GOLD Options History — October 2011

In October 2011, GOLD traded between $46.30 and $56.07. ATM implied volatility averaged 44.0%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 6.9% (HV 20d: 50.8%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2011-10-04: Highest Volume — 7,758 contracts
  • 2011-10-13: Largest IV spike — 15.0% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-04: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.28$46.30$56.07$49.42$54.78
Max Pain$48.57$47.50$50.00$50.00$50.00
ATM IV44.0%38.1%55.2%54.8%42.4%
Expected Move12.8%11.0%15.8%15.7%12.2%
HV 20d50.8%43.0%55.6%47.3%45.8%
HV 60d44.2%39.9%46.4%39.9%46.3%
IV Rank63.7%44.5%100.0%100.0%58.7%
IV Percentile91.3%82.9%100.0%100.0%89.7%
Term Structure-1.0%-2.4%1.4%-1.7%-2.4%
VWIV45.1%38.1%56.1%55.1%44.4%
Skew 25d5.6%4.5%6.6%5.8%4.7%
Skew 10d11.6%9.0%13.0%11.6%10.4%
Call IV 25d42.4%36.8%52.9%52.7%41.3%
Put IV 25d48.0%41.5%58.6%58.5%46.0%
Bid-Ask Spread %27.6818.1843.9532.6434.33
Gamma HHI0.110.080.150.090.15
Net GEX2.0M284.9K4.2M1.2M3.8M
Net DEX-81.5M-172.2M-818.1K-49.8M-146.1M
Net VEX-874.2K-966.3K-781.4K-966.3K-781.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.161.960.830.73
Total Volume2,928.6679447,7581,9622,162
Total OI128,375.524119,464134,860123,900123,292

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$49.42$50.0054.8%15.7%47.3%100.0%55.1%5.8%-1.7%1.2M-49.8M-966.3K0.8332.64N/AN/A1,07089270,60653,294
2011-10-04$46.30$50.0055.2%15.8%51.5%100.0%56.1%5.8%-0.0%284.9K-818.1K-893.1K1.9630.96N/AN/A2,6185,14070,25653,602
2011-10-05$48.55$50.0049.4%14.2%55.2%81.4%50.0%5.1%0.6%678.1K-30.7M-946.0K0.4035.09N/AN/A1,12644671,16057,148
2011-10-06$49.48$50.0047.0%13.5%54.1%73.4%48.5%5.2%1.4%1.1M-48.2M-947.5K0.6943.95N/AN/A55838671,61657,036
2011-10-07$48.85$47.5046.5%14.0%54.2%71.8%47.0%6.6%-1.8%837.1K-37.7M-923.1K0.8220.68N/AN/A1,2881,05471,80057,036
2011-10-10$50.69$47.5044.8%13.6%55.6%66.2%48.0%6.6%-1.5%1.5M-69.2M-931.0K1.6918.18N/AN/A6321,06672,30657,378
2011-10-11$51.00$47.5043.9%13.5%54.8%63.3%47.2%5.9%-1.8%1.6M-73.3M-914.8K0.1921.63N/AN/A4,15479872,28857,680
2011-10-12$51.60$47.5038.1%12.4%54.6%44.5%43.9%6.2%-1.2%2.1M-89.3M-924.9K0.8920.85N/AN/A1,10498474,05657,874
2011-10-13$50.43$47.5043.8%12.6%54.9%63.0%43.6%6.4%-0.7%1.6M-65.1M-897.3K0.7624.55N/AN/A1,6741,27874,22058,470
2011-10-14$51.64$47.5041.0%11.8%55.2%54.0%42.1%5.9%-0.1%2.2M-89.3M-894.1K0.3124.87N/AN/A1,18637074,61857,966
2011-10-17$50.33$47.5043.7%12.5%55.5%62.9%43.1%5.6%-1.0%1.6M-65.1M-866.1K0.5825.43N/AN/A1,69699074,60658,058
2011-10-18$50.87$47.5042.4%12.2%54.4%58.6%44.1%5.6%-0.7%1.8M-74.1M-861.7K1.7427.75N/AN/A1,0221,77875,51058,566
2011-10-19$49.45$47.5043.3%12.4%54.3%61.4%43.1%5.8%-0.7%1.1M-45.4M-845.8K0.1936.06N/AN/A1,86435875,60659,246
2011-10-20$49.51$47.5042.5%12.2%49.0%58.8%44.6%5.4%-0.9%1.1M-46.7M-836.2K1.5335.37N/AN/A54683475,37459,486
2011-10-21$50.02$47.5041.1%11.8%43.0%54.4%40.9%6.1%-0.2%692.8K-57.3M-818.9K1.2439.38N/AN/A62477675,18659,586
2011-10-24$52.16$48.7538.5%11.0%45.1%45.8%38.1%4.7%-0.6%2.3M-91.6M-805.4K0.3420.51N/AN/A1,38847867,29452,170
2011-10-25$54.80$48.7543.1%12.4%47.9%60.8%44.3%5.3%-2.4%3.3M-140.4M-840.1K0.3520.08N/AN/A5,4721,91668,03652,316
2011-10-26$55.52$50.0041.9%12.0%44.9%56.8%42.2%5.0%-1.1%3.9M-160.3M-843.4K0.3126.44N/AN/A2,16667870,70853,080
2011-10-27$55.36$50.0039.9%11.4%45.0%50.5%41.1%5.0%-1.9%4.1M-159.0M-827.2K0.1620.90N/AN/A6,07294271,23453,212
2011-10-28$56.07$50.0040.2%11.5%44.9%51.3%38.8%4.5%-1.7%4.2M-172.2M-793.4K0.3421.72N/AN/A1,42848869,73853,172
2011-10-31$54.78$50.0042.4%12.2%45.8%58.7%44.4%4.7%-2.4%3.8M-146.1M-781.4K0.7334.33N/AN/A1,25091269,91853,374