GOLD Options History — February 2015

In February 2015, GOLD traded between $38.02 and $42.53. ATM implied volatility averaged 36.1%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 0.9% (HV 20d: 37.0%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-02-10: Highest Volume — 12,368 contracts
  • 2015-02-09: Largest IV drop — 8.9% change
  • 2015-02-02: Highest IV Rank — 74.5%
  • 2015-02-02: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.82$38.02$42.53$42.40$39.59
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV36.1%29.3%41.3%41.3%29.3%
Expected Move10.3%8.4%11.8%11.8%8.4%
HV 20d37.0%31.8%43.4%40.5%31.9%
HV 60d48.7%42.7%54.0%54.0%42.7%
IV Rank56.2%32.8%74.5%74.5%32.8%
IV Percentile68.9%40.9%89.3%89.3%40.9%
Term Structure-0.6%-2.5%1.0%-2.0%0.1%
VWIV36.7%30.1%42.2%41.4%30.1%
Skew 25d3.4%2.3%4.4%2.7%2.3%
Skew 10d6.5%4.1%8.4%4.9%5.1%
Call IV 25d34.6%28.3%40.0%40.0%28.3%
Put IV 25d38.0%30.6%43.1%42.7%30.6%
Bid-Ask Spread %18.1615.3826.6426.6416.64
Gamma HHI0.180.140.220.160.22
Net GEX3.2M2.5M4.7M3.2M4.7M
Net DEX-85.1M-146.3M-42.9M-143.3M-85.4M
Net VEX-562.1K-597.9K-520.7K-550.1K-569.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.384.590.920.56
Total Volume7,867.15897412,3689747,218
Total OI100,281.05392,098105,99692,098103,784

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$42.40$37.5041.3%11.8%40.5%74.5%41.4%2.7%-2.0%3.2M-143.3M-550.1K0.9226.64N/AN/A50846662,86429,234
2015-02-03$41.87$37.5041.3%11.8%40.8%74.3%42.2%3.7%-2.5%3.2M-135.1M-546.0K1.8018.41N/AN/A2,1943,95663,09629,362
2015-02-04$42.02$37.5039.6%11.4%39.8%68.6%42.0%3.9%-1.4%3.3M-137.4M-544.0K1.5921.92N/AN/A2,1803,47063,37629,574
2015-02-05$42.53$37.5039.8%11.0%39.0%69.2%39.1%3.5%-2.4%3.3M-146.3M-536.3K4.5918.20N/AN/A2,0269,29063,35229,672
2015-02-06$40.62$37.5041.0%11.3%43.4%73.4%40.2%3.8%-1.8%2.8M-101.5M-597.9K1.3217.92N/AN/A2,6383,47663,44235,740
2015-02-09$41.22$37.5037.3%10.7%41.6%60.7%39.8%4.2%-0.8%3.0M-112.9M-576.6K0.5516.64N/AN/A5,6263,08663,83435,974
2015-02-10$39.65$37.5037.1%10.7%42.5%59.9%38.8%3.5%-0.7%2.8M-79.7M-579.4K1.3216.32N/AN/A5,3387,03064,21836,148
2015-02-11$39.00$37.5038.4%11.0%39.7%64.2%39.0%3.8%-1.0%2.5M-64.4M-595.1K1.3416.04N/AN/A4,9586,64464,42440,078
2015-02-12$39.34$37.5037.3%10.7%39.6%60.6%37.9%3.7%-0.5%2.8M-70.9M-590.3K1.4616.12N/AN/A4,9007,15064,51440,072
2015-02-13$39.13$37.5036.0%10.3%35.3%56.0%36.9%3.2%0.0%2.8M-65.9M-578.7K0.6715.38N/AN/A5,2703,54264,55240,062
2015-02-17$38.19$37.5036.0%10.3%35.1%55.9%38.0%3.4%0.5%2.6M-46.1M-544.5K0.6315.61N/AN/A4,9623,11264,44439,666
2015-02-18$39.23$37.5035.1%10.1%34.3%52.9%35.1%3.0%0.4%3.1M-68.7M-550.9K0.3817.00N/AN/A7,4482,84864,66839,868
2015-02-19$38.45$37.5034.7%9.9%34.8%51.4%34.7%3.7%1.0%2.9M-53.0M-551.0K0.5118.92N/AN/A1,01452066,53639,460
2015-02-20$38.05$37.5034.3%9.8%34.6%50.2%33.9%2.3%-0.0%2.8M-49.2M-539.4K1.2120.06N/AN/A57269066,59238,996
2015-02-23$38.02$37.5033.9%9.7%33.8%48.7%33.4%4.4%-1.1%2.9M-42.9M-520.7K0.7117.60N/AN/A6,5544,65660,39833,700
2015-02-24$38.41$37.5031.4%9.0%32.0%40.0%31.8%2.6%0.3%3.3M-51.9M-550.2K0.4921.46N/AN/A5,7522,83662,10235,832
2015-02-25$39.38$37.5031.4%9.0%32.3%40.0%31.6%2.7%-0.7%4.3M-80.5M-576.6K0.4916.80N/AN/A6,1843,03065,77236,534
2015-02-26$39.49$37.5030.0%8.6%31.8%35.1%30.8%3.9%0.1%4.4M-82.4M-582.0K0.5017.33N/AN/A5,5382,79466,68036,720
2015-02-27$39.59$37.5029.3%8.4%31.9%32.8%30.1%2.3%0.1%4.7M-85.4M-569.9K0.5616.64N/AN/A4,6322,58667,04236,742