GOLD Options History — February 2013

In February 2013, GOLD traded between $40.94 and $49.20. ATM implied volatility averaged 29.4%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.0% (HV 20d: 29.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.86.

Notable Days

  • 2013-02-04: Highest Volume — 10,554 contracts
  • 2013-02-04: Largest IV drop — 16.9% change
  • 2013-02-26: Highest IV Rank — 43.2%
  • 2013-02-26: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.55$40.94$49.20$47.83$41.44
Max Pain$48.68$45.00$50.00$50.00$45.00
ATM IV29.4%24.3%33.3%30.9%32.3%
Expected Move8.6%7.7%9.5%8.6%9.2%
HV 20d29.4%27.5%32.3%28.2%31.1%
HV 60d28.4%26.2%32.9%32.9%27.4%
IV Rank28.8%9.5%43.2%34.4%39.4%
IV Percentile20.6%1.2%42.5%25.4%34.1%
Term Structure1.3%-1.1%3.3%1.4%-0.3%
VWIV30.0%27.4%33.4%29.8%32.3%
Skew 25d2.0%1.2%2.5%2.4%2.3%
Skew 10d3.8%2.5%5.1%4.4%4.5%
Call IV 25d29.3%26.9%33.1%29.0%31.8%
Put IV 25d31.3%28.7%34.6%31.4%34.1%
Bid-Ask Spread %13.4211.5317.0314.0615.31
Gamma HHI0.110.080.210.130.08
Net GEX358.8K-637.7K1.7M1.4M121.7K
Net DEX7.2M-21.9M33.0M-11.9M12.8M
Net VEX-284.2K-347.9K-230.6K-300.5K-268.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.233.033.030.76
Total Volume2,582.52655410,5543,5221,132
Total OI57,940.73749,24862,73049,24859,962

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$47.83$50.0030.9%8.6%28.2%34.4%29.8%2.4%1.4%1.4M-11.9M-300.5K3.0314.06N/AN/A8742,64834,84614,402
2013-02-04$49.20$50.0025.7%7.9%29.0%14.8%27.4%2.2%2.8%1.4M-21.9M-313.5K0.3313.39N/AN/A7,9582,59635,24616,308
2013-02-05$48.32$50.0024.6%8.0%29.0%10.7%27.8%2.1%2.5%1.7M-17.9M-343.4K0.4614.02N/AN/A96844641,02417,156
2013-02-06$48.48$50.0024.3%8.0%28.7%9.5%30.7%2.5%2.8%1.7M-19.5M-347.9K2.0513.62N/AN/A7181,47441,16617,358
2013-02-07$47.58$50.0027.9%8.0%29.5%23.2%28.2%1.9%2.9%1.1M-8.4M-341.1K0.4711.97N/AN/A95045041,67018,556
2013-02-08$47.10$50.0026.9%7.7%28.1%19.2%27.8%1.6%3.3%783.4K-1.5M-324.4K0.4713.76N/AN/A67832042,13418,698
2013-02-11$45.83$50.0028.7%8.2%29.2%26.1%29.3%2.1%2.3%104.3K13.1M-293.8K1.1212.41N/AN/A1,0741,20642,36818,790
2013-02-12$45.43$50.0028.7%8.2%29.1%26.0%27.9%2.2%2.2%-155.5K17.9M-283.2K0.7611.89N/AN/A1,6161,23242,66019,120
2013-02-13$45.34$50.0028.0%8.0%29.0%23.3%27.8%2.1%2.7%-148.7K18.9M-286.1K0.5513.72N/AN/A1,07058842,96219,642
2013-02-14$44.73$50.0028.3%8.1%29.3%24.5%28.6%1.7%2.0%-335.1K23.1M-271.4K1.2313.16N/AN/A41851442,73419,576
2013-02-15$42.95$48.7529.5%8.5%32.3%29.2%30.1%1.6%2.0%-637.7K33.0M-246.7K2.5712.23N/AN/A1,6544,25442,96819,762
2013-02-19$42.90$48.7529.6%8.5%32.3%29.6%29.5%2.0%0.4%-88.8K13.7M-244.5K0.3212.57N/AN/A1,60050636,56215,828
2013-02-20$41.10$48.7532.1%9.2%27.5%39.0%32.1%1.2%-0.7%-204.0K19.4M-230.6K0.7912.63N/AN/A1,9921,57837,73815,870
2013-02-21$41.08$47.5031.8%9.1%27.6%37.6%31.9%2.4%-0.3%-209.5K19.3M-233.7K0.2912.20N/AN/A1,95056038,56016,568
2013-02-22$40.94$47.5031.2%8.9%27.6%35.5%30.9%2.2%-0.0%-156.1K17.3M-254.9K0.2311.53N/AN/A58213640,34816,722
2013-02-25$41.32$47.5033.2%9.5%28.1%43.1%33.4%1.5%-1.1%-119.6K16.1M-252.0K0.2813.71N/AN/A67219039,92616,726
2013-02-26$42.77$46.2533.3%9.5%31.7%43.2%33.3%1.9%-0.7%216.0K6.5M-280.8K0.2817.03N/AN/A3,05086040,38816,742
2013-02-27$42.20$45.0032.1%9.2%30.8%38.7%31.9%1.8%-0.0%281.1K7.6M-282.9K0.2715.77N/AN/A43611842,68217,106
2013-02-28$41.44$45.0032.3%9.2%31.1%39.4%32.3%2.3%-0.3%121.7K12.8M-268.2K0.7615.31N/AN/A64249042,84217,120