GOLD Options History — July 2012

In July 2012, GOLD traded between $41.87 and $46.85. ATM implied volatility averaged 35.4%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.5% (HV 20d: 30.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2012-07-31: Highest Volume — 5,046 contracts
  • 2012-07-12: Largest IV spike — 15.4% change
  • 2012-07-12: Highest IV Rank — 43.1%
  • 2012-07-09: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.71$41.87$46.85$45.41$44.74
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV35.4%31.5%38.3%33.0%37.9%
Expected Move10.4%9.0%11.0%9.5%10.9%
HV 20d30.8%23.1%38.5%37.1%29.7%
HV 60d39.6%37.6%44.8%44.8%38.0%
IV Rank33.8%23.1%43.1%28.0%41.8%
IV Percentile34.2%20.2%48.4%27.8%44.4%
Term Structure0.8%-0.8%5.0%4.6%-0.8%
VWIV36.2%31.3%40.2%32.5%37.8%
Skew 25d5.0%3.8%5.9%4.0%5.0%
Skew 10d9.8%8.0%11.4%8.0%9.4%
Call IV 25d34.0%30.1%35.9%31.3%35.8%
Put IV 25d39.0%33.9%41.4%35.3%40.8%
Bid-Ask Spread %17.6113.8823.9122.0314.48
Gamma HHI0.100.080.120.110.09
Net GEX1.6M584.2K2.7M2.1M1.8M
Net DEX-36.3M-67.9M-3.0M-48.5M-36.7M
Net VEX-472.5K-530.7K-398.7K-510.9K-448.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.2112.420.2112.42
Total Volume2,064.7624625,0461,8045,046
Total OI72,586.95266,67677,79470,54871,396

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$45.41$45.0033.0%9.5%37.1%28.0%32.5%4.0%4.6%2.1M-48.5M-510.9K0.2122.03N/AN/A1,49031445,87024,678
2012-07-03$46.85$45.0032.0%9.2%38.5%24.8%31.3%4.1%4.4%2.7M-67.9M-530.7K0.3220.62N/AN/A71623246,38224,870
2012-07-05$46.30$45.0031.5%9.0%37.2%23.1%31.8%3.8%5.0%2.5M-60.5M-517.6K1.1423.91N/AN/A9021,02646,71424,936
2012-07-06$45.60$45.0033.4%10.8%32.9%29.3%36.5%5.6%0.4%2.1M-50.7M-512.4K0.9819.69N/AN/A1,2501,22046,68625,538
2012-07-09$45.43$45.0035.3%11.0%32.9%35.3%38.1%5.8%-0.0%2.0M-46.5M-504.7K1.3615.09N/AN/A41055846,80826,254
2012-07-10$44.95$45.0034.5%11.0%33.1%30.1%40.2%5.5%-0.0%1.7M-39.5M-499.0K1.6716.09N/AN/A33656046,99226,514
2012-07-11$44.95$45.0033.2%10.9%31.5%25.8%38.9%5.4%-0.3%1.6M-38.3M-494.5K0.7717.97N/AN/A1,18291247,00626,814
2012-07-12$44.84$45.0038.3%11.0%31.3%43.1%39.4%5.5%-0.2%1.6M-38.0M-491.3K1.5616.74N/AN/A6941,08247,68426,970
2012-07-13$45.20$45.0037.1%10.6%30.9%39.0%36.0%5.2%0.2%1.8M-41.0M-490.8K0.7217.91N/AN/A1,4981,07447,77227,520
2012-07-16$45.16$45.0036.9%10.6%30.7%38.4%35.5%5.3%-0.1%2.1M-41.2M-479.5K0.5316.99N/AN/A2,7881,48648,80827,408
2012-07-17$44.52$45.0036.0%10.3%30.2%35.3%37.5%5.1%0.2%1.3M-30.8M-470.6K1.2915.44N/AN/A8881,14448,47828,354
2012-07-18$44.02$45.0036.1%10.4%30.3%35.8%36.3%5.2%0.4%801.1K-23.1M-459.5K0.7317.87N/AN/A36827048,80828,986
2012-07-19$43.91$45.0035.6%10.2%30.3%33.9%34.2%4.8%0.7%584.2K-21.1M-444.4K0.6016.62N/AN/A78246847,67828,750
2012-07-20$43.09$45.0035.9%10.3%23.1%34.8%34.3%4.6%-0.2%756.9K-10.2M-427.2K0.4417.95N/AN/A1,67273048,14828,886
2012-07-23$41.98$45.0037.5%10.8%24.5%40.3%36.4%5.3%-0.5%667.4K-5.2M-400.0K0.8318.84N/AN/A1,02685442,71823,958
2012-07-24$41.87$45.0037.1%10.6%24.2%39.0%36.9%5.9%0.7%619.7K-3.0M-398.7K0.9120.50N/AN/A65659643,11624,438
2012-07-25$43.84$45.0037.1%10.6%30.0%38.9%37.5%5.5%0.4%1.4M-25.4M-439.4K0.5814.78N/AN/A1,7941,04243,51224,370
2012-07-26$44.62$45.0035.2%10.1%30.6%32.6%36.4%4.8%0.6%1.7M-35.1M-457.1K0.6517.02N/AN/A1,5621,01244,19824,794
2012-07-27$45.67$45.0033.7%9.7%30.3%27.6%36.2%4.6%0.7%2.1M-47.1M-477.0K2.5313.88N/AN/A9222,33644,66625,608
2012-07-30$45.95$45.0035.3%10.1%28.2%32.9%35.9%4.9%-0.0%2.3M-51.8M-468.5K0.4715.33N/AN/A31414845,21426,026
2012-07-31$44.74$45.0037.9%10.9%29.7%41.8%37.8%5.0%-0.8%1.8M-36.7M-448.6K12.4214.48N/AN/A3764,67045,38226,014