GOLD Options History — November 2012

In November 2012, GOLD traded between $50.47 and $60.73. ATM implied volatility averaged 34.6%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 5.5% (HV 20d: 40.1%). Max pain ranged from $52.50 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-11-07: Highest Volume — 9,456 contracts
  • 2012-11-14: Largest IV spike — 12.7% change
  • 2012-11-05: Highest IV Rank — 59.9%
  • 2012-11-15: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.58$50.47$60.73$59.76$53.68
Max Pain$54.17$52.50$60.00$60.00$52.50
ATM IV34.6%31.8%39.1%33.1%32.5%
Expected Move9.8%9.1%10.9%9.5%9.3%
HV 20d40.1%27.6%46.3%28.2%45.1%
HV 60d36.8%32.1%40.0%32.1%38.6%
IV Rank44.5%34.5%59.9%39.4%40.5%
IV Percentile44.6%26.2%69.8%33.3%30.6%
Term Structure0.8%-0.9%2.2%0.2%1.7%
VWIV34.5%32.2%37.9%33.2%33.0%
Skew 25d2.9%1.6%4.5%3.3%1.9%
Skew 10d5.7%3.7%9.6%6.3%4.6%
Call IV 25d33.3%30.9%36.7%32.4%31.8%
Put IV 25d36.2%33.6%39.6%35.7%33.7%
Bid-Ask Spread %18.6813.9926.4122.3116.52
Gamma HHI0.140.120.170.160.13
Net GEX2.0M831.4K4.1M3.4M2.1M
Net DEX-54.4M-136.0M3.4M-116.9M-52.5M
Net VEX-507.0K-629.0K-425.5K-611.2K-460.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.062.300.330.22
Total Volume3,478.6671,0289,4562,8381,048
Total OI91,064.47681,974101,11681,97495,856

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$59.76$60.0033.1%9.5%28.2%39.4%33.2%3.3%0.2%3.4M-116.9M-611.2K0.3322.31N/AN/A2,13270655,32026,654
2012-11-02$58.33$60.0035.3%10.1%29.0%46.8%36.1%2.9%-0.9%2.9M-98.1M-594.8K0.9114.72N/AN/A1,2841,17056,68626,870
2012-11-05$58.63$55.0039.1%10.1%27.6%59.9%34.7%4.3%-0.1%3.0M-101.1M-597.8K0.1920.18N/AN/A1,56030056,93227,512
2012-11-06$60.73$55.0038.9%10.0%30.7%59.1%35.4%3.7%-0.2%4.1M-136.0M-629.0K0.7120.25N/AN/A2,6461,89056,88827,600
2012-11-07$57.20$55.0036.5%10.2%37.1%51.1%35.6%4.5%0.4%2.5M-76.1M-567.2K0.4726.41N/AN/A6,4123,04457,80827,854
2012-11-08$57.50$55.0033.8%10.1%36.9%41.6%35.4%3.5%0.2%2.6M-83.9M-593.4K0.7813.99N/AN/A2,0981,63059,32429,608
2012-11-09$56.17$55.0033.4%10.2%37.6%40.1%34.9%3.1%0.4%2.2M-63.0M-565.4K1.3319.35N/AN/A9201,22660,36029,792
2012-11-12$54.65$55.0034.4%10.1%38.3%43.6%35.1%3.4%0.4%1.6M-40.1M-516.3K0.0620.53N/AN/A8,67248660,37429,978
2012-11-13$54.09$55.0034.5%9.9%38.3%43.9%34.4%2.7%0.9%2.4M-43.5M-551.3K0.5816.74N/AN/A1,41681870,87430,242
2012-11-14$50.47$55.0038.8%10.7%44.1%59.0%37.0%2.6%-0.1%831.4K3.4M-431.1K0.6717.11N/AN/A4,9703,31864,83430,334
2012-11-15$50.97$52.5037.9%10.9%43.8%55.9%37.9%3.0%0.2%1.1M-4.8M-449.2K2.3018.05N/AN/A9522,19065,63830,638
2012-11-16$50.88$52.5036.1%10.4%43.3%49.7%35.4%2.5%0.3%930.1K-3.7M-436.3K0.7017.46N/AN/A2,7881,95465,83631,438
2012-11-19$53.37$52.5033.0%9.4%46.3%38.7%33.0%2.5%1.8%1.9M-46.5M-482.3K1.1417.19N/AN/A1,8782,15061,60826,198
2012-11-20$52.71$52.5032.5%9.3%46.1%37.2%34.2%2.4%1.6%1.6M-38.5M-458.2K0.8715.93N/AN/A99486662,57427,278
2012-11-21$52.30$52.5031.8%9.1%45.3%34.5%32.2%2.7%2.2%1.2M-31.8M-437.7K0.2023.30N/AN/A1,12422463,18027,906
2012-11-23$53.70$52.5032.2%9.2%45.0%36.2%32.4%2.8%2.1%1.9M-49.1M-476.4K0.3422.80N/AN/A1,98867063,70228,024
2012-11-26$52.95$52.5033.5%9.6%45.1%40.4%33.5%1.6%1.4%1.7M-41.9M-458.1K0.4119.61N/AN/A1,51262464,44828,494
2012-11-27$51.97$52.5033.3%9.5%44.4%39.7%33.3%2.2%1.2%1.3M-30.8M-425.5K0.2515.88N/AN/A82420465,15428,856
2012-11-28$52.88$52.5033.2%9.5%45.2%39.7%34.9%2.3%1.0%1.7M-41.5M-448.1K0.3416.69N/AN/A1,49050265,54228,908
2012-11-29$53.30$52.5032.7%9.4%44.9%37.7%33.1%2.4%1.5%1.9M-46.1M-457.6K0.1617.33N/AN/A2,04432866,31828,914
2012-11-30$53.68$52.5032.5%9.3%45.1%40.5%33.0%1.9%1.7%2.1M-52.5M-460.6K0.2216.52N/AN/A85819066,78429,072