GOLD Options History — June 2012

In June 2012, GOLD traded between $43.55 and $47.22. ATM implied volatility averaged 39.7%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 6.6% (HV 20d: 46.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-06-01: Highest Volume — 17,652 contracts
  • 2012-06-11: Largest IV spike — 13.8% change
  • 2012-06-04: Highest IV Rank — 78.1%
  • 2012-06-01: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.01$43.55$47.22$43.63$45.01
Max Pain$42.86$40.00$45.00$42.50$45.00
ATM IV39.7%33.3%48.4%47.7%33.3%
Expected Move11.4%9.6%13.7%13.7%9.6%
HV 20d46.3%37.1%48.8%46.9%37.1%
HV 60d48.2%44.1%52.0%50.8%44.8%
IV Rank49.9%29.0%78.1%75.7%29.0%
IV Percentile58.2%29.0%96.0%94.0%29.0%
Term Structure2.0%-0.2%4.3%-0.2%4.3%
VWIV40.1%32.7%49.9%49.9%32.7%
Skew 25d5.3%4.2%6.6%6.6%4.3%
Skew 10d10.8%8.4%13.5%12.7%10.0%
Call IV 25d37.7%31.7%45.3%45.3%31.7%
Put IV 25d43.0%36.0%51.9%51.9%36.0%
Bid-Ask Spread %17.1711.7123.0415.5418.97
Gamma HHI0.110.090.320.100.11
Net GEX1.8M452.7K4.9M452.7K1.9M
Net DEX-52.5M-89.0M-24.1M-24.1M-44.6M
Net VEX-527.1K-559.7K-484.8K-484.8K-503.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.123.420.541.18
Total Volume3,986.28693617,65217,6523,874
Total OI82,374.95263,202104,53883,22669,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$43.63$42.5047.7%13.7%46.9%75.7%49.9%6.6%-0.2%452.7K-24.1M-484.8K0.5415.54N/AN/A11,4886,16449,91433,312
2012-06-04$44.06$40.0048.4%13.2%46.9%78.1%47.5%6.3%0.4%1.0M-38.6M-515.2K1.2712.67N/AN/A1,0341,31456,14234,606
2012-06-05$44.31$40.0045.4%12.9%46.7%68.4%43.9%6.2%0.5%1.1M-42.6M-511.4K1.0213.00N/AN/A84085656,41835,142
2012-06-06$45.76$40.0042.2%12.2%44.3%57.8%42.6%6.1%0.6%1.5M-61.6M-511.2K0.5114.16N/AN/A3,6401,85056,38635,330
2012-06-07$43.55$40.0042.6%12.4%48.8%59.2%41.9%6.2%0.1%558.0K-27.9M-490.0K0.1213.56N/AN/A12,6821,56056,02836,386
2012-06-08$43.80$41.2540.8%12.2%48.7%53.3%42.9%6.1%0.7%1.2M-42.3M-550.3K0.7611.71N/AN/A88867667,12636,884
2012-06-11$43.59$41.2546.4%12.4%48.4%71.6%43.2%5.4%0.3%1.3M-40.6M-529.1K0.9511.75N/AN/A53651063,55036,882
2012-06-12$44.89$41.2542.4%12.2%47.4%58.6%42.2%6.0%1.3%1.9M-62.4M-541.6K0.4014.63N/AN/A4,0921,63263,63036,800
2012-06-13$45.27$42.5040.7%12.3%46.0%53.0%41.9%6.0%1.6%2.3M-71.1M-552.5K0.2312.63N/AN/A3,13871864,86037,600
2012-06-14$45.99$42.5041.8%12.0%46.0%56.5%43.0%5.5%1.7%2.8M-82.9M-559.7K0.7515.08N/AN/A2,1841,64865,37437,964
2012-06-15$46.35$42.5039.6%11.4%45.3%49.5%38.6%5.5%2.4%4.9M-89.0M-555.3K0.3017.85N/AN/A3,5741,08465,35039,188
2012-06-18$47.20$43.7536.0%10.3%45.2%37.8%37.1%4.3%2.7%2.2M-72.7M-556.7K0.4421.28N/AN/A2,3961,05843,06220,140
2012-06-19$47.22$43.7534.3%9.8%43.9%32.3%36.5%4.4%3.2%2.3M-73.9M-557.5K0.4320.77N/AN/A1,00043443,83820,724
2012-06-20$47.13$43.7534.2%9.8%42.2%31.9%34.2%4.2%3.1%2.3M-72.6M-555.4K0.4321.49N/AN/A1,08846844,15220,866
2012-06-21$44.45$45.0037.4%10.7%48.1%42.3%37.9%4.5%2.2%1.7M-42.8M-522.7K0.7923.04N/AN/A2,4261,92644,40821,134
2012-06-22$44.72$45.0035.3%10.1%48.1%35.6%35.2%4.8%3.4%1.8M-44.3M-521.4K0.9118.59N/AN/A76069044,76621,858
2012-06-25$45.07$45.0037.3%10.7%48.1%41.8%37.1%4.5%3.0%1.9M-48.6M-524.8K1.3120.52N/AN/A68689844,91221,774
2012-06-26$44.95$45.0036.5%10.5%48.1%39.2%38.4%4.4%3.5%1.9M-47.0M-521.5K0.4222.32N/AN/A1,03843445,25022,340
2012-06-27$44.63$45.0035.3%10.1%48.1%35.5%35.8%4.6%3.8%1.9M-43.2M-507.9K3.4218.46N/AN/A21272445,39422,640
2012-06-28$43.58$45.0036.7%10.5%48.8%39.9%39.9%5.2%3.0%1.5M-30.0M-496.1K2.1322.55N/AN/A4761,01645,52423,188
2012-06-29$45.01$45.0033.3%9.6%37.1%29.0%32.7%4.3%4.3%1.9M-44.6M-503.8K1.1818.97N/AN/A1,7782,09645,30223,730