GOLD Options History — July 2013

In July 2013, GOLD traded between $30.35 and $37.15. ATM implied volatility averaged 43.8%, placing in the 87.0% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 14.2% (HV 20d: 57.9%). Max pain ranged from $31.25 to $33.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-07-31: Highest Volume — 10,866 contracts
  • 2013-07-05: Largest IV spike — 7.0% change
  • 2013-07-08: Highest IV Rank — 99.1%
  • 2013-07-08: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.97$30.35$37.15$32.06$37.13
Max Pain$32.10$31.25$33.75$33.75$33.75
ATM IV43.8%41.5%46.8%42.5%41.9%
Expected Move12.7%11.9%13.8%12.2%12.0%
HV 20d57.9%43.4%69.0%43.5%59.6%
HV 60d49.9%46.0%51.6%49.5%50.2%
IV Rank87.0%78.3%99.1%82.2%79.8%
IV Percentile94.7%88.1%99.6%96.0%88.1%
Term Structure-0.5%-1.6%3.4%3.0%-1.2%
VWIV44.5%42.0%47.1%43.4%42.2%
Skew 25d3.5%2.2%4.8%3.8%2.8%
Skew 10d7.1%4.6%9.0%9.0%4.6%
Call IV 25d42.8%40.4%46.0%41.6%40.9%
Put IV 25d46.3%43.7%50.7%45.4%43.7%
Bid-Ask Spread %13.527.2620.9119.0417.35
Gamma HHI0.120.080.320.080.14
Net GEX715.3K168.0K1.5M349.3K1.0M
Net DEX-6.4M-30.1M21.5M10.9M-30.1M
Net VEX-371.6K-427.1K-309.8K-342.0K-426.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.092.110.490.09
Total Volume3,332.09163810,8661,97410,866
Total OI73,463.72764,48479,79468,94874,212

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$32.06$33.7542.5%12.2%43.5%82.2%43.4%3.8%3.0%349.3K10.9M-342.0K0.4919.04N/AN/A1,32265242,70826,240
2013-07-02$31.35$33.7542.8%12.3%43.4%83.0%42.9%4.3%3.0%261.0K15.7M-324.7K0.6817.94N/AN/A99067643,24226,548
2013-07-03$32.23$33.7541.5%11.9%45.6%78.3%42.7%3.5%3.4%407.0K9.4M-344.8K1.0920.91N/AN/A70276643,57026,806
2013-07-05$30.94$31.2544.5%13.4%45.8%89.7%47.1%3.9%-0.8%206.0K18.7M-323.5K0.3911.88N/AN/A2,58299443,92227,376
2013-07-08$30.57$31.2546.8%13.8%45.6%99.1%47.1%4.7%-1.4%214.3K20.2M-317.7K0.6310.84N/AN/A1,21877245,29027,834
2013-07-09$30.99$31.2544.4%13.6%46.2%89.5%47.0%4.4%-1.3%274.2K16.8M-324.1K0.3412.67N/AN/A1,03235245,41427,640
2013-07-10$30.35$31.2544.8%13.7%46.0%91.2%46.5%4.8%-1.3%168.0K21.5M-309.8K0.2412.13N/AN/A1,97647245,75027,712
2013-07-11$33.94$31.2544.7%12.8%63.3%90.7%45.6%3.5%-1.0%785.8K-8.2M-368.6K0.4411.18N/AN/A6,7803,00646,35427,896
2013-07-12$33.13$31.2545.5%13.0%63.6%93.8%45.4%3.3%-0.8%818.0K-1.7M-367.5K0.977.53N/AN/A1,00297648,27629,374
2013-07-15$32.32$31.2546.6%13.4%63.9%98.1%46.2%4.0%-1.1%678.9K6.9M-347.7K1.357.26N/AN/A1,0141,36848,81629,400
2013-07-16$34.51$31.2544.8%12.9%69.0%91.2%45.7%3.1%-1.2%1.2M-17.1M-382.3K0.4613.61N/AN/A3,6061,65049,25630,090
2013-07-17$33.69$31.2545.0%12.9%68.7%91.7%45.2%3.1%-1.5%972.4K-6.9M-373.2K0.6013.78N/AN/A1,41485449,21230,582
2013-07-18$33.58$31.2543.4%12.5%67.8%85.7%44.0%3.5%-0.7%945.0K-3.9M-361.1K0.6514.64N/AN/A63041048,43230,282
2013-07-19$35.16$31.2542.1%12.1%65.4%80.3%42.0%2.8%0.5%1.5M-26.9M-372.0K0.1415.19N/AN/A4,95867848,44630,188
2013-07-22$36.81$31.2543.2%12.4%67.0%84.9%43.0%3.7%-1.5%736.1K-23.1M-387.5K0.4810.74N/AN/A3,3001,57639,10225,382
2013-07-23$37.15$32.5041.7%12.0%62.8%78.9%43.2%4.1%-0.9%825.3K-26.6M-398.3K0.2513.24N/AN/A5,2321,32440,51426,240
2013-07-24$35.87$32.5043.5%12.5%64.6%86.1%44.3%2.2%-1.6%829.7K-19.7M-411.5K0.8111.31N/AN/A2,0801,68044,12026,934
2013-07-25$35.86$32.5043.1%12.4%61.0%84.3%43.2%3.5%-1.0%795.1K-19.7M-420.6K0.7013.32N/AN/A57240044,87227,600
2013-07-26$36.66$32.5042.3%12.1%60.8%81.3%43.0%2.8%-0.6%929.0K-25.8M-427.1K2.1115.32N/AN/A46498045,11427,858
2013-07-29$36.69$32.5043.9%12.6%60.3%87.3%43.8%2.9%-1.4%970.9K-27.1M-423.3K0.5512.79N/AN/A86647645,30228,242
2013-07-30$36.45$33.7543.8%12.5%60.4%86.9%45.4%3.4%-1.3%909.9K-24.6M-420.8K1.5114.74N/AN/A25438445,48028,574
2013-07-31$37.13$33.7541.9%12.0%59.6%79.8%42.2%2.8%-1.2%1.0M-30.1M-426.8K0.0917.35N/AN/A9,92893845,50628,706