GOLD Options History — April 2014

In April 2014, GOLD traded between $37.60 and $40.49. ATM implied volatility averaged 30.4%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.7% (HV 20d: 28.7%). Max pain ranged from $33.75 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2014-04-09: Highest Volume — 11,548 contracts
  • 2014-04-10: Largest IV spike — 15.7% change
  • 2014-04-10: Highest IV Rank — 25.7%
  • 2014-04-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.16$37.60$40.49$37.60$40.03
Max Pain$34.11$33.75$35.00$35.00$35.00
ATM IV30.4%28.1%32.9%30.2%31.5%
Expected Move9.9%9.5%10.3%10.3%9.5%
HV 20d28.7%25.1%32.2%31.5%26.6%
HV 60d32.5%29.6%34.7%34.7%29.6%
IV Rank12.0%0.0%25.7%11.4%18.4%
IV Percentile7.0%0.0%18.3%3.2%14.3%
Term Structure-0.2%-2.1%3.8%2.7%-1.6%
VWIV34.6%32.3%37.2%35.5%33.8%
Skew 25d1.7%1.0%2.2%1.9%2.0%
Skew 10d2.9%1.2%4.5%2.3%2.9%
Call IV 25d30.8%29.1%32.8%29.5%30.8%
Put IV 25d32.5%30.5%34.3%31.4%32.9%
Bid-Ask Spread %6.995.569.066.487.92
Gamma HHI0.130.090.180.110.13
Net GEX2.8M1.8M4.8M1.9M2.7M
Net DEX-89.0M-110.3M-63.0M-63.0M-103.1M
Net VEX-527.3K-559.9K-479.5K-479.5K-557.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.111.661.011.66
Total Volume2,885.61953811,5481,0721,986
Total OI95,704.28687,236103,99287,23698,488

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$37.60$35.0030.2%10.3%31.5%11.4%0.0%1.9%2.7%1.9M-63.0M-479.5K1.016.48N/AN/A53254058,08829,148
2014-04-02$38.26$35.0029.6%10.3%28.8%3.8%35.5%1.0%3.0%2.2M-73.9M-498.6K0.545.59N/AN/A1,11059858,40829,600
2014-04-03$38.20$35.0028.9%10.3%28.6%0.1%36.9%1.8%3.8%2.2M-72.1M-495.4K0.786.45N/AN/A48838259,04829,956
2014-04-04$38.37$33.7528.3%10.2%26.7%0.0%35.1%1.8%-0.9%2.4M-74.9M-496.3K1.046.17N/AN/A1,0481,09459,42230,000
2014-04-07$38.57$33.7529.2%10.2%26.8%4.4%36.4%1.5%-0.7%2.5M-76.5M-497.8K0.445.85N/AN/A1,16251059,34630,648
2014-04-08$40.09$33.7528.1%10.2%30.5%0.0%34.1%1.4%-0.8%3.1M-105.0M-500.8K1.177.39N/AN/A1,7702,07859,57030,726
2014-04-09$39.30$33.7528.5%10.1%30.9%2.2%37.2%1.6%-0.8%2.8M-88.8M-501.0K0.836.78N/AN/A6,3185,23059,80632,022
2014-04-10$38.86$33.7532.9%10.2%31.0%25.7%34.8%1.8%-1.0%2.9M-82.8M-547.1K0.457.96N/AN/A1,53468665,04036,336
2014-04-11$38.66$33.7532.7%10.1%30.3%24.5%0.0%1.8%-0.6%2.9M-80.8M-547.0K0.318.22N/AN/A51616265,74436,546
2014-04-14$39.95$33.7531.9%9.9%32.2%20.2%34.6%1.7%-0.8%4.1M-108.6M-539.8K0.407.36N/AN/A3,4401,38466,08436,598
2014-04-15$39.38$33.7531.7%9.9%32.2%19.4%34.9%1.8%-0.4%4.0M-97.8M-540.0K0.369.06N/AN/A3,5401,29266,67637,218
2014-04-16$39.51$33.7530.9%10.0%30.9%15.0%0.0%1.6%-0.0%4.8M-98.5M-535.5K0.507.00N/AN/A1,13656666,31037,682
2014-04-17$39.35$33.7530.0%9.9%30.7%10.5%33.3%1.5%0.2%3.9M-94.6M-517.0K0.327.81N/AN/A2,38277465,87637,774
2014-04-21$38.95$33.7530.7%9.7%30.8%14.1%34.1%1.8%-0.5%1.8M-79.3M-506.4K0.197.84N/AN/A5,7661,11058,65031,650
2014-04-22$39.05$33.7530.5%9.7%25.8%13.0%33.5%2.1%-0.6%2.1M-86.7M-550.6K0.956.90N/AN/A65261863,42432,290
2014-04-23$39.77$33.7529.6%9.5%25.9%8.1%32.3%2.2%-0.4%2.5M-97.8M-559.9K0.646.60N/AN/A64241263,70032,522
2014-04-24$38.91$33.7530.8%9.6%25.1%14.5%32.9%1.9%-1.1%2.2M-84.6M-550.5K0.116.46N/AN/A4,47049463,96032,818
2014-04-25$39.52$33.7530.0%9.5%25.6%10.4%33.4%1.9%-0.7%2.4M-93.5M-553.7K0.825.95N/AN/A31425663,10233,054
2014-04-28$39.63$35.0031.3%9.5%25.5%17.1%34.3%1.6%-2.1%2.5M-96.0M-546.9K0.635.56N/AN/A33020863,05433,084
2014-04-29$40.49$35.0031.7%9.6%26.0%19.2%35.4%1.2%-1.7%2.8M-110.3M-551.9K0.757.44N/AN/A1,7521,31663,13833,184
2014-04-30$40.03$35.0031.5%9.5%26.6%18.4%33.8%2.0%-1.6%2.7M-103.1M-557.4K1.667.92N/AN/A7481,23864,37834,110