GOLD Options History — January 2014

In January 2014, GOLD traded between $29.64 and $35.27. ATM implied volatility averaged 34.7%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 1.6% (HV 20d: 36.3%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2014-01-08: Highest Volume — 22,796 contracts
  • 2014-01-16: Largest IV spike — 12.2% change
  • 2014-01-27: Highest IV Rank — 54.6%
  • 2014-01-06: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.66$29.64$35.27$32.62$34.45
Max Pain$30.24$30.00$32.50$30.00$30.00
ATM IV34.7%31.5%36.7%34.6%36.0%
Expected Move11.5%11.0%12.0%11.9%11.2%
HV 20d36.3%31.5%42.7%33.2%40.8%
HV 60d37.6%36.6%38.5%37.5%36.6%
IV Rank45.7%31.5%54.6%45.4%51.6%
IV Percentile30.6%18.7%40.1%31.0%35.7%
Term Structure0.5%-0.7%4.2%4.2%0.5%
VWIV40.7%37.8%43.7%40.3%39.7%
Skew 25d2.9%1.8%3.7%3.2%3.4%
Skew 10d5.9%3.6%8.2%7.3%7.2%
Call IV 25d35.0%33.1%37.2%33.7%35.4%
Put IV 25d37.9%35.8%40.4%36.9%38.7%
Bid-Ask Spread %11.588.8620.2210.6011.67
Gamma HHI0.140.090.290.090.16
Net GEX481.1K-636.1K1.5M173.2K1.2M
Net DEX-51.2M-83.8M-15.3M-32.6M-59.5M
Net VEX-315.1K-366.8K-264.4K-290.0K-362.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.041.750.391.24
Total Volume4,533.04869422,7965,3302,112
Total OI94,474.1968,760124,48295,34077,522

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$32.62$30.0034.6%11.9%33.2%45.4%40.3%3.2%4.2%173.2K-32.6M-290.0K0.3910.60N/AN/A3,8421,48862,64032,700
2014-01-03$31.70$32.5035.3%12.0%33.0%48.3%43.7%2.5%3.2%-106.0K-26.5M-277.4K1.399.73N/AN/A1,2261,69864,26233,316
2014-01-06$30.95$32.5035.7%12.0%32.9%50.1%42.7%3.2%0.5%-413.7K-17.4M-264.4K1.0011.06N/AN/A2,8322,83664,64034,190
2014-01-07$31.07$30.0034.3%12.0%33.0%43.9%40.7%3.1%-0.0%-402.9K-19.3M-276.9K0.499.26N/AN/A1,59679066,56235,374
2014-01-08$30.63$30.0034.4%11.9%33.2%44.4%0.0%2.7%0.4%-493.1K-15.3M-272.7K0.0411.61N/AN/A22,01877867,36035,574
2014-01-09$29.64$30.0032.2%11.7%31.5%34.6%43.7%2.5%0.7%-636.1K-67.4M-268.8K0.689.17N/AN/A2,2221,51889,01635,466
2014-01-10$30.79$30.0031.5%11.7%32.7%31.5%41.0%3.0%0.2%-345.4K-49.8M-285.4K0.518.86N/AN/A2,0241,03279,05435,876
2014-01-13$31.85$30.0034.9%11.5%34.3%46.7%0.0%3.0%0.2%266.1K-66.1M-301.3K0.5310.52N/AN/A2,2461,20080,13436,328
2014-01-14$31.42$30.0032.9%11.6%34.6%37.8%42.3%2.8%0.5%-13.1K-59.6M-297.1K1.7510.27N/AN/A7561,32480,52636,310
2014-01-15$31.14$30.0031.7%11.7%34.6%32.7%0.0%2.7%0.3%-146.4K-56.1M-289.1K0.6911.07N/AN/A76853280,25035,566
2014-01-16$31.98$30.0035.6%11.5%36.0%49.8%38.9%2.9%0.9%427.0K-67.6M-296.0K0.749.33N/AN/A94269680,46635,786
2014-01-17$32.66$30.0035.6%11.5%36.5%49.7%41.7%1.8%0.3%1.4M-83.8M-300.1K0.2510.45N/AN/A11,1822,83880,88836,146
2014-01-21$34.00$30.0034.9%11.2%38.8%46.6%41.2%2.6%0.2%936.3K-51.3M-338.3K0.4413.49N/AN/A3,5341,56443,36625,394
2014-01-22$33.77$30.0034.1%11.1%37.3%43.0%38.4%2.3%0.1%959.5K-50.3M-341.9K0.9113.43N/AN/A1,4841,35645,12826,412
2014-01-23$34.70$30.0034.1%11.0%38.2%42.9%37.8%2.9%0.2%1.2M-60.2M-358.5K0.3510.35N/AN/A4,4441,57645,60026,936
2014-01-24$35.05$30.0035.4%11.1%38.0%48.7%38.4%3.3%0.4%1.2M-63.9M-366.8K0.6113.63N/AN/A1,7441,06645,66627,250
2014-01-27$33.90$30.0036.7%11.4%40.4%54.6%42.1%3.5%-0.7%985.1K-51.2M-352.2K0.4013.28N/AN/A2,33292846,26627,562
2014-01-28$34.02$30.0036.0%11.3%40.4%51.6%40.2%3.2%0.0%1.1M-54.1M-353.7K1.1611.61N/AN/A32237247,74227,730
2014-01-29$35.27$30.0035.9%11.1%40.8%50.9%39.8%3.7%-0.6%1.5M-68.7M-364.2K1.6520.22N/AN/A1,1341,86847,82427,836
2014-01-30$34.17$30.0036.5%11.3%42.7%53.8%39.9%3.3%-0.6%1.1M-55.4M-358.7K1.1013.55N/AN/A46451048,27429,020
2014-01-31$34.45$30.0036.0%11.2%40.8%51.6%39.7%3.4%0.5%1.2M-59.5M-362.5K1.2411.67N/AN/A9421,17048,43629,086