GOLD Options History — July 2011

In July 2011, GOLD traded between $41.34 and $45.96. ATM implied volatility averaged 29.0%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 3.8% (HV 20d: 25.2%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2011-07-14: Highest Volume — 12,640 contracts
  • 2011-07-11: Largest IV spike — 18.7% change
  • 2011-07-14: Highest IV Rank — 46.0%
  • 2011-07-11: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.74$41.34$45.96$41.34$45.41
Max Pain$41.13$37.50$42.50$38.75$42.50
ATM IV29.0%24.4%31.7%25.8%31.3%
Expected Move8.7%7.4%9.2%7.4%9.0%
HV 20d25.2%17.9%36.0%36.0%18.1%
HV 60d29.2%27.8%29.7%29.5%27.8%
IV Rank27.6%0.0%46.0%0.0%43.1%
IV Percentile22.2%0.0%48.8%0.0%47.2%
Term Structure0.6%-0.6%5.4%5.4%-0.5%
VWIV30.8%26.7%33.1%26.7%30.6%
Skew 25d2.7%1.9%3.1%1.9%2.9%
Skew 10d5.9%4.4%7.0%4.8%6.0%
Call IV 25d29.4%25.5%30.9%25.5%30.0%
Put IV 25d32.1%27.4%33.6%27.4%32.9%
Bid-Ask Spread %15.2610.9624.5224.5216.60
Gamma HHI0.160.120.190.120.19
Net GEX4.1M1.8M6.7M1.8M5.1M
Net DEX-69.8M-104.5M-26.3M-26.3M-93.5M
Net VEX-708.5K-747.4K-641.4K-665.9K-737.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.137.762.090.30
Total Volume4,175.591812,6401,4841,394
Total OI104,170.499,680114,99099,680105,118

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$41.34$38.7525.8%7.4%36.0%0.0%26.7%1.9%5.4%1.8M-26.3M-665.9K2.0924.52N/AN/A4801,00459,86239,818
2011-07-05$41.55$37.5027.8%9.1%35.4%13.9%31.5%2.8%0.2%1.8M-28.3M-658.2K2.0312.32N/AN/A6841,38860,06840,462
2011-07-06$41.48$40.0027.0%9.0%35.4%8.6%30.8%3.0%0.3%1.9M-27.5M-641.4K0.1910.96N/AN/A5,8441,12260,54040,392
2011-07-07$42.05$40.0024.6%8.7%31.7%0.0%31.6%3.1%0.6%2.6M-41.1M-692.3K7.7611.20N/AN/A1,2889,99265,69840,992
2011-07-08$41.88$40.0024.4%8.7%29.1%0.0%33.1%3.0%0.4%2.8M-41.7M-666.7K2.1914.70N/AN/A5361,17465,93637,280
2011-07-11$41.70$40.0028.9%9.2%27.2%28.6%32.4%2.8%0.1%2.6M-38.5M-651.2K0.3813.29N/AN/A1,14043866,18437,690
2011-07-12$41.94$40.0029.4%9.1%25.9%31.6%31.8%2.6%0.0%2.9M-42.6M-658.2K0.1314.76N/AN/A7,6781,02066,38837,946
2011-07-13$43.51$40.0029.1%9.0%28.1%29.4%31.8%2.9%0.4%6.0M-78.7M-710.2K0.3516.51N/AN/A9,2403,25669,45238,102
2011-07-14$43.63$41.2531.7%9.1%26.0%46.0%32.3%2.8%0.7%6.7M-86.1M-707.8K0.3413.47N/AN/A9,4343,20671,72237,692
2011-07-15$44.00$41.2531.1%8.9%23.8%41.8%30.9%2.9%1.1%5.6M-94.0M-737.9K0.2215.94N/AN/A1,35830475,66239,328
2011-07-18$44.58$41.2530.7%8.8%23.8%39.3%32.1%2.8%0.8%4.3M-80.9M-742.8K0.9518.51N/AN/A1,02297267,94232,590
2011-07-19$44.16$42.5030.3%8.7%24.4%36.9%31.8%2.8%0.8%4.0M-71.0M-724.0K2.5915.50N/AN/A1,0882,82267,93433,348
2011-07-20$44.62$42.5029.4%8.4%21.3%31.2%30.3%2.5%0.9%4.2M-77.7M-730.6K0.8219.33N/AN/A50441467,86233,874
2011-07-21$45.15$42.5028.6%8.2%20.9%26.2%29.0%2.4%1.1%4.7M-87.2M-736.4K0.5217.45N/AN/A1,01652868,06434,020
2011-07-22$45.31$42.5028.2%8.1%20.9%23.8%27.9%2.2%0.9%4.9M-90.6M-739.4K0.5616.14N/AN/A1,33875268,51034,362
2011-07-25$45.38$42.5030.1%8.6%19.1%35.7%30.1%2.8%0.2%5.0M-92.2M-735.6K0.5311.33N/AN/A1,70890069,07434,522
2011-07-26$45.96$42.5029.9%8.6%19.1%34.3%29.8%2.6%-0.1%5.4M-104.5M-747.4K0.7114.71N/AN/A79456469,55834,864
2011-07-27$45.53$42.5031.2%8.9%19.3%42.6%30.9%2.7%-0.6%5.2M-97.1M-741.3K1.0811.81N/AN/A1,8762,02069,75435,180
2011-07-28$45.62$42.5030.5%8.8%17.9%38.5%30.0%2.4%-0.1%5.2M-96.8M-745.7K1.8216.20N/AN/A1,1382,07470,03035,588
2011-07-29$45.41$42.5031.3%9.0%18.1%43.1%30.6%2.9%-0.5%5.1M-93.5M-737.6K0.3016.60N/AN/A1,07032470,10035,018