GOLD Options History — January 2012

In January 2012, GOLD traded between $53.56 and $57.20. ATM implied volatility averaged 32.4%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 2.9% (HV 20d: 35.3%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2012-01-24: Highest Volume — 6,226 contracts
  • 2012-01-12: Largest IV spike — 20.0% change
  • 2012-01-12: Highest IV Rank — 34.5%
  • 2012-01-06: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.03$53.56$57.20$54.15$57.20
Max Pain$51.38$47.50$52.50$47.50$52.50
ATM IV32.4%29.2%35.0%34.6%32.9%
Expected Move9.6%8.8%10.7%9.9%9.4%
HV 20d35.3%30.7%39.8%39.8%32.5%
HV 60d40.9%39.3%42.2%42.2%39.5%
IV Rank26.1%15.6%34.5%33.3%27.5%
IV Percentile37.7%13.1%57.5%54.0%42.5%
Term Structure0.6%-1.0%4.9%3.9%-0.3%
VWIV33.8%31.2%37.2%35.5%34.8%
Skew 25d3.7%2.3%4.6%4.1%2.4%
Skew 10d6.9%4.7%8.6%5.8%4.7%
Call IV 25d32.1%29.8%34.8%33.5%32.1%
Put IV 25d35.8%32.7%39.1%37.5%34.4%
Bid-Ask Spread %24.9112.8535.5222.0629.25
Gamma HHI0.220.160.270.160.23
Net GEX2.3M1.4M3.3M1.4M3.0M
Net DEX-74.1M-104.4M-30.6M-74.9M-71.6M
Net VEX-431.3K-472.7K-380.6K-467.6K-470.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.1413.680.361.38
Total Volume2,481.56026,2263,7821,506
Total OI81,696.447,72699,40691,45061,976

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$54.15$47.5034.6%9.9%39.8%33.3%35.5%4.1%3.9%1.4M-74.9M-467.6K0.3622.06N/AN/A2,7821,00048,32043,130
2012-01-04$54.07$47.5033.2%9.5%39.8%28.7%34.9%3.9%4.7%1.6M-75.1M-472.7K1.1017.05N/AN/A9081,00049,87643,220
2012-01-05$54.13$47.5031.7%9.1%39.3%23.7%32.4%3.6%4.9%1.6M-76.3M-461.0K0.1412.85N/AN/A1,99828849,90443,574
2012-01-06$53.56$50.0032.3%10.7%38.6%25.9%35.4%4.3%-0.2%1.6M-71.0M-454.9K0.2520.01N/AN/A1,17429251,53443,614
2012-01-09$53.81$50.0029.9%10.1%38.0%18.1%37.2%4.2%0.4%1.8M-74.4M-442.2K0.7120.75N/AN/A75654052,02843,714
2012-01-10$55.48$50.0030.1%10.2%39.0%18.6%35.0%4.6%0.1%2.8M-99.3M-440.7K0.8017.94N/AN/A1,4841,18651,92043,780
2012-01-11$54.45$52.5029.2%10.1%38.2%15.6%34.9%4.3%-0.1%2.0M-82.3M-435.9K0.3825.59N/AN/A72828052,33844,504
2012-01-12$55.43$52.5035.0%10.0%36.9%34.5%34.6%4.4%0.2%2.7M-97.5M-433.9K0.6221.88N/AN/A40825252,28844,494
2012-01-13$54.41$52.5034.5%9.9%35.8%32.9%35.0%4.2%0.3%1.9M-81.3M-426.5K0.6135.52N/AN/A37422852,36244,516
2012-01-17$54.82$52.5034.4%9.9%35.2%32.7%33.7%4.6%-0.1%2.2M-87.9M-409.3K0.3230.19N/AN/A1,04834052,43844,390
2012-01-18$55.77$52.5034.2%9.8%33.6%31.8%33.1%3.6%0.1%3.3M-104.4M-404.8K0.4630.27N/AN/A95243652,93244,484
2012-01-19$54.92$52.5033.6%9.6%33.9%29.9%32.5%4.0%0.2%2.7M-90.9M-401.2K0.3234.13N/AN/A3,3361,08253,22044,610
2012-01-20$54.56$52.5031.9%9.2%30.7%24.5%31.2%4.2%0.6%2.9M-79.2M-391.7K0.1433.54N/AN/A3,91856654,21245,194
2012-01-23$55.05$52.5031.8%9.1%30.7%24.0%32.4%3.8%-0.3%2.1M-42.5M-393.9K0.6523.08N/AN/A64442029,39018,336
2012-01-24$53.65$52.5032.3%9.3%32.1%25.7%35.1%3.7%-1.0%1.7M-30.6M-380.6K13.6816.71N/AN/A4245,80229,83218,606
2012-01-25$55.41$52.5031.3%9.0%33.9%22.5%32.2%2.9%-0.3%2.2M-44.2M-417.5K0.5914.87N/AN/A3,3281,97029,93623,692
2012-01-26$55.97$52.5031.7%9.1%32.9%23.8%31.6%2.3%-0.5%2.9M-61.7M-439.0K1.0430.74N/AN/A1,3161,36633,18824,952
2012-01-27$57.12$52.5030.7%8.8%32.2%20.5%31.2%2.7%0.0%3.0M-70.6M-441.8K0.3529.99N/AN/A1,08038032,74025,740
2012-01-30$56.71$52.5033.0%9.5%32.5%28.0%34.2%2.8%-0.4%3.0M-66.2M-439.6K1.0831.79N/AN/A1,9422,09633,08025,864
2012-01-31$57.20$52.5032.9%9.4%32.5%27.5%34.8%2.4%-0.3%3.0M-71.6M-470.3K1.3829.25N/AN/A63287434,46227,514