GOLD Options History — February 2012

In February 2012, GOLD traded between $55.52 and $59.01. ATM implied volatility averaged 30.4%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 5.9% (HV 20d: 24.5%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-02-01: Highest Volume — 7,854 contracts
  • 2012-02-09: Largest IV spike — 9.2% change
  • 2012-02-01: Highest IV Rank — 30.7%
  • 2012-02-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.21$55.52$59.01$57.42$57.37
Max Pain$54.50$52.50$55.00$52.50$55.00
ATM IV30.4%28.0%33.8%33.8%29.4%
Expected Move8.8%8.0%9.7%9.7%8.4%
HV 20d24.5%20.1%29.0%25.8%22.9%
HV 60d36.3%30.0%39.1%38.5%30.4%
IV Rank19.4%11.6%30.7%30.7%16.2%
IV Percentile22.8%5.2%49.2%49.2%15.5%
Term Structure1.6%0.0%3.1%0.3%1.1%
VWIV30.9%28.3%34.5%34.5%30.0%
Skew 25d2.3%1.3%3.2%2.5%1.8%
Skew 10d4.3%3.1%5.8%3.5%3.1%
Call IV 25d29.8%27.3%32.9%32.9%28.9%
Put IV 25d32.1%29.0%35.4%35.4%30.7%
Bid-Ask Spread %23.2011.1763.4534.3317.30
Gamma HHI0.280.220.320.240.27
Net GEX3.5M2.6M4.5M3.0M2.9M
Net DEX-73.9M-107.1M-53.6M-74.9M-61.6M
Net VEX-447.0K-492.1K-408.1K-466.3K-409.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.121.860.190.66
Total Volume2,897.97567,8547,8542,464
Total OI67,306.959,67472,82262,44663,314

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$57.42$52.5033.8%9.7%25.8%30.7%34.5%2.5%0.3%3.0M-74.9M-466.3K0.1934.33N/AN/A6,5781,27634,53027,916
2012-02-02$58.48$52.5033.5%9.6%26.3%29.5%34.5%3.2%0.2%3.8M-98.0M-491.0K0.1224.40N/AN/A4,27051637,96628,386
2012-02-03$58.09$55.0032.1%9.6%26.5%25.0%33.2%2.7%0.0%3.9M-92.7M-492.1K0.4360.90N/AN/A1,77275438,85228,678
2012-02-06$59.01$55.0029.7%8.8%26.3%17.4%30.9%2.4%1.6%4.5M-107.1M-468.3K0.1863.45N/AN/A4,28075639,33228,928
2012-02-07$57.30$55.0028.8%8.8%29.0%14.4%31.4%2.2%2.1%4.1M-77.8M-466.3K0.2118.67N/AN/A5,0181,05839,82229,124
2012-02-08$57.28$52.5028.4%8.9%27.1%13.0%32.2%2.9%2.1%4.5M-87.7M-478.5K1.8618.01N/AN/A6881,28242,54829,372
2012-02-09$57.23$55.0031.0%8.9%26.0%21.5%30.9%2.5%1.9%4.4M-86.5M-469.0K0.2319.14N/AN/A2,67061242,69429,848
2012-02-10$56.28$55.0031.7%9.1%26.2%23.9%31.4%2.3%1.8%3.8M-69.0M-476.1K0.3823.78N/AN/A1,69063842,55230,130
2012-02-13$56.46$55.0031.2%9.0%25.2%22.2%30.9%2.9%2.0%3.9M-71.0M-457.0K0.3220.77N/AN/A57218442,42630,132
2012-02-14$56.13$55.0031.4%9.0%25.2%22.9%31.4%2.5%2.4%3.8M-65.4M-450.8K0.6620.08N/AN/A69846042,63030,182
2012-02-15$55.68$55.0031.5%9.0%24.7%23.3%31.1%2.1%2.3%3.3M-57.6M-440.9K0.6214.99N/AN/A1,56497042,51630,250
2012-02-16$55.69$55.0031.3%9.0%24.0%22.3%31.1%1.9%2.8%3.0M-58.1M-434.2K0.9516.76N/AN/A1,6061,51842,18630,456
2012-02-17$55.52$52.5030.4%8.7%23.9%19.4%30.1%1.3%3.1%2.6M-57.2M-428.7K0.6018.45N/AN/A1,52691441,96630,856
2012-02-21$56.53$55.0029.0%8.3%24.5%15.1%30.2%2.2%1.3%2.6M-53.6M-424.3K1.2214.67N/AN/A1,1041,34633,47426,200
2012-02-22$57.37$55.0029.1%8.3%22.7%15.4%29.1%2.3%1.3%2.8M-64.2M-427.3K0.3812.37N/AN/A1,24246633,66227,166
2012-02-23$58.44$55.0028.8%8.2%20.9%14.3%28.4%2.2%1.4%3.1M-78.4M-423.2K0.3220.68N/AN/A2,76688833,89827,282
2012-02-24$57.87$55.0028.0%8.0%21.1%11.6%28.3%1.7%2.0%3.1M-71.0M-418.7K0.6016.40N/AN/A69842034,43827,742
2012-02-27$57.43$55.0029.0%8.3%20.1%15.0%29.7%1.8%1.0%3.0M-65.1M-409.9K1.8317.77N/AN/A27450234,44027,792
2012-02-28$58.70$55.0029.1%8.3%21.3%15.3%28.8%1.8%1.3%3.3M-81.0M-408.1K0.7011.17N/AN/A1,12679234,45427,998
2012-02-29$57.37$55.0029.4%8.4%22.9%16.2%30.0%1.8%1.1%2.9M-61.6M-409.9K0.6617.30N/AN/A1,48098434,82628,488