GOLD Options History — March 2015

In March 2015, GOLD traded between $33.58 and $38.90. ATM implied volatility averaged 34.4%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 0.7% (HV 20d: 33.7%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2015-03-04: Highest Volume — 20,954 contracts
  • 2015-03-04: Largest IV spike — 13.6% change
  • 2015-03-10: Highest IV Rank — 74.2%
  • 2015-03-17: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.55$33.58$38.90$38.90$34.70
Max Pain$36.48$35.00$37.50$37.50$36.25
ATM IV34.4%29.4%41.2%30.4%32.8%
Expected Move9.8%8.4%10.8%8.7%9.4%
HV 20d33.7%30.6%36.2%30.6%33.7%
HV 60d39.9%36.5%43.0%41.4%36.6%
IV Rank50.5%33.1%74.2%36.7%45.1%
IV Percentile61.7%41.3%88.5%44.8%56.3%
Term Structure0.5%-1.7%1.9%-0.6%1.7%
VWIV33.7%29.5%37.4%31.4%32.8%
Skew 25d2.6%1.3%3.7%3.1%3.1%
Skew 10d4.5%3.1%6.3%5.5%4.6%
Call IV 25d33.1%29.1%36.2%29.3%31.8%
Put IV 25d35.8%32.0%39.6%32.4%34.9%
Bid-Ask Spread %18.2912.7924.1213.2620.71
Gamma HHI0.150.110.270.240.11
Net GEX1.2M188.4K4.5M4.5M689.1K
Net DEX227.5K-65.6M35.6M-65.6M5.9M
Net VEX-462.1K-549.2K-411.7K-549.2K-433.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.113.250.580.87
Total Volume4,930.09185820,9548,1785,440
Total OI98,603.18275,870109,892104,24482,508

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$38.90$37.5030.4%8.7%30.6%36.7%31.4%3.1%-0.6%4.5M-65.6M-549.2K0.5813.26N/AN/A5,1862,99267,18837,056
2015-03-03$38.20$37.5029.4%8.4%31.0%33.1%29.5%3.0%0.0%4.0M-49.4M-531.4K0.4517.84N/AN/A6,3202,85267,86237,410
2015-03-04$36.84$37.5033.4%9.6%32.8%47.0%32.9%3.0%-1.7%2.6M-18.7M-502.4K0.2618.86N/AN/A16,6884,26668,10637,656
2015-03-05$36.74$37.5032.6%9.0%32.6%44.2%31.0%2.8%1.6%1.9M-12.4M-494.6K0.2916.60N/AN/A8,2322,39664,95239,406
2015-03-06$34.73$37.5035.5%10.0%36.2%54.5%35.2%3.1%0.2%765.2K19.5M-449.2K0.7014.61N/AN/A6,1404,29465,33639,584
2015-03-09$34.27$36.2538.8%10.5%33.7%65.9%36.2%2.8%-0.4%407.4K26.8M-428.0K0.9115.59N/AN/A60254866,62040,764
2015-03-10$33.58$36.2541.2%10.6%32.8%74.2%36.4%3.7%-0.6%188.4K35.6M-411.7K0.7317.65N/AN/A1,4161,02866,60440,846
2015-03-11$34.75$36.2537.0%10.6%34.5%59.7%36.7%2.9%-0.2%643.8K19.3M-452.5K0.3212.79N/AN/A1,48447667,50841,282
2015-03-12$34.52$36.2536.2%10.4%34.3%56.7%36.4%2.9%0.4%516.4K21.7M-446.3K1.0515.70N/AN/A58261066,63441,364
2015-03-13$34.15$36.2537.0%10.6%33.9%59.7%36.9%2.8%0.2%388.1K26.4M-438.3K0.8816.30N/AN/A66859066,46841,102
2015-03-16$34.38$36.2537.1%10.6%34.3%60.0%37.4%2.4%0.0%357.3K24.3M-429.2K0.4317.16N/AN/A1,00443266,59241,306
2015-03-17$34.31$36.2537.6%10.8%33.6%61.5%36.7%3.1%-0.3%396.6K24.8M-425.3K0.8817.54N/AN/A1,01689867,09241,040
2015-03-18$35.35$35.0035.5%10.2%34.0%54.5%33.5%2.7%0.5%651.9K9.4M-450.7K1.1119.13N/AN/A82892267,46041,782
2015-03-19$35.29$36.2534.5%9.9%33.5%50.7%34.1%2.4%0.9%459.4K10.7M-435.9K0.6320.45N/AN/A1,16473267,50041,952
2015-03-20$36.09$36.2532.6%9.3%34.7%44.3%32.5%1.7%1.8%508.7K-38.5K-446.1K0.2619.54N/AN/A8,0282,08067,74642,146
2015-03-23$36.69$36.2532.3%9.3%35.4%43.3%32.3%1.8%1.9%1.1M-21.3M-482.9K0.1122.98N/AN/A1,93221844,42831,442
2015-03-24$36.30$36.2532.0%9.2%35.2%42.1%32.5%2.7%1.5%1.1M-16.9M-475.0K1.1022.15N/AN/A79086845,65431,422
2015-03-25$35.85$36.2531.9%9.1%33.8%41.6%32.0%2.0%1.1%1.2M-12.8M-482.6K0.8419.35N/AN/A89675448,40632,074
2015-03-26$35.48$36.2533.0%9.5%33.7%45.6%32.1%2.5%1.4%1.0M-7.4M-469.2K0.7320.71N/AN/A4,0062,92248,63232,360
2015-03-27$35.48$36.2532.8%9.4%33.7%45.1%30.2%1.8%1.0%1.1M-8.0M-469.5K3.2519.45N/AN/A20265649,25832,556
2015-03-30$35.49$36.2532.7%9.4%33.4%44.7%31.8%1.3%1.3%1.1M-6.8M-461.7K0.8924.12N/AN/A2,8102,49449,22632,940
2015-03-31$34.70$36.2532.8%9.4%33.7%45.1%32.8%3.1%1.7%689.1K5.9M-433.7K0.8720.71N/AN/A2,9042,53649,20433,304