GOLD Options History — November 2014

In November 2014, GOLD traded between $29.40 and $35.49. ATM implied volatility averaged 39.5%, placing in the 74.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 19.4% (HV 20d: 58.9%). Max pain ranged from $37.50 to $38.75. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2014-11-20: Highest Volume — 23,150 contracts
  • 2014-11-28: Largest IV spike — 11.6% change
  • 2014-11-04: Highest IV Rank — 89.0%
  • 2014-11-19: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.20$29.40$35.49$30.46$32.34
Max Pain$38.22$37.50$38.75$38.75$37.50
ATM IV39.5%36.1%43.3%43.0%40.3%
Expected Move10.7%10.4%11.3%10.9%11.1%
HV 20d58.9%38.8%66.5%46.1%66.5%
HV 60d41.6%31.9%47.6%31.9%47.6%
IV Rank74.5%61.6%89.0%88.2%77.6%
IV Percentile90.7%81.0%98.4%98.4%93.7%
Term Structure-1.5%-3.0%-0.1%-2.3%-1.6%
VWIV36.3%35.1%39.0%36.5%38.9%
Skew 25d3.6%2.3%4.4%3.3%3.7%
Skew 10d7.1%3.0%9.5%5.6%6.2%
Call IV 25d38.2%34.3%43.0%42.4%39.0%
Put IV 25d41.8%38.3%46.8%45.7%42.7%
Bid-Ask Spread %16.1512.4019.7913.6215.90
Gamma HHI0.110.090.130.120.12
Net GEX-166.5K-917.3K893.2K-768.8K-115.5K
Net DEX13.0M-28.9M66.4M55.4M20.4M
Net VEX-457.8K-541.9K-326.3K-352.2K-442.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.102.280.760.24
Total Volume11,264.1051,37823,1509,1187,802
Total OI131,368.105117,788144,820117,788137,454

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$30.46$38.7543.0%10.9%46.1%88.2%36.5%3.3%-2.3%-768.8K55.4M-352.2K0.7613.62N/AN/A5,1903,92866,52851,260
2014-11-04$29.80$38.7543.3%10.8%46.1%89.0%36.3%2.9%-3.0%-783.4K62.7M-328.4K0.8612.72N/AN/A5,1864,43866,78851,620
2014-11-05$29.40$38.7543.0%11.0%38.8%88.1%36.7%3.8%-2.4%-771.0K66.4M-326.3K0.8912.40N/AN/A4,7624,25267,14452,474
2014-11-06$32.49$38.7540.7%10.7%54.3%79.3%36.3%2.3%-1.0%-667.8K29.6M-425.0K1.2014.73N/AN/A5,6966,82467,79653,064
2014-11-07$33.69$38.7538.9%10.6%55.8%72.4%35.9%3.4%-0.6%-664.5K16.7M-460.1K0.5218.41N/AN/A7,2503,74668,57654,958
2014-11-10$31.82$38.7542.1%10.8%58.8%84.6%36.1%3.6%-1.8%-909.1K43.7M-407.0K0.6913.58N/AN/A6,9824,79670,98855,190
2014-11-11$33.15$37.5039.2%10.6%60.6%73.6%35.8%3.5%-1.6%-829.9K24.6M-425.4K0.6616.24N/AN/A5,9883,95868,23855,130
2014-11-12$32.88$38.7538.8%10.8%60.6%71.9%35.4%3.8%-1.6%-917.3K29.3M-426.2K0.5414.98N/AN/A7,2423,88272,33456,838
2014-11-13$32.38$38.7538.5%10.6%60.6%70.8%35.5%3.7%-1.3%-892.3K34.4M-435.5K0.5114.54N/AN/A7,4083,78476,59257,226
2014-11-14$34.38$38.7538.8%10.6%63.4%72.0%35.6%3.6%-1.7%-70.5K-3.2M-490.1K0.1019.79N/AN/A4,84047276,94257,022
2014-11-17$34.45$38.7538.5%10.5%62.9%70.9%35.5%3.9%-1.6%110.4K-5.9M-492.1K0.3016.70N/AN/A9,3782,81079,14257,218
2014-11-18$35.15$38.7537.7%10.4%63.3%67.6%35.1%4.4%-2.0%808.6K-22.6M-507.3K0.2316.70N/AN/A13,7363,21281,59257,412
2014-11-19$33.80$37.5041.1%11.3%64.0%80.6%39.0%3.1%-1.6%-231.2K2.5M-514.9K2.2817.56N/AN/A4,75610,82485,74657,562
2014-11-20$34.55$37.5039.3%11.0%64.4%74.1%37.3%4.1%-1.6%722.6K-18.6M-540.3K1.2717.24N/AN/A10,20812,94286,93657,152
2014-11-21$34.55$37.5037.7%10.6%63.8%68.0%36.3%3.9%-0.8%893.2K-17.3M-525.1K0.4715.72N/AN/A12,1005,69487,35857,462
2014-11-24$34.70$37.5036.4%10.5%63.0%62.8%36.7%4.3%-0.1%414.6K-13.0M-519.5K0.3919.78N/AN/A1,52058682,85450,620
2014-11-25$35.49$37.5036.3%10.5%63.0%62.4%35.6%4.0%-0.7%731.6K-28.9M-541.9K0.5517.87N/AN/A10,6245,82483,25250,904
2014-11-26$35.22$37.5036.1%10.4%62.2%61.6%35.3%3.7%-0.6%777.6K-28.5M-537.6K0.6318.48N/AN/A84853085,36651,256
2014-11-28$32.34$37.5040.3%11.1%66.5%77.6%38.9%3.7%-1.6%-115.5K20.4M-442.7K0.2415.90N/AN/A6,3101,49285,92451,530