GOLD Options History — December 2012

In December 2012, GOLD traded between $48.16 and $52.72. ATM implied volatility averaged 34.0%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 4.7% (HV 20d: 29.3%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-12-19: Highest Volume — 9,578 contracts
  • 2012-12-13: Largest IV spike — 8.5% change
  • 2012-12-13: Highest IV Rank — 51.4%
  • 2012-12-13: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.27$48.16$52.72$52.72$49.60
Max Pain$51.75$50.00$52.50$52.50$50.00
ATM IV34.0%32.7%35.4%32.9%33.5%
Expected Move9.8%9.4%10.2%9.4%9.6%
HV 20d29.3%17.5%44.8%44.8%21.0%
HV 60d34.8%32.0%38.8%38.8%32.5%
IV Rank46.0%41.0%51.4%42.0%44.0%
IV Percentile46.9%32.1%59.9%33.3%42.5%
Term Structure2.2%-0.2%3.2%1.3%2.9%
VWIV34.3%31.7%36.0%31.7%34.0%
Skew 25d2.3%1.0%2.9%1.5%2.9%
Skew 10d4.2%1.5%5.5%2.2%5.1%
Call IV 25d33.7%32.7%35.0%32.7%32.7%
Put IV 25d36.0%34.2%37.1%34.2%35.6%
Bid-Ask Spread %16.1911.5922.8220.7011.59
Gamma HHI0.120.100.160.120.16
Net GEX452.0K-518.4K1.6M1.6M413.3K
Net DEX-10.2M-39.6M8.4M-39.6M-13.0M
Net VEX-350.9K-421.1K-308.4K-421.1K-323.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.081.040.810.28
Total Volume2,167.87589,5781,4901,764
Total OI92,728.676,000103,95095,94877,644

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$52.72$52.5032.9%9.4%44.8%42.0%31.7%1.5%1.3%1.6M-39.6M-421.1K0.8120.70N/AN/A82466666,78029,168
2012-12-04$52.18$52.5034.5%9.9%44.7%47.8%34.3%1.6%-0.2%1.3M-33.2M-417.2K1.0414.88N/AN/A94698467,16229,260
2012-12-05$51.38$52.5033.6%9.6%42.1%44.5%34.0%1.0%0.6%944.5K-23.4M-392.6K0.6416.20N/AN/A1,21277867,24829,582
2012-12-06$51.13$52.5034.0%9.7%37.4%45.8%35.2%1.6%1.3%687.2K-11.9M-381.8K0.5814.88N/AN/A71842065,93029,772
2012-12-07$51.16$52.5033.3%9.9%37.2%43.4%34.5%2.9%2.7%804.7K-13.9M-381.9K0.0822.82N/AN/A1,1969866,20229,684
2012-12-10$51.32$52.5034.0%9.9%36.8%46.0%35.4%2.2%2.6%845.0K-15.3M-371.5K1.0018.11N/AN/A57657866,60229,650
2012-12-11$50.70$52.5034.8%10.1%35.9%48.8%36.0%2.7%2.5%596.8K-8.4M-350.3K0.7116.50N/AN/A1,03674066,74029,636
2012-12-12$51.56$52.5032.7%9.7%36.5%41.0%34.0%2.9%2.6%857.1K-17.3M-366.4K0.2017.57N/AN/A1,51830267,08829,986
2012-12-13$49.92$52.5035.4%10.2%29.2%51.4%35.3%2.2%2.2%271.4K-850.5K-332.1K0.3415.54N/AN/A2,54687667,26229,896
2012-12-14$49.83$52.5035.1%10.1%28.9%50.2%35.1%2.6%2.2%185.1K1.0M-336.0K0.5815.27N/AN/A53030667,45630,150
2012-12-17$50.04$52.5035.2%10.1%29.0%50.5%35.7%2.0%2.8%127.1K-394.7K-325.8K1.0418.74N/AN/A1,4761,53467,66830,282
2012-12-18$49.84$52.5034.9%10.0%22.6%49.5%34.9%2.0%2.4%-41.9K1.3M-325.0K0.3116.61N/AN/A1,98262068,29831,286
2012-12-19$49.32$52.5034.2%9.8%22.5%46.7%34.2%2.4%2.1%-359.7K8.4M-311.7K0.0917.48N/AN/A8,82875068,49832,060
2012-12-20$49.24$52.5034.2%9.8%22.5%46.6%34.2%2.7%2.0%-44.4K160.7K-337.9K0.1714.24N/AN/A2,90648872,67630,550
2012-12-21$49.73$50.0033.4%9.6%20.3%43.6%33.7%2.3%2.9%-518.4K-7.7M-353.5K0.8814.79N/AN/A1,1381,00273,67230,278
2012-12-24$49.55$50.0033.1%9.5%20.0%42.6%33.0%2.1%3.2%466.5K-12.7M-341.4K0.4614.57N/AN/A52023854,90021,100
2012-12-26$49.13$50.0034.0%9.7%19.2%45.8%33.8%2.9%2.9%308.7K-7.9M-320.9K0.1214.90N/AN/A88610255,06221,238
2012-12-27$48.87$50.0033.7%9.7%17.7%44.9%34.2%2.5%2.9%321.3K-6.6M-320.1K0.7115.93N/AN/A73251855,55821,244
2012-12-28$48.16$50.0033.6%9.6%17.5%44.4%33.6%2.5%3.1%265.3K-2.2M-308.4K0.1612.54N/AN/A88014255,81021,494
2012-12-31$49.60$50.0033.5%9.6%21.0%44.0%34.0%2.9%2.9%413.3K-13.0M-323.1K0.2811.59N/AN/A1,37439056,16821,476