.4%-0.0%-1.1%2.5M-66.2M-655.1K0.339.29N/AN/A2,22473053,52050,246
2011-04-13$42.15$40.0032.7%10.0%48.7%25.4%35.0%-0.2%-1.0%2.6M-56.4M-648.5K1.4410.76N/AN/A1,8722,69853,20250,178
2011-04-14$43.10$40.0034.7%10.0%49.0%33.6%34.9%-0.3%-0.3%3.0M-75.7M-661.1K0.5412.26N/AN/A1,24467653,60652,036
2011-04-15$43.08$40.0033.4%9.6%49.1%28.3%33.5%-0.4%0.1%2.3M-73.8M-658.4K0.2612.73N/AN/A2,90874452,86252,230
2011-04-18$42.70$40.0033.0%9.4%49.4%26.5%33.1%0.1%-0.0%947.9K-30.1M-641.5K0.1116.00N/AN/A12,5141,35842,26042,278
2011-04-19$42.66$40.0031.4%9.0%49.5%20.1%31.6%0.2%0.3%1.6M-38.5M-729.0K0.5019.93N/AN/A65833052,35843,086
2011-04-20$43.45$40.0031.6%9.1%49.4%21.1%32.1%1.2%0.3%1.9M-51.2M-733.4K2.1219.28N/AN/A4,3409,19452,41043,336
2011-04-21$43.60$40.0031.4%9.0%49.4%20.2%31.9%1.1%0.3%2.4M-57.2M-727.9K0.6117.76N/AN/A1,43488053,94839,570
2011-04-25$42.66$40.0033.2%9.5%50.5%27.3%33.4%0.6%-0.2%2.0M-40.6M-695.0K0.1214.89N/AN/A5,08262852,69839,004
2011-04-26$42.82$40.0032.2%9.2%48.7%23.2%32.4%0.1%-0.3%2.1M-44.7M-719.6K0.1115.13N/AN/A1,48216054,02239,408
2011-04-27$43.52$40.0031.2%8.9%48.7%19.3%33.0%1.6%-1.1%2.4M-54.1M-713.0K0.0513.55N/AN/A14,30866854,47039,440
2011-04-28$42.73$40.0031.8%9.1%49.6%21.9%31.8%0.7%-1.1%3.0M-51.5M-754.3K0.4518.77N/AN/A4,0421,80465,94439,816
2011-04-29$43.28$40.0031.5%9.0%36.8%20.7%31.9%1.4%-1.0%3.4M-62.9M-778.0K0.3617.13N/AN/A3,4421,24667,98240,910