GOLD Options History — November 2011

In November 2011, GOLD traded between $48.73 and $59.72. ATM implied volatility averaged 41.1%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 2.5% (HV 20d: 38.7%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2011-11-28: Highest Volume — 25,504 contracts
  • 2011-11-09: Largest IV spike — 19.8% change
  • 2011-11-28: Highest IV Rank — 85.6%
  • 2011-11-28: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.30$48.73$59.72$55.14$53.45
Max Pain$49.82$47.50$52.50$50.00$50.00
ATM IV41.1%35.5%50.7%46.1%42.0%
Expected Move11.9%10.9%14.5%13.2%12.0%
HV 20d38.7%35.0%51.1%37.6%51.1%
HV 60d45.2%42.7%47.7%45.7%47.7%
IV Rank54.5%36.1%85.6%70.5%57.2%
IV Percentile84.7%70.2%98.4%94.8%85.7%
Term Structure-0.6%-4.8%0.9%-3.7%-0.7%
VWIV42.1%37.9%51.4%46.5%41.9%
Skew 25d4.6%2.1%5.6%4.3%2.6%
Skew 10d9.3%3.8%11.6%8.9%5.1%
Call IV 25d39.7%36.1%48.1%44.4%40.7%
Put IV 25d44.3%40.9%53.8%48.7%43.4%
Bid-Ask Spread %30.4417.3364.7642.1864.76
Gamma HHI0.130.090.250.150.15
Net GEX3.8M12.6K5.4M3.8M2.5M
Net DEX-163.3M-246.6M3.6M-153.4M-94.1M
Net VEX-715.9K-791.3K-596.4K-790.5K-648.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.203.560.913.03
Total Volume6,088.76258825,5043,0407,534
Total OI131,526.095123,760138,418123,760136,132

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$55.14$50.0046.1%13.2%37.6%70.5%46.5%4.3%-3.7%3.8M-153.4M-790.5K0.9142.18N/AN/A1,5901,45070,07253,688
2011-11-02$56.86$50.0042.0%12.1%35.7%57.4%42.8%5.4%-0.6%4.4M-185.5M-791.3K0.5336.28N/AN/A4,5062,41070,20854,040
2011-11-03$59.37$52.5038.4%11.0%37.7%45.5%40.4%4.8%0.9%4.9M-234.1M-771.6K0.4225.86N/AN/A3,2481,37671,33255,648
2011-11-04$59.33$47.5037.3%11.2%37.0%41.9%39.9%4.7%-0.6%5.1M-237.3M-773.8K1.1034.99N/AN/A78285872,75656,512
2011-11-07$59.70$47.5038.8%11.4%35.6%46.8%39.4%5.0%-0.3%5.1M-244.6M-747.1K0.4121.09N/AN/A3,5661,47872,38656,906
2011-11-08$59.28$48.7535.5%10.9%36.0%36.1%40.9%4.9%-0.1%5.4M-238.1M-743.9K0.6520.16N/AN/A3,5822,34274,14057,730
2011-11-09$58.23$50.0042.5%12.2%37.1%58.9%47.5%5.2%-1.1%4.7M-211.5M-764.9K3.5621.12N/AN/A1,8866,72073,88659,256
2011-11-10$57.53$50.0041.4%11.9%36.1%55.4%42.4%5.1%-0.7%4.5M-194.1M-768.1K3.2230.18N/AN/A9663,11473,93862,512
2011-11-11$59.65$50.0038.1%10.9%37.2%44.6%38.4%5.1%0.3%5.1M-238.1M-739.0K0.3423.27N/AN/A2,21674474,03662,416
2011-11-14$58.55$50.0040.3%11.5%36.4%51.6%40.3%5.5%-0.1%4.9M-216.4M-732.9K1.0025.44N/AN/A65665475,23661,492
2011-11-15$59.72$50.0038.8%11.1%36.6%47.0%37.9%5.4%0.2%5.4M-246.6M-704.8K0.2623.85N/AN/A2,01252075,28461,250
2011-11-16$58.98$50.0038.4%11.0%35.0%45.5%39.3%5.3%0.7%5.2M-226.7M-702.7K0.8224.69N/AN/A72659675,34461,562
2011-11-17$57.09$50.0040.7%11.7%37.9%53.1%40.7%5.0%-0.2%4.3M-178.2M-706.4K0.7123.58N/AN/A2,5461,80075,38461,800
2011-11-18$55.51$50.0040.1%11.5%39.9%51.0%39.4%4.8%0.5%4.7M-140.0M-692.3K0.9523.48N/AN/A3,4783,29876,16062,258
2011-11-21$53.52$50.0043.2%12.4%40.0%61.2%43.5%4.0%-0.5%2.0M-87.7M-690.7K1.4522.17N/AN/A1,4662,13267,41456,562
2011-11-22$54.52$50.0040.3%11.5%36.4%51.6%40.3%3.9%0.5%2.5M-107.5M-688.0K0.6318.94N/AN/A1,02264267,93057,038
2011-11-23$52.97$50.0042.5%12.2%37.4%58.9%42.4%4.2%-0.7%1.9M-78.5M-670.6K0.2020.67N/AN/A5,4401,07468,42657,156
2011-11-25$51.94$50.0042.6%12.2%37.9%59.1%44.2%4.0%-0.5%1.5M-58.2M-655.4K0.4817.33N/AN/A39619270,48457,696
2011-11-28$48.73$50.0050.7%14.5%43.0%85.6%51.4%5.6%-4.8%12.6K3.6M-596.4K1.5457.44N/AN/A10,05615,44870,63457,664
2011-11-29$52.26$50.0044.4%12.7%50.4%64.9%45.3%2.1%-1.6%1.0M-63.0M-656.1K1.8061.70N/AN/A8,32215,02069,68267,998
2011-11-30$53.45$50.0042.0%12.0%51.1%57.2%41.9%2.6%-0.7%2.5M-94.1M-648.1K3.0364.76N/AN/A1,8685,66671,19864,934