GOLD Options History — April 2015

In April 2015, GOLD traded between $34.88 and $38.98. ATM implied volatility averaged 33.8%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.1% (HV 20d: 26.7%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2015-04-17: Highest Volume — 13,120 contracts
  • 2015-04-27: Largest IV spike — 4.8% change
  • 2015-04-30: Highest IV Rank — 60.0%
  • 2015-04-30: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.80$34.88$38.98$35.80$38.05
Max Pain$36.25$35.00$37.50$36.25$37.50
ATM IV33.8%32.3%37.1%32.3%37.1%
Expected Move9.8%9.3%10.6%9.3%10.6%
HV 20d26.7%24.0%34.0%33.8%27.8%
HV 60d32.8%30.5%36.8%36.8%31.7%
IV Rank48.4%43.1%60.0%43.1%60.0%
IV Percentile57.6%49.2%69.4%53.2%69.4%
Term Structure-1.7%-3.3%1.7%1.7%-3.3%
VWIV34.3%32.6%37.4%34.2%37.4%
Skew 25d2.8%1.6%3.4%1.6%2.9%
Skew 10d5.3%3.3%7.5%5.1%6.2%
Call IV 25d33.1%31.4%35.8%32.1%35.8%
Put IV 25d35.8%33.7%38.7%33.7%38.7%
Bid-Ask Spread %17.7013.4621.9021.9020.77
Gamma HHI0.140.100.240.140.14
Net GEX1.3M364.7K3.2M1.3M1.7M
Net DEX-22.8M-63.5M10.2M-10.5M-44.5M
Net VEX-478.6K-550.1K-436.5K-462.9K-545.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.783.151.033.15
Total Volume8,307.6192,25213,1206,17811,102
Total OI87,783.8179,88893,60483,08693,604

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$35.80$36.2532.3%9.3%33.8%43.1%34.2%1.6%1.7%1.3M-10.5M-462.9K1.0321.90N/AN/A3,0363,14249,55833,528
2015-04-02$35.41$35.0032.4%9.8%34.0%43.4%34.0%2.8%-0.6%968.9K-3.3M-452.0K0.9614.55N/AN/A2,9162,80049,70634,418
2015-04-06$35.99$35.0033.1%9.9%27.8%46.1%34.2%3.2%-1.5%1.3M-11.4M-447.8K1.1017.87N/AN/A3,7844,16849,87834,846
2015-04-07$35.41$36.2533.4%9.9%28.0%46.8%33.8%3.1%-1.4%745.1K1.2M-440.6K1.1016.03N/AN/A3,3303,67450,55436,822
2015-04-08$35.14$36.2534.9%10.0%27.0%52.2%34.8%3.1%-1.2%595.9K5.4M-437.4K2.2015.07N/AN/A7041,54851,02436,896
2015-04-09$34.88$36.2534.7%9.9%24.4%51.4%34.9%3.4%-1.3%364.7K10.2M-436.5K1.0414.57N/AN/A3,2963,44251,37838,260
2015-04-10$35.54$36.2534.5%9.9%25.1%50.9%33.8%2.8%-0.8%806.4K-645.0K-451.9K0.9714.62N/AN/A3,7423,61651,45038,546
2015-04-13$35.58$36.2534.8%10.0%24.7%51.9%34.8%2.4%-1.2%699.4K814.2K-442.0K1.1615.39N/AN/A3,2843,80451,76838,790
2015-04-14$36.23$36.2534.0%9.7%25.3%49.0%34.3%2.7%-1.4%1.3M-11.4M-457.7K0.9813.46N/AN/A4,4404,36652,01638,982
2015-04-15$37.22$36.2533.7%9.7%26.7%47.9%33.9%2.6%-1.4%2.2M-29.7M-469.6K1.4420.86N/AN/A3,7345,39252,73039,034
2015-04-16$37.74$36.2534.0%9.8%25.2%49.2%34.0%3.2%-1.7%3.2M-42.6M-467.8K0.7820.52N/AN/A5,1744,05852,62638,650
2015-04-17$37.37$36.2533.6%9.6%25.6%47.8%33.9%2.8%-2.6%751.3K-31.2M-462.3K1.0120.17N/AN/A6,5366,58453,09838,716
2015-04-20$37.63$36.2532.8%9.4%24.6%44.8%32.6%3.3%-2.0%1.1M-30.9M-487.2K1.4216.60N/AN/A3,2764,65245,11434,774
2015-04-21$37.63$36.2532.5%9.3%24.0%43.8%32.6%2.3%-1.7%1.2M-32.6M-484.4K1.5415.99N/AN/A2,4423,76846,22834,964
2015-04-22$37.10$36.2532.3%9.3%24.2%43.3%33.9%2.7%-2.0%1.1M-23.5M-474.3K1.0316.82N/AN/A4,5504,66846,57635,204
2015-04-23$37.99$36.2532.8%9.4%24.9%44.9%32.9%2.9%-2.0%1.5M-42.4M-518.9K0.8218.61N/AN/A5,6964,69049,09236,218
2015-04-24$37.28$36.2532.6%9.3%25.7%44.1%33.3%2.3%-1.8%1.4M-32.1M-511.7K2.3519.87N/AN/A2,6826,29650,23436,240
2015-04-27$37.12$36.2534.1%9.8%25.8%49.5%34.8%2.5%-3.1%1.3M-29.2M-513.6K1.9120.83N/AN/A2,6545,08050,57638,690
2015-04-28$38.69$36.2534.8%10.0%29.3%52.0%35.1%3.0%-2.9%1.9M-57.0M-537.4K1.2916.43N/AN/A5,3486,88250,82638,952
2015-04-29$38.98$37.5035.5%10.2%27.5%54.3%36.0%2.3%-3.3%2.0M-63.5M-550.1K2.6320.69N/AN/A2,7847,32052,11440,780
2015-04-30$38.05$37.5037.1%10.6%27.8%60.0%37.4%2.9%-3.3%1.7M-44.5M-545.2K3.1520.77N/AN/A2,6728,43052,26641,338