GOLD Options History — September 2013

In September 2013, GOLD traded between $34.96 and $40.02. ATM implied volatility averaged 41.1%, placing in the 74.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 0.9% (HV 20d: 42.1%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2013-09-18: Highest Volume — 6,906 contracts
  • 2013-09-12: Largest IV spike — 7.7% change
  • 2013-09-12: Highest IV Rank — 82.4%
  • 2013-09-12: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.16$34.96$40.02$39.53$35.77
Max Pain$38.00$37.50$40.00$37.50$37.50
ATM IV41.1%39.2%43.1%41.1%42.4%
Expected Move11.9%11.4%12.3%11.8%12.2%
HV 20d42.1%34.8%47.7%47.5%45.2%
HV 60d52.0%50.6%53.4%51.9%50.6%
IV Rank74.0%65.6%82.4%74.5%79.6%
IV Percentile82.1%75.0%90.1%83.7%87.7%
Term Structure1.0%0.1%2.5%1.6%1.7%
VWIV41.7%39.4%44.2%41.9%42.4%
Skew 25d4.1%2.3%5.2%3.7%4.6%
Skew 10d8.4%5.8%11.2%7.4%9.4%
Call IV 25d39.9%38.2%41.6%40.0%41.4%
Put IV 25d44.0%41.1%46.0%43.7%46.0%
Bid-Ask Spread %14.0210.5118.6513.7513.67
Gamma HHI0.120.100.150.130.10
Net GEX1.5M765.2K2.8M2.5M870.1K
Net DEX-55.1M-96.0M-24.9M-91.1M-37.1M
Net VEX-465.0K-510.8K-430.6K-508.7K-440.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.172.630.170.67
Total Volume3,202.15746,9062,584574
Total OI102,814.986,338115,680101,50090,790

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$39.53$37.5041.1%11.8%47.5%74.5%41.9%3.7%1.6%2.5M-91.1M-508.7K0.1713.75N/AN/A2,21836670,59030,910
2013-09-04$40.02$37.5039.7%11.4%39.5%68.4%39.4%2.9%1.8%2.8M-96.0M-510.8K0.2311.27N/AN/A3,17274270,46831,064
2013-09-05$38.94$37.5040.0%11.5%41.2%69.3%40.2%2.3%2.0%2.5M-83.4M-503.1K0.4614.07N/AN/A1,40064272,77031,440
2013-09-06$38.95$40.0039.2%12.0%36.1%65.6%41.6%4.2%0.1%2.5M-82.4M-499.8K1.1315.56N/AN/A40846072,93631,752
2013-09-09$38.20$40.0040.1%11.9%34.8%69.4%43.1%3.7%0.2%2.1M-69.6M-470.5K1.7218.65N/AN/A8801,51273,14231,932
2013-09-10$36.72$40.0041.7%12.2%37.1%76.4%41.9%3.9%0.4%1.4M-45.4M-455.0K0.8415.62N/AN/A3,2622,74273,21433,002
2013-09-11$36.77$38.7540.0%12.1%37.1%68.9%41.5%3.7%0.6%1.4M-47.0M-463.3K0.6310.51N/AN/A2,1261,34674,57033,434
2013-09-12$34.96$38.7543.1%12.3%39.1%82.4%42.3%4.0%0.1%860.3K-24.9M-430.6K0.4013.25N/AN/A4,1961,66875,33633,868
2013-09-13$35.77$37.5041.9%12.0%38.3%77.4%44.2%3.7%0.9%1.1M-34.2M-454.3K0.9612.62N/AN/A1,7721,70476,17434,578
2013-09-16$35.88$37.5042.0%12.1%37.9%78.0%43.9%4.5%0.4%1.1M-36.1M-439.5K2.6315.37N/AN/A1,2003,15076,54635,388
2013-09-17$36.80$37.5041.5%11.9%38.5%75.7%42.5%4.5%0.5%1.2M-45.2M-469.9K0.7411.36N/AN/A80860276,48637,844
2013-09-18$39.59$37.5039.8%11.4%46.0%68.3%41.1%4.5%0.7%2.8M-91.8M-499.2K0.4713.11N/AN/A4,6962,21076,48037,920
2013-09-19$38.43$37.5040.7%11.7%45.3%71.9%40.9%4.0%0.2%1.7M-70.9M-485.1K0.8315.02N/AN/A2,8362,35876,55037,908
2013-09-20$36.69$37.5042.4%12.1%47.7%79.4%42.5%4.3%0.4%1.2M-44.3M-452.8K1.6615.95N/AN/A1,4802,45077,25038,430
2013-09-23$36.23$37.5041.5%11.9%46.2%75.5%41.1%4.5%1.7%867.9K-42.3M-437.8K0.9512.89N/AN/A1,2001,14458,46227,876
2013-09-24$35.77$37.5041.4%11.9%46.2%75.2%40.9%4.6%1.1%765.2K-37.8M-435.2K0.4914.43N/AN/A1,96097058,83428,412
2013-09-25$36.32$37.5041.6%11.9%46.0%75.9%40.9%4.8%1.6%960.9K-42.6M-450.8K0.6417.56N/AN/A1,7001,09259,89629,052
2013-09-26$36.05$37.5041.2%11.8%46.0%74.1%40.9%5.2%1.6%925.9K-40.5M-450.9K0.4312.37N/AN/A96841660,66829,576
2013-09-27$35.87$37.5041.2%11.8%45.4%74.3%41.3%4.7%2.5%893.2K-38.8M-442.5K1.1813.35N/AN/A73887460,97629,774
2013-09-30$35.77$37.5042.4%12.2%45.2%79.6%42.4%4.6%1.7%870.1K-37.1M-440.2K0.6713.67N/AN/A34423061,01629,774