GOLD Options History — April 2013

In April 2013, GOLD traded between $33.45 and $42.52. ATM implied volatility averaged 37.2%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 5.6% (HV 20d: 42.8%). Max pain ranged from $37.50 to $41.25. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2013-04-15: Highest Volume — 13,144 contracts
  • 2013-04-15: Largest IV spike — 22.2% change
  • 2013-04-17: Highest IV Rank — 94.9%
  • 2013-04-17: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.87$33.45$42.52$42.52$40.89
Max Pain$39.89$37.50$41.25$41.25$38.75
ATM IV37.2%27.9%47.1%27.9%39.7%
Expected Move10.9%8.0%13.5%8.0%11.4%
HV 20d42.8%25.5%62.4%25.5%61.8%
HV 60d35.1%28.8%42.6%29.0%42.5%
IV Rank58.0%23.2%94.9%23.2%67.2%
IV Percentile61.7%10.3%97.6%10.3%83.7%
Term Structure-1.6%-4.9%4.1%3.4%-2.1%
VWIV38.3%28.4%46.9%28.4%40.9%
Skew 25d2.7%0.4%4.5%1.7%3.4%
Skew 10d4.7%-0.4%12.5%3.4%12.5%
Call IV 25d37.2%27.4%45.8%27.4%38.9%
Put IV 25d39.8%29.1%50.2%29.1%42.3%
Bid-Ask Spread %14.288.0821.2714.1514.76
Gamma HHI0.080.060.090.090.08
Net GEX309.4K-262.0K801.7K793.8K773.0K
Net DEX7.3M-14.8M37.9M-8.3M-14.4M
Net VEX-275.0K-340.8K-207.4K-292.3K-339.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.101.550.250.90
Total Volume3,253.18272613,1447261,610
Total OI54,960.54546,77068,17046,77060,924

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$42.52$41.2527.9%8.0%25.5%23.2%28.4%1.7%3.4%793.8K-8.3M-292.3K0.2514.15N/AN/A58214431,94214,828
2013-04-02$41.47$41.2528.0%8.0%26.9%23.5%28.9%1.0%4.1%444.0K-736.6K-279.7K0.3017.58N/AN/A74222231,95214,892
2013-04-03$39.80$41.2530.3%8.7%30.6%31.9%30.5%1.3%2.9%34.5K10.0M-248.1K0.5718.78N/AN/A2,0301,15831,92414,882
2013-04-04$40.16$41.2529.8%8.5%27.7%30.1%30.0%1.9%4.1%98.0K7.5M-263.0K1.1321.27N/AN/A1,0841,22832,43615,366
2013-04-05$40.55$41.2529.9%9.8%26.6%30.8%33.6%2.4%-1.8%230.4K4.7M-275.9K0.308.08N/AN/A1,43843632,78215,942
2013-04-08$40.26$41.2529.9%9.9%26.0%30.7%34.1%2.0%-1.5%173.7K6.8M-268.6K0.108.69N/AN/A1,16211833,36216,254
2013-04-09$41.51$41.2529.4%9.5%28.2%28.6%33.1%2.0%-1.2%633.6K-3.1M-288.2K0.408.49N/AN/A73229233,57416,280
2013-04-10$40.70$41.2528.9%9.7%28.4%27.0%33.8%2.1%-1.1%249.7K4.1M-271.6K0.859.50N/AN/A50643033,72016,386
2013-04-11$39.55$41.2534.0%9.7%29.9%45.8%34.1%2.2%-1.2%-110.5K12.1M-253.8K0.999.80N/AN/A90689433,87616,424
2013-04-12$37.63$41.2536.9%10.6%33.6%56.7%36.5%1.9%-2.5%-262.0K22.0M-231.7K1.2814.97N/AN/A3,5924,58434,35416,980
2013-04-15$34.52$41.2545.0%12.9%44.3%87.3%44.8%0.4%-4.9%-183.3K35.9M-207.4K0.5217.62N/AN/A8,6604,48436,73020,078
2013-04-16$35.16$40.0044.3%12.7%45.1%84.6%44.1%3.7%-4.5%87.3K30.4M-227.7K0.6513.01N/AN/A3,3242,15841,24821,752
2013-04-17$33.45$38.7547.1%13.5%47.3%94.9%46.9%4.4%-4.3%-81.5K37.9M-217.9K0.3916.20N/AN/A2,5801,01642,95822,370
2013-04-18$35.13$38.7546.1%13.2%51.8%91.2%45.7%4.5%-4.0%247.7K27.2M-247.3K0.9617.35N/AN/A1,8961,82443,82022,428
2013-04-19$35.78$38.7544.1%12.6%50.8%83.7%44.4%4.2%-3.9%284.1K21.9M-255.3K1.0017.96N/AN/A1,3981,40044,42023,750
2013-04-22$37.50$37.5042.4%12.2%54.5%77.6%42.0%4.2%-3.8%308.8K5.5M-278.8K0.4214.18N/AN/A3,0881,31035,53817,620
2013-04-23$37.08$37.5041.7%11.9%54.4%74.7%42.9%3.7%-2.7%281.7K7.8M-273.4K0.8015.98N/AN/A51641236,22018,292
2013-04-24$40.09$37.5041.4%11.9%62.1%73.8%42.1%2.8%-3.3%647.3K-9.6M-314.9K0.5214.61N/AN/A3,7661,96636,28018,580
2013-04-25$40.65$38.7540.5%11.6%61.8%70.4%41.8%2.7%-2.3%801.7K-14.8M-335.8K1.4813.71N/AN/A1,5062,23238,01219,714
2013-04-26$39.98$38.7540.7%11.7%62.0%71.2%41.2%2.8%-2.6%624.3K-8.4M-338.6K1.1112.51N/AN/A9101,00838,31021,480
2013-04-29$40.72$38.7540.7%11.7%62.4%71.2%42.0%3.5%-2.6%729.2K-12.9M-340.8K1.5515.03N/AN/A8741,35238,51221,940
2013-04-30$40.89$38.7539.7%11.4%61.8%67.2%40.9%3.4%-2.1%773.0K-14.4M-339.9K0.9014.76N/AN/A84876238,78022,144