GOLD Options History — November 2013

In November 2013, GOLD traded between $34.02 and $38.62. ATM implied volatility averaged 37.9%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 3.0% (HV 20d: 40.9%). Max pain ranged from $25.00 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2013-11-12: Highest Volume — 5,024 contracts
  • 2013-11-11: Largest IV spike — 14.6% change
  • 2013-11-05: Highest IV Rank — 95.1%
  • 2013-11-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.27$34.02$38.62$35.74$35.38
Max Pain$32.05$25.00$37.50$36.25$25.00
ATM IV37.9%33.5%46.0%42.8%37.4%
Expected Move11.7%10.7%12.3%12.3%11.9%
HV 20d40.9%34.8%45.1%43.0%34.8%
HV 60d40.2%39.4%41.1%41.1%39.8%
IV Rank59.9%40.3%95.1%81.1%57.6%
IV Percentile55.4%33.3%98.0%85.7%51.6%
Term Structure0.1%-3.1%1.2%-3.1%0.7%
VWIV41.3%37.2%44.3%42.9%41.8%
Skew 25d2.9%2.0%4.0%4.0%2.4%
Skew 10d6.0%3.6%7.3%7.0%3.9%
Call IV 25d36.3%33.4%41.7%41.7%36.4%
Put IV 25d39.2%36.4%45.7%45.7%38.8%
Bid-Ask Spread %8.953.5919.2619.264.73
Gamma HHI0.140.120.180.120.15
Net GEX1.5M367.1K2.9M1.5M923.1K
Net DEX-58.1M-97.0M-26.1M-54.2M-46.5M
Net VEX-395.4K-439.2K-346.1K-421.2K-372.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.122.530.670.13
Total Volume2,814.51,0765,0242,6723,640
Total OI105,769.6100,448109,210103,396108,938

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$35.74$36.2542.8%12.3%43.0%81.1%42.9%4.0%-3.1%1.5M-54.2M-421.2K0.6719.26N/AN/A1,6001,07273,10830,288
2013-11-04$36.83$36.2545.5%11.4%43.7%93.2%39.9%3.4%-1.2%2.0M-69.4M-433.7K0.9615.99N/AN/A62059473,87430,722
2013-11-05$36.76$36.2546.0%11.5%42.5%95.1%40.2%3.6%-1.3%2.0M-68.1M-428.2K0.6418.99N/AN/A68644074,00430,972
2013-11-06$37.13$36.2541.4%10.8%42.5%75.1%39.7%3.2%-0.6%2.2M-73.2M-426.4K1.5313.84N/AN/A8181,25473,97831,142
2013-11-07$38.62$36.2535.7%10.7%44.2%50.2%37.2%3.2%-0.7%2.9M-97.0M-436.8K1.1913.53N/AN/A1,9922,37674,04631,444
2013-11-08$38.34$37.5033.5%10.7%44.1%40.3%37.7%2.9%0.5%2.8M-90.4M-439.2K0.8016.35N/AN/A1,08486274,62432,578
2013-11-11$37.90$0.0038.3%11.9%43.9%61.7%0.0%2.9%-0.1%2.7M-82.7M-423.8K1.766.41N/AN/A39068674,85432,800
2013-11-12$36.54$0.0040.2%12.0%45.1%69.9%0.0%3.3%0.4%1.8M-59.2M-403.8K0.256.61N/AN/A4,0221,00274,86433,020
2013-11-13$35.95$0.0037.1%12.0%43.4%56.3%0.0%3.3%-0.2%1.3M-50.5M-390.7K1.295.03N/AN/A9661,25075,60833,114
2013-11-14$36.75$0.0037.9%12.0%42.1%59.7%0.0%3.1%0.1%1.9M-63.0M-398.5K0.124.87N/AN/A2,79634474,95633,534
2013-11-15$36.64$0.0037.1%11.9%42.1%56.1%0.0%2.6%0.0%1.3M-62.1M-394.4K2.538.34N/AN/A1,0222,59075,53833,672
2013-11-18$36.44$0.0036.2%11.9%41.9%52.2%41.6%2.1%0.8%1.1M-58.5M-383.0K0.404.29N/AN/A1,79272069,27831,170
2013-11-19$37.12$36.2534.2%11.6%40.0%43.4%40.1%3.0%1.2%1.3M-66.2M-387.7K0.615.18N/AN/A2,9081,77669,78431,610
2013-11-20$35.73$36.2535.3%11.9%40.4%48.5%43.3%2.6%0.9%948.6K-50.1M-375.1K0.698.82N/AN/A2,4601,70871,09832,454
2013-11-21$35.33$25.0035.3%11.9%38.2%48.2%44.3%2.6%1.1%803.4K-41.9M-371.2K0.595.70N/AN/A1,7321,01870,72433,436
2013-11-22$35.01$25.0034.8%11.9%37.6%46.1%44.2%2.8%1.0%659.4K-37.1M-361.9K0.486.18N/AN/A1,31863870,84433,864
2013-11-25$34.60$25.0036.5%11.7%36.7%53.8%40.9%2.4%0.6%548.4K-32.8M-355.0K0.337.23N/AN/A2,31275471,04434,112
2013-11-26$34.02$25.0037.3%11.8%36.0%57.1%41.5%2.7%0.4%367.1K-26.1M-346.1K0.243.59N/AN/A2,51259671,84034,580
2013-11-27$34.49$32.5036.1%11.9%36.0%51.9%43.6%2.0%0.9%555.3K-33.1M-359.0K0.424.17N/AN/A1,36857272,96834,908
2013-11-29$35.38$25.0037.4%11.9%34.8%57.6%41.8%2.4%0.7%923.1K-46.5M-372.6K0.134.73N/AN/A3,22042073,66035,278