GOLD Options History — May 2012

In May 2012, GOLD traded between $36.56 and $43.67. ATM implied volatility averaged 43.4%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 3.4% (HV 20d: 40.0%). Max pain ranged from $42.50 to $46.25. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2012-05-01: Highest Volume — 5,892 contracts
  • 2012-05-21: Largest IV drop — 9.5% change
  • 2012-05-17: Highest IV Rank — 77.9%
  • 2012-05-17: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.59$36.56$43.67$43.67$39.67
Max Pain$43.98$42.50$46.25$43.75$42.50
ATM IV43.4%37.8%48.4%37.9%42.7%
Expected Move12.5%10.8%13.9%10.9%12.2%
HV 20d40.0%34.4%51.4%49.9%36.8%
HV 60d45.6%43.8%46.9%44.0%46.5%
IV Rank61.9%43.6%77.9%44.1%59.4%
IV Percentile82.5%56.3%96.0%57.9%79.4%
Term Structure-0.5%-3.3%1.5%0.4%1.4%
VWIV43.6%37.5%49.3%37.5%40.3%
Skew 25d5.1%4.3%6.5%4.5%5.3%
Skew 10d10.2%5.4%12.8%5.4%11.0%
Call IV 25d41.6%36.4%47.5%36.9%41.3%
Put IV 25d46.7%41.4%52.6%41.4%46.5%
Bid-Ask Spread %14.5610.1818.7718.6913.31
Gamma HHI0.160.100.190.100.17
Net GEX-564.6K-1.4M603.1K507.9K-547.0K
Net DEX33.4M-2.8M65.9M-2.8M23.6M
Net VEX-433.3K-519.6K-363.1K-519.6K-423.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.121.780.121.78
Total Volume2,4496285,8925,892628
Total OI87,208.27379,17696,26084,85483,484

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$43.67$43.7537.9%10.9%49.9%44.1%37.5%4.5%0.4%507.9K-2.8M-519.6K0.1218.69N/AN/A5,26662651,06833,786
2012-05-02$43.16$43.7539.2%11.2%48.6%48.2%39.3%4.8%-1.7%603.1K2.3M-506.7K0.4418.22N/AN/A1,17251252,76233,950
2012-05-03$40.95$43.7537.8%10.8%51.3%43.6%38.8%5.1%1.5%-298.9K29.9M-449.4K1.0411.44N/AN/A2,2482,34452,40433,780
2012-05-04$40.81$46.2538.7%11.4%51.4%46.5%39.6%4.8%-0.6%-459.8K31.8M-456.4K0.2412.08N/AN/A2,86870252,97434,914
2012-05-07$40.46$45.0041.8%11.7%39.6%56.4%40.8%4.7%-0.9%-624.8K36.0M-441.5K0.6913.33N/AN/A90062253,20235,178
2012-05-08$38.80$45.0043.7%12.4%41.7%62.8%43.4%4.5%-1.7%-938.7K50.6M-409.3K0.7314.94N/AN/A2,4461,78853,64635,402
2012-05-09$38.85$45.0043.6%12.5%40.9%62.6%43.2%4.9%-1.7%-988.8K50.2M-416.7K0.9013.46N/AN/A1,7241,54454,22435,846
2012-05-10$38.84$45.0043.6%12.5%34.4%62.5%42.7%4.5%-1.5%-979.0K48.8M-420.4K1.0413.36N/AN/A85488654,89436,224
2012-05-11$38.36$45.0042.9%12.3%34.4%60.0%43.0%4.3%-0.9%-1.1M53.0M-409.8K0.4111.89N/AN/A67227655,19836,748
2012-05-14$37.34$45.0046.2%13.2%34.5%70.9%48.8%5.3%-2.4%-1.1M61.1M-379.7K1.3910.18N/AN/A7701,06855,49236,766
2012-05-15$36.56$45.0048.1%13.8%34.6%77.1%49.3%4.9%-3.3%-1.1M65.9M-363.1K0.6113.11N/AN/A1,7581,06655,93637,158
2012-05-16$37.02$45.0048.3%13.9%35.2%77.8%48.7%4.6%-2.4%-1.2M60.9M-385.4K0.4613.44N/AN/A1,80883056,33037,732
2012-05-17$38.27$45.0048.4%13.9%38.1%77.9%48.1%5.1%-1.1%-1.4M49.4M-422.0K0.2414.34N/AN/A2,70664856,53038,170
2012-05-18$38.23$43.7548.0%13.8%38.1%76.9%47.4%5.5%0.4%-679.4K47.4M-422.9K0.4016.32N/AN/A2,24090258,04238,218
2012-05-21$39.81$43.7543.5%12.5%40.5%62.0%44.3%6.0%0.6%-336.9K20.0M-447.7K1.3415.16N/AN/A1,4381,93047,83431,342
2012-05-22$38.83$42.5044.4%12.7%41.2%65.1%43.0%6.5%0.2%-476.4K30.8M-433.7K0.1617.56N/AN/A1,48024048,38232,598
2012-05-23$39.85$42.5044.3%12.7%39.6%64.8%45.2%6.2%0.2%-238.8K18.2M-448.1K0.6415.39N/AN/A73447049,09831,770
2012-05-24$40.38$42.5043.0%12.3%37.9%60.5%44.1%5.6%1.1%-190.6K13.3M-455.3K1.1315.04N/AN/A61269449,33432,002
2012-05-25$40.48$42.5041.7%12.0%37.8%56.4%43.2%4.9%1.3%-216.1K12.8M-453.2K1.1614.11N/AN/A52460649,43632,202
2012-05-29$40.40$42.5043.1%12.4%37.2%60.8%43.1%5.4%0.3%-298.9K14.8M-435.6K1.1018.77N/AN/A43447849,62232,530
2012-05-30$40.20$42.5044.6%12.8%36.7%65.7%44.8%5.5%-1.1%-338.0K16.5M-433.1K1.2616.27N/AN/A1,0461,31849,77432,600
2012-05-31$39.67$42.5042.7%12.2%36.8%59.4%40.3%5.3%1.4%-547.0K23.6M-423.6K1.7813.31N/AN/A22640249,96833,516