GOLD Options History — December 2011

In December 2011, GOLD traded between $49.10 and $54.40. ATM implied volatility averaged 38.0%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 8.4% (HV 20d: 46.4%). Max pain ranged from $45.00 to $52.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2011-12-16: Highest Volume — 9,530 contracts
  • 2011-12-12: Largest IV spike — 16.9% change
  • 2011-12-14: Highest IV Rank — 61.3%
  • 2011-12-01: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.86$49.10$54.40$53.41$51.05
Max Pain$47.32$45.00$52.50$52.50$47.50
ATM IV38.0%32.6%43.3%41.5%35.9%
Expected Move10.7%9.3%11.9%11.9%10.3%
HV 20d46.4%34.4%50.4%49.7%34.6%
HV 60d45.7%40.7%47.7%47.7%40.7%
IV Rank44.3%26.7%61.3%55.6%37.5%
IV Percentile68.8%39.3%90.1%83.3%61.5%
Term Structure2.8%-0.9%5.0%-0.9%4.0%
VWIV37.4%31.7%43.4%41.3%34.0%
Skew 25d3.5%1.9%4.3%1.9%2.6%
Skew 10d6.9%4.1%9.1%4.1%5.8%
Call IV 25d35.8%31.3%40.8%40.8%34.6%
Put IV 25d39.2%34.5%42.7%42.7%37.2%
Bid-Ask Spread %23.2611.6031.2413.3211.62
Gamma HHI0.150.090.280.170.12
Net GEX1.4M-1.1M4.1M2.2M310.2K
Net DEX-54.9M-120.7M13.2M-85.7M-36.8M
Net VEX-511.4K-638.2K-456.2K-638.2K-461.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.147.020.800.26
Total Volume2,878.9522949,5303,1001,996
Total OI119,232.1988,186147,140139,05091,276

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$53.41$52.5041.5%11.9%49.7%55.6%41.3%1.9%-0.9%2.2M-85.7M-638.2K0.8013.32N/AN/A1,7261,37471,33667,714
2011-12-02$52.13$50.0040.3%11.5%47.1%51.6%40.4%2.1%-0.4%1.8M-64.0M-606.2K0.6911.60N/AN/A83657671,99665,500
2011-12-05$52.19$45.0041.4%11.3%47.1%55.3%40.9%4.1%1.7%2.0M-65.3M-574.8K0.7522.06N/AN/A1,23692872,47865,656
2011-12-06$53.19$46.2540.2%11.1%47.8%51.2%40.0%3.9%2.0%2.9M-91.6M-574.2K1.0625.86N/AN/A1,2481,32672,07466,062
2011-12-07$54.40$46.2539.6%10.9%48.8%49.4%37.9%4.3%2.1%3.8M-120.7M-569.8K1.2127.07N/AN/A1,6622,00671,98066,054
2011-12-08$53.33$46.2541.4%11.5%48.9%55.5%43.4%4.1%2.0%3.1M-94.0M-557.4K7.0227.79N/AN/A4863,41072,38666,986
2011-12-09$54.26$46.2535.9%10.6%49.4%37.6%37.2%3.8%2.6%4.1M-114.2M-534.1K0.3531.24N/AN/A45015872,57068,740
2011-12-12$52.73$46.2542.0%11.1%47.9%57.2%37.6%3.8%2.3%3.0M-76.4M-499.7K0.3027.26N/AN/A2,15864472,75268,736
2011-12-13$51.27$46.2540.5%10.8%48.4%52.4%38.1%3.6%2.8%1.6M-41.6M-477.2K0.5125.14N/AN/A2,8741,47673,78268,686
2011-12-14$49.78$46.2543.3%11.5%47.9%61.3%40.7%4.0%1.8%-543.2K-4.0M-470.0K1.8523.91N/AN/A3,2145,95873,75669,422
2011-12-15$49.10$47.5039.1%11.2%48.0%47.9%38.9%3.7%2.4%-1.1M13.2M-463.3K2.4723.50N/AN/A8802,17274,37472,766
2011-12-16$50.90$47.5037.5%10.7%49.7%42.5%36.7%3.5%3.8%714.1K-39.7M-456.2K0.3621.18N/AN/A7,0262,50474,51072,200
2011-12-19$50.31$47.5036.7%10.5%49.0%40.0%36.5%3.8%3.7%230.3K-28.4M-490.3K0.7522.01N/AN/A53640046,86041,326
2011-12-20$52.56$47.5034.6%9.9%50.4%33.3%34.7%3.4%4.2%991.3K-54.2M-502.6K0.8626.90N/AN/A1,12296447,12041,524
2011-12-21$52.32$47.5033.6%9.6%49.9%29.9%35.3%3.7%5.0%922.2K-52.8M-496.5K3.5430.90N/AN/A15253847,69041,942
2011-12-22$51.87$47.5033.0%9.5%49.0%28.1%33.8%3.6%5.0%712.6K-46.9M-492.5K1.1630.09N/AN/A13615847,70442,172
2011-12-23$52.20$47.5032.6%9.3%48.5%26.7%31.7%3.2%4.8%843.4K-50.8M-482.0K0.2024.28N/AN/A64012647,75642,204
2011-12-27$51.19$47.5035.6%10.2%43.0%36.5%33.9%3.1%3.5%403.7K-37.8M-460.5K0.1428.18N/AN/A4,62463847,68642,278
2011-12-28$50.26$47.5036.7%10.5%35.4%40.0%36.4%3.4%3.6%345.0K-30.1M-469.4K1.8420.35N/AN/A46886050,31442,412
2011-12-29$50.61$47.5036.6%10.5%34.4%39.7%37.0%3.2%3.6%172.4K-31.0M-464.4K2.0414.18N/AN/A25451848,30642,790
2011-12-30$51.05$47.5035.9%10.3%34.6%37.5%34.0%2.6%4.0%310.2K-36.8M-461.3K0.2611.62N/AN/A1,58840848,38442,892