GOLD Options History — October 2012

In October 2012, GOLD traded between $58.55 and $63.44. ATM implied volatility averaged 34.0%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.5% (HV 20d: 32.5%). Max pain ranged from $57.50 to $62.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2012-10-01: Highest Volume — 8,232 contracts
  • 2012-10-11: Largest IV spike — 7.8% change
  • 2012-10-24: Highest IV Rank — 50.5%
  • 2012-10-24: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.97$58.55$63.44$63.44$59.80
Max Pain$61.43$57.50$62.50$57.50$60.00
ATM IV34.0%30.9%36.4%33.2%33.8%
Expected Move9.9%9.2%10.4%9.5%9.7%
HV 20d32.5%28.3%39.0%37.3%29.0%
HV 60d31.9%31.1%32.7%31.4%32.4%
IV Rank41.6%31.3%50.5%34.4%41.7%
IV Percentile39.8%21.0%55.2%32.5%40.1%
Term Structure-0.1%-1.6%3.4%2.9%0.4%
VWIV34.8%32.6%37.4%33.3%34.1%
Skew 25d3.3%2.1%3.9%2.1%3.6%
Skew 10d6.7%4.1%8.6%5.2%6.7%
Call IV 25d33.5%31.1%34.6%32.7%33.3%
Put IV 25d36.8%33.4%38.3%34.8%36.9%
Bid-Ask Spread %20.1012.8528.2421.6822.55
Gamma HHI0.170.130.250.160.15
Net GEX3.9M2.3M6.1M4.0M3.5M
Net DEX-147.9M-188.3M-104.4M-188.3M-117.7M
Net VEX-652.9K-698.3K-606.7K-694.6K-622.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.164.210.372.14
Total Volume3,016.6678668,2328,2322,070
Total OI86,141.8174,04492,28682,68481,370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$63.44$57.5033.2%9.5%37.3%34.4%33.3%2.1%2.9%4.0M-188.3M-694.6K0.3721.68N/AN/A5,9982,23453,33229,352
2012-10-02$62.09$57.5032.2%9.2%38.1%31.3%32.6%2.4%3.4%4.0M-169.5M-690.5K0.4720.54N/AN/A1,92090254,71630,602
2012-10-03$61.25$57.5033.9%9.7%39.0%36.4%33.7%3.3%2.4%3.6M-154.3M-693.0K0.7415.99N/AN/A64847854,80431,172
2012-10-04$62.69$57.5032.0%9.2%34.6%35.3%32.8%2.3%3.1%4.3M-180.2M-689.9K0.1627.79N/AN/A4,64873454,98031,360
2012-10-05$62.35$62.5030.9%10.0%34.2%31.6%33.9%3.4%-0.5%4.4M-177.8M-698.3K0.3728.24N/AN/A1,34650257,03631,518
2012-10-08$62.19$62.5032.5%10.1%33.9%37.0%36.1%3.1%-0.7%4.6M-172.7M-693.9K0.5626.27N/AN/A82846257,53631,700
2012-10-09$61.02$62.5033.2%10.4%34.9%39.6%36.3%3.5%-1.2%4.1M-153.5M-686.0K0.4716.23N/AN/A1,19056057,79431,904
2012-10-10$60.84$62.5033.3%10.4%35.1%39.8%37.4%3.9%-1.2%3.9M-148.0M-674.4K0.2925.16N/AN/A1,40440257,70832,152
2012-10-11$61.14$62.5035.9%10.3%33.4%48.8%34.7%3.1%-1.2%4.3M-158.0M-662.9K0.7117.56N/AN/A1,17483658,15432,292
2012-10-12$60.61$62.5035.9%10.3%28.4%48.9%34.7%3.2%-1.0%3.9M-144.8M-653.2K1.1021.23N/AN/A1,0301,12857,84232,544
2012-10-15$61.01$62.5035.7%10.2%28.3%48.1%35.6%3.3%-0.8%4.3M-151.1M-641.1K1.4818.14N/AN/A1,3682,03058,16032,784
2012-10-16$61.91$62.5034.2%9.8%28.7%43.0%35.9%3.6%-0.7%5.0M-166.6M-633.6K0.9616.22N/AN/A1,9481,86857,96633,590
2012-10-17$62.49$62.5033.7%9.7%28.8%41.3%34.5%3.5%-0.4%6.1M-182.4M-628.5K0.6220.33N/AN/A1,8681,16658,86633,420
2012-10-18$59.95$62.5034.4%9.9%32.3%43.8%33.8%3.5%-0.7%2.8M-131.3M-606.7K0.2212.85N/AN/A3,35273658,46433,320
2012-10-19$60.27$62.5034.7%9.9%30.3%44.7%34.9%3.4%-0.6%2.3M-139.0M-613.3K0.3217.36N/AN/A4,0681,28658,42233,534
2012-10-22$61.31$62.5034.2%9.8%29.5%42.9%34.9%3.6%-1.0%3.8M-136.2M-629.3K0.8315.73N/AN/A1,7061,42450,86023,184
2012-10-23$58.80$62.5035.7%10.2%32.3%48.0%37.2%3.7%-1.6%3.1M-105.2M-608.4K0.4021.59N/AN/A3,2141,28652,19023,864
2012-10-24$58.55$62.5036.4%10.4%32.1%50.5%36.0%3.5%-1.4%3.2M-104.4M-618.7K1.9719.43N/AN/A6861,34854,61624,734
2012-10-25$59.70$62.5034.5%9.9%30.7%44.1%34.7%3.9%-0.7%3.5M-118.4M-646.8K4.2117.42N/AN/A5062,13054,73025,372
2012-10-26$58.99$62.5033.9%9.7%31.0%42.1%34.2%3.5%-0.4%3.1M-106.6M-625.7K0.7719.73N/AN/A48837854,93426,100
2012-10-31$59.80$60.0033.8%9.7%29.0%41.7%34.1%3.6%0.4%3.5M-117.7M-622.2K2.1422.55N/AN/A6601,41055,20426,166