GOLD Options History — February 2014

In February 2014, GOLD traded between $35.37 and $40.56. ATM implied volatility averaged 32.2%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 3.7% (HV 20d: 35.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2014-02-13: Highest Volume — 12,552 contracts
  • 2014-02-13: Largest IV spike — 12.2% change
  • 2014-02-03: Highest IV Rank — 46.5%
  • 2014-02-06: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.57$35.37$40.56$35.83$39.52
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV32.2%29.9%34.9%34.9%29.9%
Expected Move10.8%10.5%11.3%11.3%10.5%
HV 20d35.9%28.2%41.0%41.0%28.2%
HV 60d36.9%34.7%37.7%37.5%34.7%
IV Rank29.5%17.5%46.5%46.5%17.5%
IV Percentile15.8%7.9%27.4%27.4%7.9%
Term Structure0.8%-0.7%3.1%0.7%1.7%
VWIV38.6%35.8%44.6%39.3%37.3%
Skew 25d2.8%1.3%3.7%1.3%2.4%
Skew 10d5.6%3.7%8.3%3.8%4.5%
Call IV 25d31.8%29.4%34.6%34.6%29.4%
Put IV 25d34.6%31.8%36.4%35.9%31.8%
Bid-Ask Spread %8.935.6617.0517.055.72
Gamma HHI0.220.170.320.200.18
Net GEX2.2M1.6M3.0M1.8M2.5M
Net DEX-104.3M-147.8M-55.7M-77.6M-94.5M
Net VEX-444.6K-507.0K-362.4K-362.4K-487.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.142.270.790.58
Total Volume5,956.21167412,55210,4963,570
Total OI102,473.57978,356116,97078,356106,922

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$35.83$30.0034.9%11.3%41.0%46.5%39.3%1.3%0.7%1.8M-77.6M-362.4K0.7917.05N/AN/A5,8764,62048,82829,528
2014-02-04$35.48$30.0032.6%11.2%39.9%36.6%44.6%2.2%1.6%1.8M-65.1M-381.9K1.2611.22N/AN/A2,6283,32051,52033,092
2014-02-05$35.80$30.0032.6%11.3%39.9%36.6%38.7%3.0%1.5%1.8M-64.8M-394.2K1.0312.45N/AN/A2,0042,07052,80435,820
2014-02-06$35.37$30.0032.3%11.3%39.7%35.3%40.6%1.8%3.1%1.6M-55.7M-397.1K0.4610.73N/AN/A5,1422,39053,73637,426
2014-02-07$36.51$30.0030.4%11.1%37.7%19.7%41.7%3.6%1.5%2.3M-72.0M-412.9K1.0813.17N/AN/A1,2121,31055,92239,282
2014-02-10$37.27$30.0030.7%10.9%36.5%21.1%39.0%3.7%1.5%2.5M-85.7M-413.2K0.317.59N/AN/A7,1662,20856,62240,114
2014-02-11$38.54$30.0031.0%10.9%36.5%22.6%38.2%3.1%0.8%2.6M-114.3M-438.9K0.577.44N/AN/A6,8543,89460,48041,490
2014-02-12$37.90$30.0030.3%10.9%36.8%19.0%37.9%2.9%0.9%3.0M-101.8M-459.6K0.397.08N/AN/A7,5442,92463,35243,754
2014-02-13$39.16$30.0033.9%10.8%37.0%36.8%0.0%3.0%0.8%2.7M-124.6M-474.0K0.516.94N/AN/A8,2884,26464,44045,336
2014-02-14$39.83$30.0034.0%10.8%36.6%36.8%37.6%2.7%0.1%1.9M-131.3M-465.4K0.276.75N/AN/A6,5141,77263,60648,160
2014-02-18$40.19$30.0034.3%10.7%36.4%38.2%39.4%2.9%-0.7%2.3M-144.0M-466.6K0.596.11N/AN/A1,49889067,48048,824
2014-02-19$39.60$30.0033.3%10.6%35.7%33.7%37.4%2.8%0.1%2.6M-132.4M-463.2K0.667.11N/AN/A1,30685667,92849,042
2014-02-20$40.38$30.0032.8%10.6%35.5%31.0%37.2%3.2%0.4%2.2M-145.2M-450.8K0.7211.96N/AN/A96469666,93648,644
2014-02-21$40.45$30.0032.7%10.6%34.8%30.9%38.1%2.8%0.2%2.0M-147.8M-452.1K0.148.26N/AN/A3,92055067,13648,726
2014-02-24$40.56$30.0032.6%10.6%34.9%30.2%37.7%2.8%-0.3%1.9M-108.6M-447.9K0.469.04N/AN/A6,6943,10057,41038,400
2014-02-25$40.20$30.0031.3%10.5%32.0%23.9%35.8%2.6%0.6%2.0M-102.7M-481.1K0.527.64N/AN/A2,5221,30059,98241,132
2014-02-26$40.23$30.0031.2%10.5%32.1%23.6%37.7%3.6%0.4%2.6M-108.7M-507.0K2.277.83N/AN/A20646864,80441,650
2014-02-27$39.99$30.0030.5%10.5%30.7%20.0%36.4%2.7%0.9%2.6M-105.9M-491.4K0.415.66N/AN/A1,86276664,87641,794
2014-02-28$39.52$30.0029.9%10.5%28.2%17.5%37.3%2.4%1.7%2.5M-94.5M-487.9K0.585.72N/AN/A2,2541,31664,97241,950