GOLD Options History — September 2014

In September 2014, GOLD traded between $33.80 and $40.98. ATM implied volatility averaged 25.4%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.4% (HV 20d: 22.0%). Max pain ranged from $38.75 to $43.75. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2014-09-04: Highest Volume — 9,752 contracts
  • 2014-09-08: Largest IV spike — 7.5% change
  • 2014-09-30: Highest IV Rank — 32.5%
  • 2014-09-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.94$33.80$40.98$40.98$33.80
Max Pain$42.08$38.75$43.75$43.75$38.75
ATM IV25.4%22.9%28.3%23.7%28.3%
Expected Move8.0%7.7%8.5%7.7%8.5%
HV 20d22.0%17.1%26.6%17.1%22.7%
HV 60d22.1%20.6%23.1%21.8%22.1%
IV Rank21.2%11.8%32.5%14.5%32.5%
IV Percentile22.8%6.3%36.9%9.1%36.9%
Term Structure1.2%-0.1%2.1%-0.1%1.3%
VWIV27.1%12.7%29.5%12.7%29.2%
Skew 25d1.5%0.1%2.7%1.7%0.5%
Skew 10d1.9%-1.9%4.1%2.7%0.9%
Call IV 25d25.2%23.1%29.3%23.1%29.3%
Put IV 25d26.7%24.5%29.8%24.7%29.8%
Bid-Ask Spread %17.6414.7520.5720.0217.94
Gamma HHI0.140.110.200.200.11
Net GEX-132.4K-1.8M2.9M2.9M-596.1K
Net DEX4.5M-54.9M35.3M-54.9M30.0M
Net VEX-443.8K-539.7K-370.1K-538.8K-394.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.192.080.300.67
Total Volume2,577.4296049,7521,670946
Total OI114,360.38194,056124,384120,456100,376

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$40.98$43.7523.7%7.7%17.1%14.5%12.7%1.7%-0.1%2.9M-54.9M-538.8K0.3020.02N/AN/A1,28638471,39249,064
2014-09-03$40.63$43.7522.9%7.7%17.1%11.8%0.0%1.2%0.3%2.5M-47.5M-539.7K0.5818.50N/AN/A46626872,02449,342
2014-09-04$39.40$43.7523.6%7.7%19.2%14.3%28.3%1.0%0.1%1.1M-25.0M-498.3K0.2620.57N/AN/A7,7621,99072,16849,422
2014-09-05$39.14$43.7523.8%7.8%18.9%14.9%27.0%1.9%1.3%678.0K-18.4M-496.4K0.2319.80N/AN/A5,2421,20872,87850,554
2014-09-08$37.99$43.7525.6%7.9%21.0%21.7%28.4%2.0%0.5%-297.8K607.4K-449.9K1.9017.05N/AN/A1,3702,60668,72451,206
2014-09-09$38.36$43.7525.1%7.9%21.1%20.1%26.9%2.0%1.3%105.2K-7.0M-470.4K0.5117.27N/AN/A1,16659269,43852,330
2014-09-10$38.05$43.7525.2%7.9%20.9%20.3%28.7%1.9%1.2%-150.6K-1.7M-462.7K0.6916.56N/AN/A45031070,06452,576
2014-09-11$38.33$43.7525.0%7.9%21.4%19.8%27.5%2.7%1.1%-21-5.4M-468.9K0.9717.54N/AN/A48246670,29652,746
2014-09-12$37.70$43.7525.5%7.9%21.7%21.7%27.3%1.4%1.0%-330.0K4.4M-453.1K0.1915.95N/AN/A1,22223470,52052,960
2014-09-15$37.70$43.7525.6%8.0%21.8%21.8%29.5%2.5%0.9%-297.8K4.2M-451.4K2.0817.12N/AN/A19640871,08052,998
2014-09-16$37.41$43.7525.4%7.9%21.7%21.1%28.5%1.4%0.8%-416.7K8.6M-439.2K0.7517.69N/AN/A77457871,14853,198
2014-09-17$36.52$43.7525.3%8.0%22.6%20.6%27.2%1.3%1.8%-918.6K20.4M-415.9K1.2517.57N/AN/A49061271,39052,994
2014-09-18$36.28$43.7524.6%8.0%22.5%17.9%27.2%1.8%1.8%-1.4M23.3M-399.3K0.8916.79N/AN/A88479070,73052,666
2014-09-19$35.23$43.7524.7%8.0%23.4%18.6%27.2%1.2%2.1%-1.8M35.3M-370.1K0.2717.13N/AN/A7,1581,95471,25052,636
2014-09-22$34.72$38.7525.9%8.0%23.5%23.2%27.3%1.3%1.5%-764.2K22.3M-401.2K0.8517.14N/AN/A1,8241,55054,13839,918
2014-09-23$35.67$38.7525.5%8.0%26.6%21.7%27.0%1.8%1.9%-600.0K12.7M-424.7K0.5019.44N/AN/A1,33466255,11240,276
2014-09-24$34.98$38.7525.8%8.1%26.0%22.8%27.1%0.9%1.9%-610.9K18.5M-418.4K1.0714.75N/AN/A66871656,09840,612
2014-09-25$34.74$38.7527.1%8.4%25.4%27.5%29.2%1.3%1.5%-624.2K21.3M-418.0K0.4516.79N/AN/A2,3521,06656,59841,066
2014-09-26$34.13$38.7527.1%8.4%24.8%27.5%28.7%1.1%1.9%-595.4K26.9M-406.5K1.3117.54N/AN/A42655858,21241,344
2014-09-29$34.08$38.7528.1%8.5%23.5%31.6%0.0%0.1%1.3%-610.5K27.1M-402.1K0.3717.39N/AN/A49218458,41441,610
2014-09-30$33.80$38.7528.3%8.5%22.7%32.5%29.2%0.5%1.3%-596.1K30.0M-394.1K0.6717.94N/AN/A56837858,75041,626