GOLD Options History — May 2011

In May 2011, GOLD traded between $37.70 and $41.88. ATM implied volatility averaged 32.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 2.3% (HV 20d: 29.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2011-05-20: Highest Volume — 23,434 contracts
  • 2011-05-11: Largest IV spike — 5.4% change
  • 2011-05-03: Highest IV Rank — 35.0%
  • 2011-05-03: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.52$37.70$41.88$41.88$40.98
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV32.1%27.8%35.1%34.1%27.8%
Expected Move9.2%8.0%10.1%9.8%8.0%
HV 20d29.8%26.5%38.0%38.0%28.7%
HV 60d38.1%37.5%38.7%37.6%38.4%
IV Rank23.7%6.9%35.0%31.1%6.9%
IV Percentile42.8%3.2%75.0%63.9%3.2%
Term Structure0.3%-2.0%1.8%-2.0%1.0%
VWIV32.6%28.4%35.7%34.5%29.6%
Skew 25d1.5%0.0%2.5%1.0%2.4%
Skew 10d3.1%0.6%5.6%2.1%5.6%
Call IV 25d32.0%27.1%35.6%34.1%27.5%
Put IV 25d33.5%29.4%36.0%35.1%29.9%
Bid-Ask Spread %16.5112.8121.8015.1418.01
Gamma HHI0.120.110.150.130.12
Net GEX746.5K-457.7K2.5M2.5M1.9M
Net DEX11.4M-34.4M46.4M-34.4M-17.6M
Net VEX-672.2K-746.4K-608.1K-735.5K-706.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.042.950.440.36
Total Volume4,2741,09023,4342,7104,190
Total OI118,630110,732124,040110,732117,756

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$41.88$40.0034.1%9.8%38.0%31.1%34.5%1.0%-2.0%2.5M-34.4M-735.5K0.4415.14N/AN/A1,88282869,19641,536
2011-05-03$40.99$40.0035.1%10.1%37.7%35.0%34.9%0.2%-1.9%2.0M-18.3M-717.4K1.4019.16N/AN/A1,7682,47870,39442,062
2011-05-04$41.56$40.0034.9%10.0%26.5%34.4%35.7%0.5%-1.8%2.3M-27.7M-746.4K0.5420.78N/AN/A3,2021,71470,43043,226
2011-05-05$39.69$40.0033.9%9.7%29.7%30.4%35.2%0.0%-0.2%1.1M8.4M-675.4K1.3021.80N/AN/A3,8104,96671,20643,554
2011-05-06$39.87$40.0033.4%9.5%29.8%28.1%33.4%1.9%-0.3%1.2M4.6M-694.9K1.0517.13N/AN/A1,1101,16473,09245,852
2011-05-09$40.12$40.0033.2%9.6%28.6%27.5%33.1%2.5%0.7%1.3M1.0M-697.4K0.2714.25N/AN/A10,3422,79073,16846,410
2011-05-10$39.88$40.0031.7%9.3%28.3%21.4%32.2%1.6%1.1%1.2M6.1M-714.3K0.2214.88N/AN/A1,99644675,74248,298
2011-05-11$39.03$40.0033.4%9.6%29.0%28.3%33.3%1.6%0.2%417.2K23.1M-682.7K0.4712.81N/AN/A92443473,39448,420
2011-05-12$38.31$40.0033.4%9.6%29.4%28.3%33.6%1.5%0.5%-135.5K36.8M-644.7K1.2213.82N/AN/A1,8202,22073,59648,470
2011-05-13$38.06$40.0033.5%9.6%27.6%28.8%34.2%1.6%0.4%-179.4K40.2M-639.6K1.0515.03N/AN/A87892673,82248,228
2011-05-16$37.70$40.0033.9%9.7%27.5%30.1%34.3%1.2%0.1%-457.7K46.4M-608.1K1.4615.17N/AN/A45466474,07248,574
2011-05-17$38.37$40.0032.9%9.4%28.8%26.2%33.4%2.1%0.7%-186.2K37.3M-629.0K0.6413.48N/AN/A66442674,04848,690
2011-05-18$38.89$40.0032.5%9.3%29.6%24.5%33.0%0.9%1.0%199.7K27.1M-635.2K0.6613.99N/AN/A90660274,27848,662
2011-05-19$38.51$40.0032.0%9.2%28.3%22.7%33.0%1.2%0.8%-317.6K35.8M-615.7K1.1914.99N/AN/A1,0161,21273,85048,564
2011-05-20$38.92$40.0030.8%8.8%28.8%18.5%30.6%1.9%1.8%-148.5K28.2M-612.8K0.0418.45N/AN/A22,49494071,25648,578
2011-05-23$38.16$40.0031.7%9.1%28.6%22.7%31.8%1.9%-0.1%-216.2K28.0M-634.2K0.8614.80N/AN/A1,09694671,43843,824
2011-05-24$39.22$40.0030.8%8.8%30.7%20.2%30.4%1.7%0.4%360.2K12.7M-669.1K0.2618.35N/AN/A2,28458471,63444,360
2011-05-25$39.46$40.0029.5%8.4%30.1%14.9%30.1%1.9%1.0%552.9K8.5M-675.1K0.2217.57N/AN/A1,21226872,41844,500
2011-05-26$39.78$40.0028.5%8.2%30.0%10.3%28.4%2.3%1.2%785.1K2.8M-675.2K2.9519.58N/AN/A4621,36272,61044,408
2011-05-27$40.59$40.0028.0%8.0%30.6%8.0%30.8%2.3%1.3%1.5M-10.3M-706.8K1.9717.55N/AN/A7661,50872,78244,832
2011-05-31$40.98$40.0027.8%8.0%28.7%6.9%29.6%2.4%1.0%1.9M-17.6M-706.0K0.3618.01N/AN/A3,0881,10273,06644,690