GOLD Options History — July 2014

In July 2014, GOLD traded between $42.30 and $44.67. ATM implied volatility averaged 27.0%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.8% (HV 20d: 24.2%). Max pain ranged from $37.50 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.64.

Notable Days

  • 2014-07-10: Highest Volume — 7,944 contracts
  • 2014-07-10: Largest IV spike — 11.6% change
  • 2014-07-31: Highest IV Rank — 36.6%
  • 2014-07-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.43$42.30$44.67$42.30$43.07
Max Pain$40.18$37.50$45.00$37.50$45.00
ATM IV27.0%23.3%30.8%23.7%30.8%
Expected Move8.5%7.9%8.9%8.9%8.1%
HV 20d24.2%21.8%28.8%22.5%24.2%
HV 60d22.8%21.8%23.7%23.7%22.6%
IV Rank20.6%5.2%36.6%6.7%36.6%
IV Percentile16.3%2.0%33.3%3.6%33.3%
Term Structure-0.5%-2.8%2.8%2.8%-2.8%
VWIV29.0%17.3%32.3%31.4%28.2%
Skew 25d1.7%-0.1%3.1%0.8%2.2%
Skew 10d3.4%-1.4%5.6%3.6%3.6%
Call IV 25d26.9%23.7%30.1%23.7%30.1%
Put IV 25d28.6%23.8%32.2%24.5%32.2%
Bid-Ask Spread %11.186.5417.5510.2717.55
Gamma HHI0.140.120.150.120.14
Net GEX3.9M3.2M4.7M3.8M3.3M
Net DEX-123.7M-153.0M-102.3M-113.6M-102.9M
Net VEX-647.2K-669.0K-627.4K-641.4K-642.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.1018.880.501.10
Total Volume1,939.4554327,9441,552848
Total OI110,713.636103,748115,548103,748113,582

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$42.30$37.5023.7%8.9%22.5%6.7%31.4%0.8%2.8%3.8M-113.6M-641.4K0.5010.27N/AN/A1,03451865,62038,128
2014-07-02$42.77$37.5024.0%8.8%22.3%7.9%30.8%0.3%2.5%3.9M-121.7M-647.2K0.1510.33N/AN/A3,26650665,50638,400
2014-07-03$43.16$37.5023.3%8.7%22.0%5.2%31.6%-0.1%2.8%4.3M-129.5M-654.7K1.946.71N/AN/A23044668,12238,810
2014-07-07$42.66$37.5024.8%8.8%21.9%11.4%31.3%1.6%-0.3%4.1M-120.0M-640.6K0.718.66N/AN/A89663468,17439,074
2014-07-08$43.10$37.5024.6%8.8%21.8%10.3%29.4%1.5%-0.3%4.3M-128.9M-643.7K0.609.85N/AN/A1,06463468,63039,470
2014-07-09$44.09$37.5024.5%8.7%22.4%10.1%31.2%1.3%-0.3%4.7M-148.6M-653.6K0.429.78N/AN/A2,5741,08469,15239,598
2014-07-10$43.52$37.5027.3%8.8%23.3%21.6%32.3%1.9%-0.5%4.4M-136.4M-655.2K1.3510.59N/AN/A3,3844,56069,70040,128
2014-07-11$44.67$37.5027.1%8.7%23.5%20.9%29.7%1.3%-0.5%4.2M-153.0M-669.0K0.4610.48N/AN/A1,12451269,28644,106
2014-07-14$43.38$37.5028.0%8.7%26.9%24.2%31.2%2.1%-1.1%3.5M-124.8M-652.0K1.136.54N/AN/A1,0181,15069,72644,636
2014-07-15$42.65$37.5027.8%8.7%28.0%23.5%31.7%1.4%-0.8%3.2M-110.0M-637.2K0.898.74N/AN/A68261070,11844,598
2014-07-16$43.70$37.5027.9%8.8%28.8%24.4%31.4%1.6%-0.9%3.8M-131.3M-656.9K1.108.66N/AN/A63469670,21445,024
2014-07-17$43.84$37.5028.3%8.7%28.8%26.1%30.3%2.5%-1.4%3.7M-134.2M-647.6K0.878.75N/AN/A97885069,97844,772
2014-07-18$43.72$37.5027.6%8.7%25.5%23.3%29.4%3.0%-0.7%4.5M-129.6M-647.2K0.1010.63N/AN/A1,82217870,65844,890
2014-07-21$43.80$0.0027.9%8.1%25.4%24.3%27.9%3.1%-0.9%3.8M-122.6M-640.2K0.139.24N/AN/A6248066,14840,868
2014-07-22$43.63$43.7527.1%8.0%23.7%21.0%27.9%1.8%-0.3%3.8M-121.1M-634.5K0.237.17N/AN/A90620866,52640,876
2014-07-23$43.16$42.5027.6%8.0%22.7%23.3%17.3%1.2%-1.3%3.7M-112.9M-627.4K18.8816.36N/AN/A2404,53267,12441,018
2014-07-24$42.89$45.0027.5%7.9%22.8%22.8%25.4%1.6%-0.6%3.2M-102.3M-647.1K0.3013.99N/AN/A1,17035267,16045,262
2014-07-25$43.69$45.0027.6%8.0%23.6%23.1%30.7%2.9%-1.0%3.6M-114.6M-656.8K0.6714.49N/AN/A25817466,56245,564
2014-07-28$44.27$45.0029.0%8.0%23.9%29.2%27.0%2.3%-2.5%4.0M-127.6M-646.4K0.7115.25N/AN/A54639066,68245,628
2014-07-29$43.86$45.0028.7%8.0%23.9%27.9%0.0%1.7%-2.1%3.8M-120.9M-652.6K1.9615.49N/AN/A21442067,00845,938
2014-07-30$43.63$45.0029.2%8.0%24.0%29.8%23.0%1.2%-2.1%3.6M-115.0M-645.0K1.7816.47N/AN/A22439867,04846,188
2014-07-31$43.07$45.0030.8%8.1%24.2%36.6%28.2%2.2%-2.8%3.3M-102.9M-642.5K1.1017.55N/AN/A40444467,19846,384