GOLD Options History — March 2014

In March 2014, GOLD traded between $37.50 and $42.35. ATM implied volatility averaged 31.4%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.2% (HV 20d: 31.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2014-03-11: Highest Volume — 35,110 contracts
  • 2014-03-24: Largest IV spike — 7.3% change
  • 2014-03-14: Highest IV Rank — 35.5%
  • 2014-03-13: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.03$37.50$42.35$41.21$37.50
Max Pain$32.98$30.00$35.00$30.00$35.00
ATM IV31.4%30.0%33.7%32.6%30.8%
Expected Move10.5%10.4%10.6%10.6%10.4%
HV 20d31.6%28.1%35.7%30.7%31.7%
HV 60d35.0%33.9%36.4%35.1%35.3%
IV Rank24.3%14.7%35.5%30.5%14.7%
IV Percentile11.8%5.6%19.8%17.1%7.5%
Term Structure1.7%-0.0%3.1%-0.0%2.8%
VWIV36.6%35.9%37.8%36.4%37.2%
Skew 25d1.5%0.7%2.5%2.5%1.8%
Skew 10d2.6%-0.2%4.8%4.4%0.9%
Call IV 25d31.3%29.7%32.5%31.8%30.2%
Put IV 25d32.8%31.2%34.6%34.4%32.0%
Bid-Ask Spread %5.233.996.805.196.80
Gamma HHI0.200.110.710.160.11
Net GEX3.5M1.5M12.8M2.8M1.8M
Net DEX-105.6M-160.4M-60.8M-133.2M-60.8M
Net VEX-480.0K-501.0K-433.4K-482.9K-483.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.031.640.870.26
Total Volume5,384.47690235,1104,4161,898
Total OI104,209.8174,510121,590107,65085,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$41.21$30.0032.6%10.6%30.7%30.5%36.4%2.5%-0.0%2.8M-133.2M-482.9K0.875.19N/AN/A2,3642,05265,27642,374
2014-03-04$40.63$30.0031.2%10.5%29.6%23.7%36.3%1.8%0.9%2.9M-120.4M-488.2K0.894.06N/AN/A1,1961,06066,24643,172
2014-03-05$42.15$30.0030.8%10.5%30.9%21.5%0.0%1.5%1.3%2.8M-157.9M-478.9K0.845.15N/AN/A2,0661,73466,53843,096
2014-03-06$42.35$30.0030.9%10.4%30.9%21.9%36.3%1.2%0.7%2.8M-160.4M-484.5K0.984.54N/AN/A1,0281,01067,04843,472
2014-03-07$40.92$30.0030.5%10.5%33.7%20.2%37.8%1.9%1.8%3.0M-128.2M-489.8K1.644.40N/AN/A1,0281,69067,48643,966
2014-03-10$40.63$30.0032.1%10.6%32.8%28.1%36.3%1.7%1.2%3.1M-120.0M-474.9K0.783.99N/AN/A50839467,81844,322
2014-03-11$40.73$30.0030.7%10.5%32.3%21.1%36.4%1.7%1.6%3.3M-121.9M-473.6K0.065.15N/AN/A33,2241,88667,87444,472
2014-03-12$41.20$32.5030.9%10.6%30.6%22.3%35.9%1.8%1.4%3.3M-115.7M-479.2K0.375.82N/AN/A1,86469662,66845,390
2014-03-13$41.17$32.5033.2%10.6%29.7%33.1%36.2%2.0%1.3%3.5M-117.3M-483.3K0.265.88N/AN/A3,47088663,81445,606
2014-03-14$41.83$32.5033.7%10.6%28.1%35.5%36.0%1.9%0.7%3.8M-137.2M-501.0K0.885.05N/AN/A71263066,83446,136
2014-03-17$40.95$35.0032.1%10.5%28.9%27.9%35.9%1.6%1.6%4.2M-115.4M-481.1K1.515.12N/AN/A8521,29066,96046,480
2014-03-18$40.38$35.0031.7%10.5%29.3%25.9%36.9%1.1%2.0%4.4M-95.9M-475.4K0.035.42N/AN/A22,24876667,22447,150
2014-03-19$39.34$35.0031.7%10.5%30.3%26.1%37.6%1.6%1.9%4.3M-88.8M-467.4K0.565.72N/AN/A1,77098474,35447,190
2014-03-20$39.74$35.0030.7%10.4%29.7%21.3%36.6%1.5%2.6%6.1M-102.2M-468.2K0.455.55N/AN/A1,91286674,55646,814
2014-03-21$39.88$35.0030.0%10.4%29.7%17.7%0.0%1.6%3.0%12.8M-101.9M-466.1K0.445.37N/AN/A1,39660874,80246,788
2014-03-24$38.08$35.0032.2%10.5%33.7%28.3%37.3%1.1%1.3%1.5M-65.3M-433.4K0.315.18N/AN/A6,3301,93448,79825,712
2014-03-25$38.79$35.0030.5%10.4%34.5%20.3%37.3%1.4%2.8%2.0M-78.2M-486.5K0.114.93N/AN/A2,34626053,64227,106
2014-03-26$37.73$35.0031.2%10.5%35.7%23.5%36.3%0.7%2.4%1.8M-66.9M-487.8K1.605.28N/AN/A8241,31855,48827,220
2014-03-27$37.65$35.0031.8%10.5%35.7%26.4%36.1%1.1%1.4%1.8M-64.0M-493.3K0.675.86N/AN/A2,4661,64855,67627,850
2014-03-28$37.87$35.0030.6%10.4%35.6%19.6%36.8%0.8%3.1%1.9M-66.5M-500.5K0.335.38N/AN/A1,40245856,82628,658
2014-03-31$37.50$35.0030.8%10.4%31.7%14.7%37.2%1.8%2.8%1.8M-60.8M-483.8K0.266.80N/AN/A1,50239656,82628,678