GOLD Options History — April 2012

In April 2012, GOLD traded between $40.66 and $45.70. ATM implied volatility averaged 42.4%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 13.7% (HV 20d: 56.1%). Max pain ranged from $43.75 to $46.25. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2012-04-09: Highest Volume — 13,368 contracts
  • 2012-04-30: Largest IV spike — 8.6% change
  • 2012-04-10: Highest IV Rank — 71.8%
  • 2012-04-16: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.46$40.66$45.70$43.16$44.58
Max Pain$44.44$43.75$46.25$46.25$43.75
ATM IV42.4%37.8%46.5%39.8%41.1%
Expected Move12.1%10.8%13.0%11.4%11.8%
HV 20d56.1%46.2%66.0%51.7%49.8%
HV 60d41.9%37.3%43.9%37.3%43.9%
IV Rank58.5%43.7%71.8%50.1%54.3%
IV Percentile82.6%57.9%94.4%73.8%74.2%
Term Structure-2.0%-3.4%0.1%-0.4%-3.0%
VWIV42.5%39.1%45.2%40.4%41.0%
Skew 25d4.7%3.0%5.7%4.3%4.1%
Skew 10d9.2%5.0%11.7%8.8%8.6%
Call IV 25d40.6%37.2%43.2%38.8%39.6%
Put IV 25d45.4%41.2%48.9%43.1%43.7%
Bid-Ask Spread %13.7110.1419.7519.1411.73
Gamma HHI0.100.090.130.110.10
Net GEX516.0K-387.3K1.6M43.9K882.6K
Net DEX7.9M-31.2M45.5M36.9M-15.6M
Net VEX-541.6K-601.7K-439.2K-439.2K-539.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.161.530.240.53
Total Volume4,329.41,46213,3689,0021,532
Total OI96,331.380,466110,72686,08684,062

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$43.16$46.2539.8%11.4%51.7%50.1%40.4%4.3%-0.4%43.9K36.9M-439.2K0.2419.14N/AN/A7,2521,75051,73234,354
2012-04-03$41.80$46.2541.8%12.0%52.0%56.6%42.0%3.6%-0.8%-220.7K41.4M-462.6K0.6210.14N/AN/A4,8443,02257,02835,246
2012-04-04$40.66$46.2542.2%12.1%51.7%57.8%44.5%3.4%0.1%-348.4K45.5M-467.9K0.7813.11N/AN/A3,5042,75059,71435,964
2012-04-05$40.72$46.2541.7%12.0%50.3%56.2%42.0%3.0%-0.2%-387.3K44.9M-475.8K0.4016.62N/AN/A2,38496060,47237,474
2012-04-09$44.45$45.0043.7%12.2%61.9%62.8%42.7%4.9%-3.3%1.3M-9.5M-574.7K0.8219.75N/AN/A7,3526,01661,80237,716
2012-04-10$43.87$45.0046.5%12.8%61.9%71.8%44.5%5.3%-3.1%571.8K6.2M-583.7K0.5511.02N/AN/A3,6942,04061,84641,168
2012-04-11$42.65$45.0045.0%12.8%62.2%67.1%43.7%5.2%-3.0%191.7K21.9M-555.0K0.7112.80N/AN/A2,0441,45663,45640,650
2012-04-12$45.05$43.7543.1%12.3%66.0%60.7%43.2%4.9%-2.5%1.6M-19.2M-601.7K0.4215.61N/AN/A2,4061,01063,99040,648
2012-04-13$44.52$43.7543.9%12.6%65.7%63.4%43.7%5.3%-2.7%1.1M-7.0M-589.8K1.5316.30N/AN/A1,5862,42263,82040,456
2012-04-16$43.40$43.7545.3%13.0%65.7%67.9%45.2%5.7%-3.4%317.0K10.6M-557.4K0.7211.69N/AN/A3,6642,64864,39041,370
2012-04-17$43.55$43.7543.8%12.5%65.7%63.0%43.3%5.4%-2.6%222.2K8.6M-597.6K1.4510.91N/AN/A8761,27066,73843,988
2012-04-18$43.60$43.7543.2%12.4%65.6%61.2%44.6%5.4%-2.5%63.3K12.9M-565.3K0.1612.50N/AN/A2,59841664,97843,576
2012-04-19$43.63$43.7542.4%12.2%65.4%58.6%43.4%5.3%-2.4%4.3K12.9M-552.0K1.3316.34N/AN/A62883464,44643,278
2012-04-20$43.56$43.7540.6%11.6%46.2%52.8%39.5%4.9%-1.6%1.4M14.3M-539.8K0.2412.31N/AN/A2,31856264,53243,604
2012-04-23$42.27$43.7543.3%12.4%47.1%61.5%44.0%5.6%-2.6%208.4K10.7M-513.0K1.2012.25N/AN/A2,1362,55849,11231,354
2012-04-24$42.43$43.7542.2%12.1%47.2%57.8%41.9%5.3%-2.2%152.0K10.8M-522.1K0.9813.68N/AN/A1,0161,00049,57232,708
2012-04-25$44.10$43.7540.2%11.5%48.7%51.5%40.7%4.6%-1.5%653.0K-8.4M-552.6K0.3513.14N/AN/A1,58656250,15433,502
2012-04-26$45.51$43.7540.1%11.5%48.9%51.1%41.1%4.3%-1.9%1.3M-28.7M-577.6K0.5312.82N/AN/A1,48479050,85833,084
2012-04-27$45.70$43.7537.8%10.8%48.9%43.7%39.1%4.1%-1.3%1.3M-31.2M-564.9K0.4812.22N/AN/A1,09052850,49233,292
2012-04-30$44.58$43.7541.1%11.8%49.8%54.3%41.0%4.1%-3.0%882.6K-15.6M-539.8K0.5311.73N/AN/A1,00053250,61233,450