GOLD Options History — June 2013

In June 2013, GOLD traded between $30.24 and $40.13. ATM implied volatility averaged 39.3%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 2.3% (HV 20d: 41.6%). Max pain ranged from $33.75 to $38.75. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2013-06-24: Highest Volume — 7,266 contracts
  • 2013-06-20: Largest IV spike — 13.1% change
  • 2013-06-26: Highest IV Rank — 94.6%
  • 2013-06-26: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.88$30.24$40.13$40.13$32.00
Max Pain$37.50$33.75$38.75$38.75$33.75
ATM IV39.3%35.5%45.7%37.8%41.9%
Expected Move11.3%10.5%13.1%10.8%12.0%
HV 20d41.6%34.2%45.6%42.4%45.0%
HV 60d46.2%44.7%49.6%44.7%49.6%
IV Rank68.8%54.3%94.6%60.3%79.5%
IV Percentile87.9%71.0%99.2%85.7%95.6%
Term Structure0.9%-1.1%3.4%0.0%3.4%
VWIV39.4%37.0%44.9%38.5%42.3%
Skew 25d3.2%2.3%5.0%3.1%3.8%
Skew 10d5.9%3.5%7.9%5.7%6.8%
Call IV 25d38.2%35.7%43.2%36.6%40.3%
Put IV 25d41.4%38.3%47.3%39.7%44.1%
Bid-Ask Spread %13.569.8218.6511.4517.62
Gamma HHI0.120.100.220.120.10
Net GEX99.7K-1.2M835.3K835.3K154.7K
Net DEX7.2M-24.1M42.1M-24.1M16.0M
Net VEX-344.6K-405.1K-264.9K-405.1K-325.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.241.491.220.24
Total Volume3,254.99527,2662,1586,032
Total OI75,001.455,88683,93675,52265,630

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$40.13$38.7537.8%10.8%42.4%60.3%38.5%3.1%0.0%835.3K-24.1M-405.1K1.2211.45N/AN/A9721,18647,21628,306
2013-06-04$39.19$38.7538.0%10.9%43.3%60.9%38.1%3.0%-0.1%593.0K-15.0M-393.3K0.9112.05N/AN/A1,1101,01247,48428,642
2013-06-05$38.90$38.7537.9%10.9%43.3%60.5%37.9%2.6%-0.1%534.9K-12.2M-396.0K0.8313.01N/AN/A1,14895247,75629,108
2013-06-06$39.54$38.7536.6%10.5%42.3%55.7%37.4%2.3%0.9%764.6K-18.8M-404.9K0.9610.93N/AN/A1,2721,22648,07029,392
2013-06-07$38.65$38.7535.5%10.7%43.0%54.3%37.1%2.8%0.9%502.2K-9.6M-390.0K0.8910.48N/AN/A1,00489448,23229,702
2013-06-10$38.79$38.7535.9%10.5%42.5%55.7%37.7%2.7%1.3%584.3K-10.8M-384.6K1.1911.34N/AN/A9081,08448,55630,042
2013-06-11$37.72$38.7537.2%10.9%42.7%61.0%37.8%3.0%1.2%155.9K421.3K-374.4K0.6615.57N/AN/A2,0021,31248,86230,146
2013-06-12$37.70$38.7536.1%10.9%41.6%56.6%37.9%3.2%0.9%169.5K459.0K-372.3K0.3015.65N/AN/A1,22237049,45430,572
2013-06-13$37.74$38.7537.6%10.8%39.3%62.5%37.8%2.7%0.9%214.5K-521.7K-370.8K0.6617.25N/AN/A57238049,82230,628
2013-06-14$37.67$38.7537.1%10.6%38.0%60.6%37.0%3.7%1.9%174.9K-3.6K-369.7K0.6818.65N/AN/A77452650,15630,856
2013-06-17$37.40$38.7537.0%10.6%35.6%60.2%37.0%2.8%1.6%-110.9K4.4M-356.7K0.8812.73N/AN/A1,3361,17250,22431,092
2013-06-18$36.30$38.7538.2%11.0%34.2%65.0%37.7%2.6%1.2%-763.1K16.9M-336.7K1.3416.72N/AN/A1,3141,76250,31030,886
2013-06-19$35.12$37.5038.3%11.0%36.1%65.4%37.1%3.3%1.6%-1.2M30.0M-312.1K0.6613.28N/AN/A1,6841,11450,65230,740
2013-06-20$32.84$37.5043.3%12.4%42.6%85.2%42.5%3.1%-1.1%-377.3K42.1M-278.3K0.9813.59N/AN/A3,5723,51850,95830,012
2013-06-21$33.35$36.2541.1%11.8%42.1%76.4%40.8%3.5%0.4%-242.7K39.1M-302.1K1.1211.43N/AN/A3,3103,70652,58231,354
2013-06-24$31.50$36.2544.8%12.8%45.2%90.9%43.3%5.0%-0.1%-84.0K20.5M-271.4K0.5912.42N/AN/A4,5582,70833,69622,190
2013-06-25$31.86$35.0042.9%12.3%45.6%83.7%42.2%4.0%1.4%81.7K18.1M-288.7K0.6713.10N/AN/A1,28686237,12623,390
2013-06-26$30.24$35.0045.7%13.1%45.1%94.6%44.9%3.9%0.7%-35.1K24.5M-264.9K1.499.82N/AN/A2,0443,05037,83623,740
2013-06-27$31.02$33.7543.6%12.5%42.3%86.2%43.0%3.7%1.7%31.7K21.7M-294.7K0.8314.21N/AN/A1,17097439,04025,568
2013-06-28$32.00$33.7541.9%12.0%45.0%79.5%42.3%3.8%3.4%154.7K16.0M-325.2K0.2417.62N/AN/A4,8661,16639,51426,116