GOLD Options History — May 2014

In May 2014, GOLD traded between $36.83 and $40.47. ATM implied volatility averaged 26.8%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 3.6% (HV 20d: 23.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2014-05-27: Highest Volume — 8,418 contracts
  • 2014-05-08: Largest IV drop — 19.2% change
  • 2014-05-07: Highest IV Rank — 32.5%
  • 2014-05-06: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.37$36.83$40.47$39.40$36.97
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV26.8%22.0%34.2%31.6%24.5%
Expected Move9.3%9.1%9.5%9.5%9.2%
HV 20d23.2%17.9%27.5%26.8%18.8%
HV 60d28.0%25.2%29.8%29.7%25.2%
IV Rank9.0%0.0%32.5%18.7%9.9%
IV Percentile5.9%0.0%29.4%14.7%3.2%
Term Structure0.9%-2.2%2.8%-1.4%0.8%
VWIV33.0%30.7%37.1%32.0%30.7%
Skew 25d1.5%0.8%2.2%1.5%1.1%
Skew 10d3.1%1.6%4.6%3.3%3.3%
Call IV 25d25.8%22.0%31.5%31.3%24.7%
Put IV 25d27.3%22.7%33.1%32.8%25.8%
Bid-Ask Spread %7.725.7311.957.177.90
Gamma HHI0.120.100.130.120.10
Net GEX1.6M814.7K3.0M2.4M936.9K
Net DEX-70.4M-108.6M-46.5M-91.2M-48.8M
Net VEX-487.5K-552.5K-436.4K-548.5K-453.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.132.180.520.87
Total Volume1,779.5245448,4181,5681,540
Total OI101,407.14397,254105,11499,446105,114

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$39.40$35.0031.6%9.5%26.8%18.7%32.0%1.5%-1.4%2.4M-91.2M-548.5K0.527.17N/AN/A1,03253664,80034,646
2014-05-02$39.95$35.0031.7%9.5%27.2%19.2%33.2%1.6%-2.2%2.6M-98.8M-549.9K0.535.79N/AN/A90647864,66434,934
2014-05-05$40.47$35.0033.8%9.5%27.4%30.4%34.9%2.1%-0.3%3.0M-108.6M-552.5K1.095.98N/AN/A26028465,24035,192
2014-05-06$40.37$35.0033.9%9.5%27.5%31.2%32.8%1.9%-0.2%3.0M-106.8M-550.2K1.516.53N/AN/A7041,06265,35235,276
2014-05-07$39.37$35.0034.2%9.5%25.5%32.5%33.4%2.1%-0.7%2.5M-88.9M-530.8K0.436.84N/AN/A1,22653065,54035,622
2014-05-08$38.51$35.0027.6%9.5%25.7%0.0%32.1%1.1%0.8%1.9M-72.9M-509.6K1.776.40N/AN/A6301,11265,82635,946
2014-05-09$38.24$35.0026.8%9.4%25.5%0.0%37.1%2.0%1.2%1.5M-65.6M-501.3K0.176.38N/AN/A1,21221065,88036,382
2014-05-12$38.75$35.0028.9%9.4%25.9%10.8%0.0%1.4%2.0%2.0M-74.4M-499.0K0.505.73N/AN/A69034265,98036,550
2014-05-13$38.34$35.0026.4%9.4%23.1%0.0%33.6%1.4%1.8%1.5M-67.0M-482.3K1.446.14N/AN/A56681466,32636,748
2014-05-14$38.63$35.0024.2%9.4%22.8%0.0%33.1%1.1%2.7%1.8M-72.0M-488.2K0.556.42N/AN/A1,37476066,56637,104
2014-05-15$38.27$35.0025.5%9.3%23.0%5.7%32.3%1.8%2.6%1.2M-64.2M-478.1K2.186.15N/AN/A37281066,88636,980
2014-05-16$37.98$35.0025.4%9.3%23.0%5.2%33.7%1.6%2.8%1.1M-60.7M-472.4K1.115.94N/AN/A70678667,01037,276
2014-05-19$38.02$35.0024.6%9.1%22.9%1.8%34.1%2.2%0.2%1.3M-63.5M-459.7K1.047.65N/AN/A87691462,11035,144
2014-05-20$37.71$35.0023.8%9.2%22.9%0.0%31.6%1.7%1.1%1.2M-59.7M-456.5K0.636.98N/AN/A70644462,73635,620
2014-05-21$37.83$35.0023.2%9.2%21.8%0.0%31.3%1.8%1.3%1.2M-60.8M-457.2K0.509.86N/AN/A49424663,05235,980
2014-05-22$37.98$35.0022.6%9.2%20.6%0.0%0.0%1.4%1.4%1.2M-62.8M-452.2K0.9410.05N/AN/A62859063,21236,038
2014-05-23$37.73$35.0022.0%9.2%19.7%0.0%32.0%0.8%2.1%1.1M-59.1M-456.8K1.7210.18N/AN/A28248463,56836,516
2014-05-27$37.12$35.0023.6%9.2%20.2%6.3%33.1%0.8%0.9%877.7K-51.0M-436.4K0.1311.95N/AN/A7,48293663,70836,670
2014-05-28$36.83$35.0024.3%9.3%17.9%9.3%32.1%1.5%1.0%814.7K-46.5M-443.3K0.8411.57N/AN/A1,2741,07265,91237,238
2014-05-29$37.41$35.0024.3%9.1%19.1%9.1%0.0%1.4%0.8%1.1M-55.6M-459.1K0.4710.39N/AN/A1,36263866,49037,716
2014-05-30$36.97$35.0024.5%9.2%18.8%9.9%30.7%1.1%0.8%936.9K-48.8M-453.6K0.877.90N/AN/A82271867,06638,048