GOLD Options History — August 2014

In August 2014, GOLD traded between $40.34 and $43.15. ATM implied volatility averaged 24.2%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.6% (HV 20d: 16.6%). Max pain ranged from $43.75 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2014-08-27: Highest Volume — 5,260 contracts
  • 2014-08-14: Largest IV spike — 22.2% change
  • 2014-08-05: Highest IV Rank — 40.9%
  • 2014-08-11: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.02$40.34$43.15$42.93$42.08
Max Pain$44.52$43.75$45.00$45.00$43.75
ATM IV24.2%19.9%31.9%30.7%21.6%
Expected Move8.0%7.6%8.3%8.2%7.6%
HV 20d16.6%11.7%24.0%24.0%14.6%
HV 60d21.3%21.1%21.9%21.9%21.2%
IV Rank14.1%0.0%40.9%36.1%6.7%
IV Percentile9.3%0.0%42.1%30.6%0.4%
Term Structure0.9%-2.6%2.9%-2.6%1.1%
VWIV27.9%25.7%30.0%28.3%25.7%
Skew 25d1.6%0.5%2.4%2.4%1.4%
Skew 10d3.1%1.4%4.9%4.9%2.2%
Call IV 25d24.3%21.4%29.6%29.6%21.4%
Put IV 25d25.9%22.8%32.0%32.0%22.8%
Bid-Ask Spread %17.3613.0721.5715.5121.57
Gamma HHI0.150.120.190.140.18
Net GEX3.5M2.5M4.4M3.2M4.4M
Net DEX-80.1M-103.2M-46.3M-98.8M-78.5M
Net VEX-571.5K-638.1K-513.8K-638.1K-579.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.133.442.090.89
Total Volume2,033.5245145,260760514
Total OI114,163.143106,000120,306113,878120,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$42.93$45.0030.7%8.2%24.0%36.1%28.3%2.4%-2.6%3.2M-98.8M-638.1K2.0915.51N/AN/A24651467,32846,550
2014-08-04$42.60$45.0030.8%8.2%23.8%36.5%0.0%2.2%-0.4%3.0M-90.6M-619.4K0.9214.97N/AN/A65060067,41046,580
2014-08-05$42.70$45.0031.9%8.3%23.5%40.9%28.8%2.2%-0.7%3.1M-92.7M-620.7K1.1913.63N/AN/A42250467,84646,780
2014-08-06$43.15$45.0029.0%8.2%22.3%29.0%29.3%2.1%-0.4%3.4M-103.2M-622.7K0.8217.18N/AN/A92475468,09846,910
2014-08-07$42.58$45.0024.8%8.3%22.3%11.6%0.0%1.1%0.5%3.0M-89.3M-611.2K1.7313.65N/AN/A1,3222,29268,74247,076
2014-08-08$42.40$45.0021.8%8.3%19.9%0.0%29.5%2.2%1.6%3.6M-91.2M-594.4K0.6113.07N/AN/A77447469,55445,320
2014-08-11$42.74$45.0024.6%8.3%17.5%11.6%30.0%1.9%1.5%3.9M-98.6M-592.1K2.0713.97N/AN/A5061,04869,47645,492
2014-08-12$42.87$45.0022.8%8.3%16.4%3.9%28.4%1.7%1.1%4.0M-99.2M-596.0K0.1315.66N/AN/A3,33642269,64846,230
2014-08-13$42.60$45.0019.9%8.2%13.9%0.0%0.0%1.6%2.1%4.1M-94.9M-587.1K0.2415.11N/AN/A1,09225871,20446,374
2014-08-14$42.51$45.0024.3%8.1%13.8%17.0%28.4%1.5%2.4%4.1M-91.0M-570.5K0.2515.47N/AN/A84021070,35646,076
2014-08-15$42.30$45.0023.9%8.1%13.8%15.4%0.0%0.8%2.9%3.9M-85.3M-561.4K0.3618.65N/AN/A1,94669870,63846,240
2014-08-18$42.30$45.0023.0%8.0%13.8%11.9%27.6%2.3%1.1%4.1M-81.2M-549.3K1.1220.55N/AN/A65673665,02840,972
2014-08-19$41.80$45.0022.6%7.9%14.2%10.3%27.0%1.4%0.9%3.7M-73.2M-531.8K0.8216.48N/AN/A38832065,41641,562
2014-08-20$41.65$43.7522.5%7.8%13.8%9.9%26.8%1.7%0.9%4.2M-76.1M-549.5K0.6820.34N/AN/A42028668,37641,728
2014-08-21$40.77$43.7521.8%7.8%15.4%7.4%26.6%1.4%1.4%3.1M-57.3M-520.0K3.4420.00N/AN/A9203,16868,53241,984
2014-08-22$40.55$43.7522.5%7.9%13.3%10.1%26.9%1.5%1.4%2.8M-50.6M-529.6K0.8618.52N/AN/A44438068,89844,348
2014-08-25$40.34$43.7522.7%7.8%11.7%10.8%27.4%1.0%1.4%2.5M-46.3M-515.5K0.2120.68N/AN/A3,20266869,10444,588
2014-08-26$40.87$43.7522.6%7.8%13.0%10.5%0.0%1.1%0.6%2.9M-53.7M-513.8K0.1820.68N/AN/A2,54445468,19044,918
2014-08-27$41.18$43.7521.9%7.6%13.6%7.8%27.9%1.0%1.1%3.4M-61.4M-531.8K1.2018.62N/AN/A2,3922,86869,63845,238
2014-08-28$41.52$43.7522.1%7.6%13.6%8.7%0.0%0.5%0.8%3.7M-68.1M-566.6K2.0220.29N/AN/A8321,68071,14047,532
2014-08-29$42.08$43.7521.6%7.6%14.6%6.7%25.7%1.4%1.1%4.4M-78.5M-579.2K0.8921.57N/AN/A27224271,32648,980