All the Ultrons in Age of Ultron are gold, and I think the only gold metal that is stronger than a Adimantium Vibrainum Compound is Adamantine.

they may actually be made of SPOILER human beings, when red hulk punchs ones head off a spine and blood fly out aswell, and from what i understand from the first issue ultron is infecting people with something, so it may even be some form of organic metal, ultron was able to infect and completely reform iron man into the form of his "mother" the wasp when mighty avengers began so its not a completely ridiculous theory. SPOILER

I doubt that they're adamantium since it's kind of a rare metal and considering that adamantine is the metal of the gods I don't think that Ultron would have access to it

or he's just stealing iron mans armor composition, thats a more reasonable theory...

No, remember the first book hawkeye destroyed two with a powerful grenade.

We'll learn more about them in the near future.