GOLD Options History — January 2013

In January 2013, GOLD traded between $46.13 and $50.37. ATM implied volatility averaged 30.1%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.3% (HV 20d: 26.8%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2013-01-22: Highest Volume — 4,048 contracts
  • 2013-01-10: Largest IV spike — 16.6% change
  • 2013-01-16: Highest IV Rank — 39.8%
  • 2013-01-08: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.55$46.13$50.37$50.37$47.08
Max Pain$48.39$47.50$50.00$50.00$47.50
ATM IV30.1%27.2%32.4%29.4%30.2%
Expected Move8.9%8.2%9.4%8.4%8.7%
HV 20d26.8%21.3%31.8%21.3%29.2%
HV 60d33.0%32.3%34.1%32.7%32.7%
IV Rank31.3%20.5%39.8%28.9%31.9%
IV Percentile20.0%5.6%32.1%15.5%21.8%
Term Structure0.1%-1.2%4.0%4.0%-0.4%
VWIV31.2%28.9%33.7%29.6%30.2%
Skew 25d2.2%1.1%2.9%2.2%2.9%
Skew 10d4.3%2.3%5.5%4.3%5.5%
Call IV 25d30.4%28.4%32.5%29.1%29.7%
Put IV 25d32.6%29.8%34.7%31.3%32.7%
Bid-Ask Spread %16.1510.8624.4115.3914.78
Gamma HHI0.130.100.440.170.10
Net GEX370.0K-1.6M888.3K504.6K602.8K
Net DEX-948.6K-18.7M10.8M-18.7M-1.4M
Net VEX-281.1K-326.7K-257.4K-326.7K-280.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.041.180.680.04
Total Volume1,850.7625824,0481,9522,930
Total OI68,10242,40884,66678,79046,976

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$50.37$50.0029.4%8.4%21.3%28.9%29.6%2.2%4.0%504.6K-18.7M-326.7K0.6815.39N/AN/A1,16279057,08821,702
2013-01-03$48.90$50.0028.6%8.2%23.3%25.7%29.7%1.9%4.0%391.9K-7.7M-295.5K0.9113.90N/AN/A62456657,52221,402
2013-01-04$47.91$50.0028.4%9.4%23.7%25.2%33.7%2.5%-0.2%298.0K-331.5K-280.0K0.4124.41N/AN/A2,43499857,59021,654
2013-01-07$47.05$48.7528.9%9.4%24.3%26.8%32.6%1.9%-0.3%182.9K4.5M-264.9K0.1623.09N/AN/A2,49841058,18022,188
2013-01-08$46.59$48.7529.0%9.4%24.3%27.2%32.7%2.4%-0.4%184.3K4.5M-265.0K0.5319.39N/AN/A2,4241,29459,46622,390
2013-01-09$47.05$48.7527.2%9.2%24.7%20.5%32.4%2.4%-0.3%235.1K4.8M-284.1K0.1410.86N/AN/A5107259,49823,266
2013-01-10$48.28$48.7531.7%9.1%26.7%37.4%32.3%2.5%0.1%554.8K-4.0M-300.2K0.5216.45N/AN/A77640059,55223,270
2013-01-11$47.59$48.7532.1%9.2%26.0%38.8%32.4%2.3%-0.2%443.3K2.0M-284.6K0.2912.66N/AN/A94627859,81023,450
2013-01-14$46.97$48.7532.2%9.2%24.1%39.2%32.5%2.2%-0.6%235.3K5.8M-275.0K0.3214.68N/AN/A1,24440059,97623,462
2013-01-15$47.08$48.7531.9%9.1%24.1%37.9%31.8%2.6%-0.1%295.1K3.0M-274.5K0.3616.78N/AN/A74826860,58823,042
2013-01-16$46.76$48.7532.4%9.3%24.0%39.8%32.0%2.4%-0.4%194.3K4.9M-266.5K0.7117.13N/AN/A51436660,94223,100
2013-01-17$46.44$48.7532.0%9.2%24.1%38.5%31.8%2.5%-0.3%-104.2K7.0M-261.0K0.9617.59N/AN/A77274260,75023,082
2013-01-18$46.13$47.5030.8%8.8%23.9%33.8%31.3%2.3%-0.0%-1.6M10.8M-257.4K0.7619.01N/AN/A1,6741,27661,23223,434
2013-01-22$48.66$47.5029.0%8.3%31.3%27.1%29.1%1.7%-0.6%786.0K-7.8M-280.6K0.2711.59N/AN/A3,17887029,51812,890
2013-01-23$48.13$47.5028.4%8.2%31.3%25.2%28.9%1.1%-0.1%888.3K-7.3M-285.6K0.7214.25N/AN/A60643631,01813,204
2013-01-24$48.05$47.5028.9%8.3%31.2%26.7%29.0%1.4%0.3%869.2K-6.9M-288.2K1.1817.22N/AN/A43651431,31013,566
2013-01-25$47.38$47.5029.1%8.4%31.5%27.7%29.8%1.8%0.1%686.0K-2.5M-279.7K0.5314.49N/AN/A1,18862831,33813,714
2013-01-28$46.97$47.5030.0%8.6%31.5%30.9%30.4%2.1%-0.7%561.9K-751.9K-275.0K0.5114.45N/AN/A1,25664031,82013,966
2013-01-29$47.75$47.5030.7%8.8%31.8%33.5%31.1%2.3%-0.9%800.6K-5.6M-291.6K0.5418.39N/AN/A71438232,32814,278
2013-01-30$47.45$47.5031.2%8.9%29.8%35.4%31.5%2.0%-1.2%726.8K-4.2M-287.4K0.3912.65N/AN/A64825432,35814,222
2013-01-31$47.08$47.5030.2%8.7%29.2%31.9%30.2%2.9%-0.4%602.8K-1.4M-280.0K0.0414.78N/AN/A2,81211832,60214,374