GOLD Options History — January 2015

In January 2015, GOLD traded between $34.38 and $42.55. ATM implied volatility averaged 40.1%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 5.3% (HV 20d: 45.4%). Max pain ranged from $33.75 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2015-01-15: Highest Volume — 18,740 contracts
  • 2015-01-12: Largest IV spike — 8.6% change
  • 2015-01-15: Highest IV Rank — 78.7%
  • 2015-01-15: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.18$34.38$42.55$34.38$42.55
Max Pain$35.94$33.75$37.50$33.75$37.50
ATM IV40.1%36.8%42.5%38.0%40.2%
Expected Move11.6%11.3%12.2%11.4%11.5%
HV 20d45.4%38.1%52.3%48.1%40.3%
HV 60d55.6%54.3%56.6%55.5%54.3%
IV Rank70.2%58.9%78.7%63.0%70.8%
IV Percentile87.3%79.4%94.0%82.9%85.3%
Term Structure-0.8%-2.0%1.9%1.9%-1.2%
VWIV41.1%39.1%42.8%42.1%41.0%
Skew 25d3.8%2.6%5.5%5.5%2.6%
Skew 10d7.9%5.0%11.3%10.4%5.8%
Call IV 25d39.4%36.6%42.0%36.6%39.7%
Put IV 25d43.1%41.8%45.6%42.2%42.3%
Bid-Ask Spread %19.6215.0327.4615.0324.22
Gamma HHI0.180.160.250.160.16
Net GEX2.6M1.3M3.1M1.3M3.1M
Net DEX-98.5M-154.9M-16.0M-16.0M-145.3M
Net VEX-546.2K-577.6K-492.0K-492.0K-563.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.322.552.551.41
Total Volume6,926.51,80418,7409,5246,008
Total OI105,787.584,300130,136114,00691,738

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$34.38$33.7538.0%11.4%48.1%63.0%42.1%5.5%1.9%1.3M-16.0M-492.0K2.5515.03N/AN/A2,6806,84471,24242,764
2015-01-05$35.30$33.7539.5%11.6%48.3%68.3%41.2%5.2%0.1%1.7M-32.7M-509.8K0.9216.64N/AN/A1,07098071,48442,690
2015-01-06$36.48$33.7539.7%11.8%48.3%69.0%42.4%4.4%-1.1%2.1M-55.4M-531.6K0.4717.73N/AN/A3,1301,46272,13842,966
2015-01-07$35.95$35.0039.2%11.7%48.2%67.2%41.2%3.3%-1.2%2.0M-46.5M-519.1K0.3216.42N/AN/A2,60682472,85643,696
2015-01-08$35.80$35.0038.4%11.6%47.9%64.4%42.5%5.0%-1.0%2.0M-42.3M-512.4K2.4217.25N/AN/A2,7826,72474,10243,876
2015-01-09$37.30$35.0036.8%11.4%49.1%58.9%41.1%3.9%-0.5%2.5M-70.8M-539.6K1.0617.99N/AN/A5,8426,21274,37244,592
2015-01-12$38.73$35.0040.0%11.6%49.6%69.9%39.1%4.8%-2.0%2.9M-97.6M-550.1K1.2215.25N/AN/A4,5185,51274,85845,634
2015-01-13$37.08$35.0040.3%11.3%52.3%71.1%39.8%4.2%-0.2%2.4M-64.9M-516.0K2.0718.93N/AN/A2,6065,39274,04246,394
2015-01-14$37.57$35.0040.9%11.7%48.1%73.1%40.4%4.3%-0.5%2.6M-73.4M-524.6K1.9517.76N/AN/A2,4944,85874,15646,694
2015-01-15$39.52$35.0042.5%12.2%50.2%78.7%42.8%4.0%-1.8%2.8M-114.7M-540.8K0.4317.21N/AN/A13,0785,66274,22046,714
2015-01-16$40.45$36.2541.3%11.9%45.5%74.6%41.9%3.7%-0.9%2.6M-154.9M-575.4K0.6027.46N/AN/A2,2661,35881,90848,228
2015-01-20$41.82$36.2542.2%12.1%45.8%77.5%42.7%2.7%-0.4%2.5M-136.8M-560.5K0.5623.66N/AN/A5,3162,96658,52825,772
2015-01-21$41.94$37.5041.2%11.8%45.1%74.0%41.7%3.5%-0.6%2.8M-142.4M-577.1K0.6421.04N/AN/A1,10270261,95227,048
2015-01-22$41.30$37.5040.4%11.6%38.1%71.3%40.3%2.8%-0.8%2.9M-133.2M-577.6K0.9719.81N/AN/A3,8203,71862,42627,592
2015-01-23$40.30$37.5039.9%11.4%40.3%69.5%40.3%3.1%-0.9%2.8M-111.4M-574.2K0.6420.10N/AN/A6,2624,02260,83427,496
2015-01-26$41.49$37.5039.9%11.4%40.7%69.4%39.8%3.2%-1.1%3.1M-127.5M-564.5K0.5721.35N/AN/A1,40280061,55027,950
2015-01-27$42.45$37.5040.0%11.5%40.7%69.9%40.3%2.7%-1.4%3.1M-144.7M-560.8K0.5419.74N/AN/A1,29669662,06428,326
2015-01-28$41.65$37.5040.5%11.6%41.2%71.7%40.2%3.0%-1.2%3.1M-130.8M-568.6K1.7919.03N/AN/A2,0063,59062,51028,734
2015-01-29$41.52$37.5040.6%11.6%40.5%71.9%40.8%3.7%-1.6%3.1M-129.0M-565.4K1.8325.75N/AN/A2,0943,83062,65028,954
2015-01-30$42.55$37.5040.2%11.5%40.3%70.8%41.0%2.6%-1.2%3.1M-145.3M-563.3K1.4124.22N/AN/A2,4923,51662,66229,076