GOLD Options History — June 2011

In June 2011, GOLD traded between $37.20 and $42.02. ATM implied volatility averaged 29.8%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 1.2% (HV 20d: 31.0%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.72.

Notable Days

  • 2011-06-16: Highest Volume — 8,290 contracts
  • 2011-06-16: Largest IV spike — 9.6% change
  • 2011-06-16: Highest IV Rank — 53.2%
  • 2011-06-16: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.48$37.20$42.02$40.31$42.02
Max Pain$38.58$37.50$40.00$40.00$38.75
ATM IV29.8%25.9%33.8%30.1%25.9%
Expected Move8.6%7.4%9.7%8.6%7.4%
HV 20d31.0%22.2%35.4%28.3%35.4%
HV 60d36.7%29.8%39.1%37.4%29.8%
IV Rank22.7%0.0%53.2%18.0%0.0%
IV Percentile22.1%0.0%70.6%21.4%0.0%
Term Structure3.1%-0.2%5.5%-0.2%5.5%
VWIV30.8%27.6%34.1%31.0%27.6%
Skew 25d1.7%1.1%2.2%2.1%1.5%
Skew 10d3.1%0.3%7.9%4.1%3.7%
Call IV 25d29.5%26.3%33.6%29.3%26.3%
Put IV 25d31.2%27.8%35.3%31.4%27.8%
Bid-Ask Spread %14.427.9521.3619.2916.29
Gamma HHI0.160.100.650.130.12
Net GEX-83.7K-10.7M2.1M1.4M2.1M
Net DEX6.3M-36.3M51.7M-9.1M-36.3M
Net VEX-649.1K-702.3K-565.9K-699.1K-691.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.223.953.412.15
Total Volume2,598.9095348,2901,8603,258
Total OI114,577.18296,806132,064120,056100,592

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$40.31$40.0030.1%8.6%28.3%18.0%31.0%2.1%-0.2%1.4M-9.1M-699.1K3.4119.29N/AN/A4221,43875,15644,900
2011-06-02$40.41$40.0029.0%8.3%27.8%12.6%30.9%1.9%0.4%1.4M-9.6M-700.4K3.5715.73N/AN/A3421,22075,30446,236
2011-06-03$40.50$38.7528.1%8.4%22.2%8.4%28.9%1.6%2.7%1.5M-11.3M-702.3K0.998.63N/AN/A64864075,37247,068
2011-06-06$39.86$38.7530.6%8.6%22.9%20.5%31.6%1.9%2.5%858.3K1.1M-672.6K0.467.95N/AN/A87240275,76847,080
2011-06-07$40.16$37.5027.7%8.2%23.0%6.7%28.9%1.6%3.1%1.1M-4.3M-666.1K0.6810.25N/AN/A2,0221,37476,19647,272
2011-06-08$38.52$37.5030.2%8.6%27.3%21.8%31.1%1.6%2.6%-517.5K27.9M-615.2K1.1210.39N/AN/A86896876,53247,886
2011-06-09$40.04$38.7528.8%8.2%29.8%15.7%29.7%1.7%3.2%994.9K-415.0K-657.8K0.499.66N/AN/A1,44470676,95848,020
2011-06-10$39.01$38.7530.0%8.6%30.5%26.2%30.1%1.7%2.6%66.2K18.2M-630.1K1.1810.26N/AN/A67880077,89848,038
2011-06-13$38.27$38.7530.9%8.9%31.3%32.3%31.3%1.1%1.9%-873.8K31.7M-594.5K2.2913.55N/AN/A5941,36077,99448,372
2011-06-14$38.88$38.7529.9%8.6%31.5%25.4%29.8%1.6%2.8%-119.7K20.9M-609.9K0.2211.99N/AN/A4389678,37049,000
2011-06-15$37.99$38.7530.9%8.8%32.1%31.9%31.7%1.7%2.9%-1.4M37.7M-581.2K1.9915.39N/AN/A6581,31078,53849,026
2011-06-16$37.20$38.7533.8%9.7%32.4%53.2%34.1%1.8%2.0%-2.7M51.7M-565.9K1.3210.61N/AN/A3,5704,72078,58249,080
2011-06-17$37.56$38.7532.1%9.2%32.6%40.9%32.6%1.1%3.5%-10.7M41.0M-609.6K0.6218.14N/AN/A4,2642,63480,32651,738
2011-06-20$37.52$37.5031.3%9.0%32.3%35.0%32.1%1.3%3.5%-485.9K25.6M-608.0K1.9313.32N/AN/A49495457,23239,574
2011-06-21$39.08$37.5029.5%8.5%34.8%22.4%30.0%1.4%3.9%111.9K8.7M-638.6K0.7512.24N/AN/A1,17687857,56440,204
2011-06-22$39.82$37.5028.7%8.2%34.1%16.5%30.1%1.7%4.5%646.9K-3.5M-663.9K2.2915.83N/AN/A9542,18858,14240,232
2011-06-23$40.02$38.7529.5%8.5%34.1%22.1%30.5%1.9%4.2%792.4K-5.9M-672.2K2.2216.19N/AN/A8281,83858,44240,334
2011-06-24$39.33$38.7530.3%8.7%34.6%27.7%30.7%1.8%4.0%379.5K2.7M-665.0K1.3119.80N/AN/A29238258,89641,408
2011-06-27$39.80$38.7530.9%8.9%34.0%32.1%34.0%2.1%3.8%611.7K-2.7M-662.2K3.9519.52N/AN/A6362,51458,99641,630
2011-06-28$40.64$38.7528.8%8.3%34.7%17.2%31.6%2.2%5.1%1.2M-14.9M-677.3K1.5221.36N/AN/A7721,17259,20041,204
2011-06-29$41.67$38.7528.0%8.0%35.3%11.8%30.1%2.2%4.4%1.8M-31.3M-697.8K3.5020.82N/AN/A9683,38459,40040,938
2011-06-30$42.02$38.7525.9%7.4%35.4%0.0%27.6%1.5%5.5%2.1M-36.3M-691.6K2.1516.29N/AN/A1,0342,22459,78440,808