GOLD Options History — September 2011

In September 2011, GOLD traded between $47.59 and $56.73. ATM implied volatility averaged 43.2%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 1.5% (HV 20d: 44.7%). Max pain ranged from $45.00 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2011-09-20: Highest Volume — 17,998 contracts
  • 2011-09-22: Largest IV spike — 19.9% change
  • 2011-09-23: Highest IV Rank — 100.0%
  • 2011-09-23: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.74$47.59$56.73$51.80$48.36
Max Pain$51.43$45.00$52.50$45.00$50.00
ATM IV43.2%35.0%52.3%35.0%50.3%
Expected Move12.4%10.0%15.0%10.0%14.4%
HV 20d44.7%35.1%49.2%44.4%49.2%
HV 60d34.7%32.0%39.8%32.9%39.8%
IV Rank70.9%41.5%100.0%41.5%93.1%
IV Percentile95.1%83.3%100.0%83.3%98.8%
Term Structure-0.3%-2.3%2.2%2.2%0.2%
VWIV43.4%36.2%53.3%36.2%49.2%
Skew 25d4.5%2.1%6.4%3.3%5.5%
Skew 10d9.3%4.7%12.5%4.7%11.6%
Call IV 25d41.8%35.4%49.4%35.4%48.5%
Put IV 25d46.3%38.7%55.8%38.7%54.0%
Bid-Ask Spread %23.1411.7140.1719.8125.28
Gamma HHI0.130.080.270.150.08
Net GEX5.1M567.3K9.1M8.6M851.1K
Net DEX-191.6M-352.4M-15.4M-219.2M-30.0M
Net VEX-904.4K-999.2K-822.6K-888.6K-966.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.092.250.270.43
Total Volume6,533.0481,13217,9986,7625,230
Total OI134,722.85798,642156,356144,144125,922

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$51.80$45.0035.0%10.0%44.4%41.5%36.2%3.3%2.2%8.6M-219.2M-888.6K0.2719.81N/AN/A5,3201,44295,32048,824
2011-09-02$54.00$45.0037.3%10.7%46.3%50.4%37.9%2.1%0.7%9.1M-291.6M-913.7K0.2020.74N/AN/A3,73676298,68049,348
2011-09-06$54.59$52.5044.6%11.9%44.5%78.7%41.4%4.8%-2.0%8.5M-306.7M-892.0K0.2813.51N/AN/A6,3361,75098,36849,746
2011-09-07$54.44$52.5041.6%11.6%44.0%67.1%41.9%4.7%-2.0%8.7M-299.1M-877.2K0.6311.71N/AN/A2,1401,34498,59050,332
2011-09-08$56.23$52.5041.4%11.7%44.2%66.2%40.7%4.3%-1.6%8.0M-352.4M-852.7K0.2716.23N/AN/A3,47494498,38650,784
2011-09-09$55.85$52.5041.5%12.3%42.5%66.7%42.2%4.3%-2.3%8.1M-341.4M-855.3K0.5716.44N/AN/A2,6261,48498,52251,172
2011-09-12$54.28$52.5044.9%12.3%44.2%80.0%43.7%4.7%-1.9%8.3M-298.7M-841.0K0.6720.79N/AN/A7,8745,29298,68451,882
2011-09-13$55.62$52.5041.1%12.2%44.3%65.2%44.1%4.9%-1.2%8.0M-335.7M-834.7K0.0919.69N/AN/A9,45487298,48053,216
2011-09-14$54.30$52.5037.4%11.8%44.8%50.6%41.7%3.9%-0.5%8.2M-305.2M-853.1K0.8720.82N/AN/A2,1721,880101,55653,646
2011-09-15$53.48$52.5040.0%11.5%45.2%60.9%39.5%3.9%0.2%8.3M-279.7M-840.4K1.1225.04N/AN/A2,2282,494101,42653,918
2011-09-16$54.42$52.5037.8%10.8%45.0%52.2%38.5%3.7%0.6%5.7M-305.4M-822.6K0.2423.70N/AN/A7,3781,764101,61854,738
2011-09-19$55.06$52.5038.3%11.0%40.9%54.0%38.9%4.5%1.5%3.5M-142.3M-866.0K2.2540.17N/AN/A1,3383,00662,48636,156
2011-09-20$56.73$52.5037.5%10.8%40.5%51.2%37.6%3.1%1.2%3.8M-165.4M-904.3K1.5629.01N/AN/A7,02610,97262,85638,912
2011-09-21$55.10$52.5039.0%11.2%35.1%57.1%39.3%3.2%1.7%3.1M-133.9M-989.2K0.6634.22N/AN/A1,11073467,13647,680
2011-09-22$51.47$52.5046.8%13.4%42.5%87.3%47.5%4.0%-0.8%1.8M-76.2M-999.2K0.9429.87N/AN/A4,3164,06467,50449,030
2011-09-23$48.21$52.5052.3%15.0%48.2%100.0%53.3%6.4%-1.3%910.0K-27.1M-945.9K1.5720.09N/AN/A5,0727,95068,45449,766
2011-09-26$48.92$52.5050.1%14.4%47.9%92.2%51.7%6.0%-0.0%936.0K-35.7M-975.9K0.7617.44N/AN/A3,4482,62869,22852,644
2011-09-27$49.55$52.5047.7%13.7%47.6%83.7%48.3%5.7%-0.2%1.2M-45.5M-974.5K0.7628.52N/AN/A2,5841,96670,31453,132
2011-09-28$47.60$50.0051.4%14.7%49.0%96.8%49.6%6.0%-0.7%593.6K-17.2M-949.2K0.6228.41N/AN/A70043270,94454,192
2011-09-29$47.59$50.0050.7%14.5%48.9%94.3%49.3%6.3%-0.5%567.3K-15.4M-950.5K0.1524.33N/AN/A1,60624671,31854,270
2011-09-30$48.36$50.0050.3%14.4%49.2%93.1%49.2%5.5%0.2%851.1K-30.0M-966.7K0.4325.28N/AN/A3,6521,57871,64454,278