GOLD Options History — June 2014

In June 2014, GOLD traded between $36.47 and $42.31. ATM implied volatility averaged 24.1%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.7% (HV 20d: 19.4%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2014-06-13: Highest Volume — 16,404 contracts
  • 2014-06-12: Largest IV spike — 8.0% change
  • 2014-06-02: Highest IV Rank — 14.1%
  • 2014-06-09: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.20$36.47$42.31$36.71$42.30
Max Pain$35.65$35.00$37.50$35.00$37.50
ATM IV24.1%22.3%25.5%25.5%24.5%
Expected Move9.1%8.8%9.4%9.2%8.9%
HV 20d19.4%14.9%24.6%17.8%22.7%
HV 60d24.0%22.3%25.1%25.1%23.7%
IV Rank8.5%1.2%14.1%14.1%10.1%
IV Percentile4.6%0.4%9.1%4.8%9.1%
Term Structure2.0%0.5%2.8%0.5%2.1%
VWIV32.0%30.2%34.5%34.5%30.2%
Skew 25d1.1%0.1%1.8%0.7%1.1%
Skew 10d2.5%0.3%5.9%2.2%5.9%
Call IV 25d24.3%23.2%25.5%25.5%24.2%
Put IV 25d25.4%24.4%26.2%26.2%25.3%
Bid-Ask Spread %9.597.3211.9410.7910.37
Gamma HHI0.130.100.380.110.12
Net GEX2.3M658.6K7.3M823.0K3.6M
Net DEX-79.4M-135.0M-41.4M-45.4M-112.5M
Net VEX-503.1K-640.7K-421.0K-440.7K-640.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.092.381.560.46
Total Volume3,738.47628616,4046761,814
Total OI106,919.14390,204122,904105,542102,016

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$36.71$35.0025.5%9.2%17.8%14.1%34.5%0.7%0.5%823.0K-45.4M-440.7K1.5610.79N/AN/A26441267,27838,264
2014-06-03$36.56$35.0024.7%9.2%16.6%10.7%32.0%0.9%1.1%732.1K-42.6M-436.3K0.6811.39N/AN/A58839867,36238,420
2014-06-04$36.47$35.0024.2%9.3%16.6%8.7%33.7%0.1%1.4%658.6K-41.4M-429.7K1.059.77N/AN/A52054867,44638,568
2014-06-05$37.13$35.0023.9%9.2%16.7%7.5%30.8%1.0%1.2%1.0M-50.9M-434.6K1.227.32N/AN/A61074467,43638,750
2014-06-06$36.70$35.0023.6%9.3%15.5%6.4%31.8%1.5%1.8%745.8K-42.8M-423.4K2.3211.94N/AN/A5161,19667,69639,086
2014-06-09$36.69$35.0023.5%9.4%15.4%5.8%0.0%0.9%2.4%757.3K-43.1M-421.0K2.258.88N/AN/A8819867,94839,650
2014-06-10$37.02$35.0022.6%9.2%14.9%2.1%34.5%1.6%2.1%965.5K-47.9M-423.7K1.139.13N/AN/A16418667,92039,724
2014-06-11$37.73$35.0022.3%9.2%16.4%1.2%31.6%1.7%2.3%1.5M-60.4M-431.1K2.3811.13N/AN/A27665667,95639,726
2014-06-12$38.65$35.0024.1%9.0%18.4%8.5%32.0%1.6%2.0%1.8M-77.0M-446.6K0.789.58N/AN/A1,5241,18468,02040,040
2014-06-13$38.76$35.0024.1%9.2%18.1%8.3%32.8%1.6%2.4%1.7M-78.9M-450.6K0.098.66N/AN/A15,0261,37868,57040,700
2014-06-16$39.16$35.0024.4%9.2%18.1%9.7%32.5%1.3%2.5%2.0M-87.5M-451.1K1.189.31N/AN/A4,9185,80668,93641,464
2014-06-17$39.17$35.0024.7%9.2%18.1%10.8%32.2%1.8%2.3%1.9M-88.2M-483.3K0.858.70N/AN/A72061272,98041,548
2014-06-18$39.52$35.0023.9%9.1%17.9%7.7%31.4%1.5%2.6%2.4M-96.3M-481.7K0.409.74N/AN/A6,6742,70273,42841,322
2014-06-19$41.20$36.2525.4%8.9%22.7%13.7%33.2%0.2%1.8%3.9M-135.0M-550.7K0.199.94N/AN/A6,3161,22878,49241,470
2014-06-20$41.13$36.2524.2%9.0%22.8%8.9%31.9%1.1%2.8%7.3M-132.9M-559.3K0.579.91N/AN/A2,6461,51680,64842,256
2014-06-23$42.31$36.2524.8%8.9%24.0%11.3%30.6%1.2%1.5%3.1M-103.3M-573.6K0.629.91N/AN/A5,5323,41457,68232,522
2014-06-24$41.42$36.2524.5%9.0%24.6%10.2%30.6%0.5%2.1%3.1M-94.5M-606.4K2.249.62N/AN/A7801,74462,39235,518
2014-06-25$41.42$36.2524.3%8.9%24.2%9.0%31.2%0.3%2.4%3.0M-93.9M-613.4K1.448.22N/AN/A42461262,72436,922
2014-06-26$41.59$37.5024.0%8.9%23.9%8.1%31.0%0.6%2.5%3.0M-93.4M-630.6K0.148.63N/AN/A3,05842862,97037,436
2014-06-27$41.67$37.5023.6%8.8%23.1%6.3%31.8%1.4%2.7%3.3M-100.4M-636.2K1.418.43N/AN/A45263664,62437,392
2014-06-30$42.30$37.5024.5%8.9%22.7%10.1%30.2%1.1%2.1%3.6M-112.5M-640.7K0.4610.37N/AN/A1,24457064,62437,392