GOLD Options History — March 2012

In March 2012, GOLD traded between $43.48 and $57.99. ATM implied volatility averaged 31.9%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.3% (HV 20d: 34.2%). Max pain ranged from $46.25 to $55.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2012-03-22: Highest Volume — 34,816 contracts
  • 2012-03-22: Largest IV spike — 54.4% change
  • 2012-03-22: Highest IV Rank — 51.8%
  • 2012-03-22: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.15$43.48$57.99$57.99$43.99
Max Pain$49.55$46.25$55.00$55.00$46.25
ATM IV31.9%25.6%40.3%27.7%38.9%
Expected Move9.2%7.5%11.6%8.0%11.1%
HV 20d34.2%23.0%52.8%23.2%51.9%
HV 60d32.3%28.1%39.3%30.0%37.2%
IV Rank24.3%3.8%51.8%10.9%47.1%
IV Percentile31.1%0.8%78.2%4.4%71.0%
Term Structure1.6%-1.1%3.4%2.0%0.2%
VWIV32.3%26.2%40.8%27.2%39.1%
Skew 25d3.2%2.1%6.0%2.3%4.1%
Skew 10d6.1%2.9%12.9%3.1%9.6%
Call IV 25d30.9%25.6%38.5%26.7%37.8%
Put IV 25d34.1%27.8%44.4%29.0%41.9%
Bid-Ask Spread %20.4010.2243.6017.5010.78
Gamma HHI0.200.110.440.270.11
Net GEX1.3M-47.9K3.2M3.2M404.9K
Net DEX-15.4M-72.0M33.9M-72.0M25.7M
Net VEX-396.0K-492.4K-317.0K-406.3K-466.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.121.980.280.73
Total Volume5,463.72745234,8161,7403,018
Total OI67,218.09143,57884,64463,95484,644

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$57.99$55.0027.7%8.0%23.2%10.9%27.2%2.3%2.0%3.2M-72.0M-406.3K0.2817.50N/AN/A1,35838235,11828,836
2012-03-02$57.01$55.0026.8%7.7%23.0%7.8%27.4%2.2%2.5%2.9M-60.6M-402.9K0.5910.22N/AN/A1,59294036,12829,036
2012-03-05$55.59$50.0029.8%8.7%24.4%17.4%32.2%2.4%2.6%2.3M-44.2M-392.0K1.8931.00N/AN/A48491637,13029,652
2012-03-06$54.24$50.0031.5%9.0%24.7%23.3%31.1%2.7%2.6%1.5M-25.7M-387.7K1.7614.80N/AN/A1,1462,02237,16829,782
2012-03-07$54.65$50.0029.7%8.8%23.1%17.4%31.1%2.6%2.2%1.7M-30.8M-386.5K1.9813.95N/AN/A38676637,56830,512
2012-03-08$55.83$50.0028.9%8.6%24.6%14.6%30.1%2.4%2.8%2.7M-48.6M-384.2K0.1820.91N/AN/A1,76431037,63830,234
2012-03-09$56.20$50.0025.6%8.3%24.8%3.8%28.5%2.1%3.1%3.1M-54.9M-382.9K0.3021.80N/AN/A3,12495238,11830,326
2012-03-12$55.69$50.0027.9%8.3%24.3%11.4%28.0%2.6%3.2%2.4M-46.7M-370.8K0.4029.89N/AN/A32412838,30230,792
2012-03-13$55.31$50.0027.4%8.0%24.4%9.9%28.4%2.5%3.4%1.7M-39.8M-359.2K0.8418.26N/AN/A60851238,29230,754
2012-03-14$53.34$50.0032.8%8.7%27.4%27.3%30.8%2.8%2.2%772.5K-13.1M-346.4K0.7819.98N/AN/A3,7042,89438,34430,852
2012-03-15$52.01$50.0029.2%8.4%28.5%15.8%29.8%2.6%2.6%255.6K6.3M-340.5K0.9715.81N/AN/A1,7381,69038,34032,052
2012-03-16$50.74$50.0027.4%7.9%29.4%9.9%26.9%2.3%2.6%-47.9K16.9M-317.0K0.1224.07N/AN/A6,91485638,06432,230
2012-03-19$50.98$50.0027.2%7.8%29.6%9.3%27.7%2.1%2.4%857.9K-13.7M-357.3K0.1631.92N/AN/A5,88296825,39818,180
2012-03-20$51.17$50.0027.3%7.8%28.6%9.3%26.2%2.1%2.9%941.1K-19.0M-365.8K0.1720.20N/AN/A2,83849626,87018,626
2012-03-21$51.70$50.0026.1%7.5%28.2%5.6%26.9%2.3%2.9%1.3M-26.7M-379.0K0.1314.98N/AN/A2,80636628,23018,810
2012-03-22$45.30$50.0040.3%11.6%52.1%51.8%39.8%5.2%-1.0%191.7K17.7M-320.7K0.5828.49N/AN/A22,01412,80229,98418,838
2012-03-23$45.66$47.5040.2%11.5%52.6%51.2%40.8%6.0%-0.6%822.7K8.9M-473.0K0.4143.60N/AN/A10,7444,38444,10427,616
2012-03-26$45.81$47.5038.1%10.9%52.8%44.5%38.8%4.9%-1.1%1.2M2.0M-492.4K0.6617.79N/AN/A3,9262,60647,66429,704
2012-03-27$44.63$46.2538.6%11.1%51.5%46.2%39.5%4.7%-0.5%595.8K19.2M-469.6K0.5313.84N/AN/A3,1121,65648,43431,644
2012-03-28$43.48$46.2539.7%11.4%51.6%49.7%39.7%4.6%-1.1%112.1K33.9M-446.6K0.4915.47N/AN/A2,6341,29249,06432,688
2012-03-29$43.92$46.2540.1%11.5%51.6%50.9%40.4%4.5%-0.9%392.4K26.4M-466.1K0.5513.55N/AN/A2,0321,11650,07632,956
2012-03-30$43.99$46.2538.9%11.1%51.9%47.1%39.1%4.1%0.2%404.9K25.7M-466.0K0.7310.78N/AN/A1,7461,27250,96633,678