GOLD Options History — March 2013

In March 2013, GOLD traded between $40.29 and $43.16. ATM implied volatility averaged 29.5%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.8% (HV 20d: 30.3%). Max pain ranged from $41.25 to $45.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2013-03-04: Highest Volume — 2,412 contracts
  • 2013-03-14: Largest IV spike — 9.0% change
  • 2013-03-04: Highest IV Rank — 45.1%
  • 2013-03-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.60$40.29$43.16$40.71$42.99
Max Pain$41.44$41.25$45.00$45.00$41.25
ATM IV29.5%26.3%33.8%32.4%26.6%
Expected Move8.5%7.5%9.3%9.3%7.6%
HV 20d30.3%26.1%33.7%31.4%26.1%
HV 60d28.8%27.4%29.9%27.4%29.1%
IV Rank29.1%17.2%45.1%39.9%18.1%
IV Percentile18.5%3.6%48.8%34.5%4.0%
Term Structure2.1%-0.4%4.2%-0.4%4.1%
VWIV30.1%26.6%34.2%32.8%26.6%
Skew 25d1.8%1.3%2.4%2.1%1.7%
Skew 10d3.0%1.4%4.3%2.5%1.9%
Call IV 25d29.3%25.9%32.1%32.1%25.9%
Put IV 25d31.1%27.6%34.2%34.2%27.6%
Bid-Ask Spread %15.8612.2817.7515.9615.51
Gamma HHI0.090.080.140.080.10
Net GEX331.1K-143.8K968.5K-35.2K913.8K
Net DEX5.0M-12.8M20.3M16.7M-11.9M
Net VEX-273.4K-302.3K-242.6K-256.9K-302.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.212.830.820.37
Total Volume1,500.82542,4121,498544
Total OI54,680.640,41065,46860,24046,646

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$40.71$45.0032.4%9.3%31.4%39.9%32.8%2.1%-0.4%-35.2K16.7M-256.9K0.8215.96N/AN/A82467442,97617,264
2013-03-04$40.29$41.2533.8%9.3%30.2%45.1%34.2%2.1%0.7%-143.8K20.3M-242.6K0.5016.41N/AN/A1,60880443,32617,680
2013-03-05$40.74$41.2531.7%9.0%27.9%37.5%31.8%2.0%0.7%-40116.6M-258.2K0.8415.96N/AN/A53444844,01417,964
2013-03-06$42.21$41.2531.4%9.0%31.9%36.2%31.9%2.4%0.8%375.3K6.8M-281.8K0.4417.15N/AN/A1,51867044,31218,136
2013-03-07$41.15$41.2531.4%9.0%32.4%36.2%31.6%2.1%1.4%178.8K13.0M-268.6K0.2916.22N/AN/A1,09431645,19018,476
2013-03-08$40.47$41.2529.8%9.2%32.3%30.1%31.4%1.7%0.8%5517.6M-257.4K1.1712.28N/AN/A9941,15845,53818,558
2013-03-11$40.59$41.2530.9%9.0%32.5%34.2%31.7%1.6%1.0%-109.8K18.5M-255.1K1.0416.05N/AN/A63666445,68019,074
2013-03-12$41.34$41.2529.6%8.6%32.8%29.3%30.2%1.7%1.6%-5.8K14.0M-267.6K1.0016.29N/AN/A86286045,87019,246
2013-03-13$40.90$41.2526.9%8.6%32.8%19.4%30.3%1.8%1.7%-64.6K16.8M-259.6K0.8617.75N/AN/A56648846,21419,254
2013-03-14$41.57$41.2529.3%8.4%33.7%28.5%29.5%2.0%2.1%101.9K11.6M-265.4K0.7815.43N/AN/A82664445,67418,864
2013-03-15$41.19$41.2528.6%8.2%33.6%25.9%29.3%1.5%2.6%-73.4K15.5M-258.7K2.8315.06N/AN/A4721,33446,06219,218
2013-03-18$41.49$41.2529.8%8.5%30.8%30.1%29.7%2.1%2.2%459.5K-2.4M-266.2K0.6316.27N/AN/A1,18274028,42011,990
2013-03-19$41.52$41.2529.5%8.5%30.9%29.3%29.7%1.8%2.8%501.3K-2.9M-271.1K0.8915.26N/AN/A1,08697028,98612,400
2013-03-20$41.53$41.2529.0%8.3%26.7%27.1%29.4%1.8%3.0%526.8K-2.8M-273.1K0.6614.00N/AN/A77250629,59212,880
2013-03-21$42.77$41.2528.9%8.3%28.6%27.0%29.1%1.3%2.9%744.9K-9.8M-295.0K0.2116.83N/AN/A1,74036629,82813,290
2013-03-22$42.86$41.2528.6%8.2%28.5%25.8%28.7%1.5%3.4%853.1K-11.5M-299.1K0.7914.52N/AN/A82465230,68213,494
2013-03-25$42.14$41.2528.5%8.2%29.2%25.5%28.6%1.4%3.5%695.8K-6.8M-293.1K0.6616.82N/AN/A69846031,26013,930
2013-03-26$42.28$41.2527.0%7.7%26.4%19.8%27.6%1.4%3.5%735.1K-7.3M-294.7K0.5516.03N/AN/A1649031,54214,218
2013-03-27$43.16$41.2526.3%7.5%27.0%17.2%27.2%1.7%4.2%968.5K-12.8M-301.7K1.1917.34N/AN/A56066831,60214,262
2013-03-28$42.99$41.2526.6%7.6%26.1%18.1%26.6%1.7%4.1%913.8K-11.9M-302.3K0.3715.51N/AN/A39614831,87014,776