GOLD Options History — September 2012

In September 2012, GOLD traded between $50.83 and $61.93. ATM implied volatility averaged 31.9%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.4% (HV 20d: 34.4%). Max pain ranged from $46.25 to $57.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2012-09-14: Highest Volume — 20,070 contracts
  • 2012-09-14: Largest IV spike — 11.6% change
  • 2012-09-17: Highest IV Rank — 39.2%
  • 2012-09-17: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.95$50.83$61.93$50.83$61.50
Max Pain$53.22$46.25$57.50$46.25$57.50
ATM IV31.9%26.9%34.8%30.4%33.3%
Expected Move9.2%7.7%10.0%8.7%9.5%
HV 20d34.4%26.5%39.7%27.5%39.2%
HV 60d31.2%29.4%33.4%29.4%31.2%
IV Rank30.5%15.4%39.2%25.9%34.6%
IV Percentile25.6%5.2%37.7%17.5%32.5%
Term Structure1.9%0.3%2.7%1.4%2.7%
VWIV32.7%28.4%36.3%29.5%34.2%
Skew 25d3.1%2.0%4.1%2.0%2.6%
Skew 10d6.5%5.0%9.2%6.0%5.6%
Call IV 25d31.2%26.8%33.7%29.3%32.8%
Put IV 25d34.3%29.5%36.8%31.3%35.4%
Bid-Ask Spread %20.5313.1431.6114.7031.61
Gamma HHI0.180.150.260.170.15
Net GEX4.5M3.1M7.7M6.4M3.4M
Net DEX-221.0M-327.6M-129.3M-131.0M-157.7M
Net VEX-546.7K-716.6K-425.9K-436.1K-716.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.132.160.130.73
Total Volume7,300.2111,92620,07011,3261,926
Total OI102,661.47473,610125,21892,42481,784

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$50.83$46.2530.4%8.7%27.5%25.9%29.5%2.0%1.4%6.4M-131.0M-436.1K0.1314.70N/AN/A10,0141,31259,29633,128
2012-09-05$51.20$46.2529.7%8.5%26.5%23.9%28.5%2.8%2.3%7.7M-143.4M-455.0K0.1916.71N/AN/A2,52447062,82234,268
2012-09-06$54.35$46.2526.9%7.7%32.9%15.4%28.4%2.7%2.1%6.9M-209.5M-425.9K0.9113.14N/AN/A8,9388,10061,45434,558
2012-09-07$55.73$52.5029.9%9.0%31.7%24.6%31.4%3.9%2.2%4.6M-225.9M-437.6K0.7819.72N/AN/A7,9686,24061,21840,196
2012-09-10$55.21$52.5030.0%8.9%32.1%24.7%31.0%3.6%2.3%5.0M-211.5M-475.8K0.4417.65N/AN/A2,27499264,47043,958
2012-09-11$55.12$52.5030.4%9.0%31.3%26.0%31.2%3.6%2.3%4.9M-206.8M-473.1K0.3415.05N/AN/A2,77295664,31244,344
2012-09-12$55.30$52.5030.7%9.1%30.7%26.9%32.9%3.9%2.0%4.9M-213.0M-468.3K1.7721.60N/AN/A1,3542,39265,31044,928
2012-09-13$57.17$52.5030.6%8.8%31.9%26.6%31.2%4.1%2.3%4.2M-250.8M-448.3K0.5823.04N/AN/A1,8261,05265,19846,466
2012-09-14$60.17$52.5034.2%9.8%35.3%37.2%34.7%3.4%0.5%3.4M-299.0M-428.3K0.3218.39N/AN/A15,2304,84065,24446,984
2012-09-17$60.70$55.0034.8%10.0%34.8%39.2%36.3%3.2%0.3%3.9M-314.4M-570.2K0.5116.50N/AN/A3,7921,92472,73049,778
2012-09-18$60.39$55.0034.2%9.8%35.0%37.3%34.4%3.5%0.6%4.1M-311.3M-571.1K0.1919.32N/AN/A3,83272073,60250,552
2012-09-19$60.77$55.0033.5%9.6%34.9%35.2%34.0%2.7%1.2%4.3M-318.7M-569.3K0.3921.04N/AN/A1,63463474,46850,750
2012-09-20$60.04$55.0033.0%9.4%35.9%33.5%34.1%3.4%1.3%4.0M-303.1M-557.8K0.1721.51N/AN/A4,44076074,18251,018
2012-09-21$61.93$55.0031.5%9.0%36.6%29.2%32.1%2.9%2.2%4.4M-327.6M-562.4K0.5220.68N/AN/A12,3246,36272,98650,664
2012-09-24$60.38$55.0032.9%9.4%38.6%33.3%33.1%2.4%1.9%3.7M-145.8M-683.3K0.3318.10N/AN/A2,40679650,52023,090
2012-09-25$59.09$55.0033.9%9.7%39.7%36.3%35.2%2.8%2.3%3.3M-129.3M-684.3K1.0129.48N/AN/A4,2524,29051,21023,520
2012-09-26$59.66$57.5033.8%9.7%39.2%36.1%34.6%3.4%2.5%3.1M-141.8M-708.1K2.1624.80N/AN/A1,7363,75054,06626,316
2012-09-27$61.56$57.5033.1%9.5%39.2%33.8%34.1%2.6%2.7%3.5M-159.0M-715.9K0.6827.11N/AN/A2,3081,56452,61228,566
2012-09-28$61.50$57.5033.3%9.5%39.2%34.6%34.2%2.6%2.7%3.4M-157.7M-716.6K0.7331.61N/AN/A1,11481252,78229,002