GOLD Options History — May 2015

In May 2015, GOLD traded between $35.49 and $38.24. ATM implied volatility averaged 31.2%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.8% (HV 20d: 26.4%). Max pain ranged from $37.50 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2015-05-14: Highest Volume — 18,532 contracts
  • 2015-05-07: Largest IV drop — 16.7% change
  • 2015-05-05: Highest IV Rank — 71.2%
  • 2015-05-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.08$35.49$38.24$37.91$36.12
Max Pain$37.50$37.50$37.50$37.50$37.50
ATM IV31.2%26.5%40.4%36.9%28.6%
Expected Move8.6%7.6%10.6%10.6%8.2%
HV 20d26.4%23.1%28.9%27.4%23.1%
HV 60d29.3%28.3%31.6%31.6%28.4%
IV Rank39.4%23.0%71.2%59.2%30.4%
IV Percentile45.2%27.4%84.5%67.5%34.1%
Term Structure-0.4%-3.8%1.2%-3.8%-0.6%
VWIV30.4%24.8%38.0%38.0%29.5%
Skew 25d2.5%1.3%3.5%3.5%1.3%
Skew 10d4.7%2.5%6.4%6.3%2.5%
Call IV 25d29.3%26.0%35.5%35.5%28.5%
Put IV 25d31.8%28.4%39.0%39.0%29.7%
Bid-Ask Spread %16.5911.0520.1217.0514.17
Gamma HHI0.150.110.340.140.12
Net GEX1.5M722.3K4.3M1.6M1.2M
Net DEX-23.5M-49.5M8.9M-39.9M-3.3M
Net VEX-514.9K-569.3K-452.8K-569.3K-472.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.753.643.641.46
Total Volume10,4201,11418,53210,86413,704
Total OI101,41195,722111,15897,442102,748

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$37.91$37.5036.9%10.6%27.4%59.2%38.0%3.5%-3.8%1.6M-39.9M-569.3K3.6417.05N/AN/A2,3428,52252,72444,718
2015-05-04$38.08$37.5039.2%9.6%27.0%67.3%32.7%2.8%-1.8%1.7M-44.3M-559.7K2.8019.39N/AN/A4401,23253,00244,810
2015-05-05$37.49$37.5040.4%9.7%26.9%71.2%33.7%2.8%-1.7%1.4M-32.6M-551.4K1.7517.86N/AN/A4,6988,20253,16245,888
2015-05-06$37.04$37.5039.9%9.7%27.2%69.7%34.2%3.3%-2.0%1.3M-25.0M-550.9K1.3418.76N/AN/A5,7607,73255,55046,120
2015-05-07$36.84$37.5033.3%9.5%27.1%46.5%32.4%2.7%-0.9%1.2M-18.7M-540.8K1.3419.17N/AN/A5,5467,41256,62446,130
2015-05-08$36.67$37.5030.1%8.9%26.5%35.5%30.8%2.0%0.6%1.0M-15.4M-531.4K0.7519.25N/AN/A63847657,00446,496
2015-05-11$36.71$37.5034.0%8.9%26.5%49.2%32.6%2.6%0.1%815.9K-14.3M-516.8K2.1516.81N/AN/A7521,61457,00046,716
2015-05-12$37.02$37.5032.4%8.7%25.9%43.7%32.5%2.7%-0.0%973.5K-20.3M-516.7K2.9316.13N/AN/A2,8048,22057,04647,430
2015-05-13$38.13$37.5029.5%8.5%26.3%33.4%30.3%3.0%0.8%3.5M-47.4M-532.4K2.1318.13N/AN/A3,5427,55057,33247,648
2015-05-14$38.24$37.5028.6%8.2%25.9%30.2%31.8%2.7%1.2%4.3M-49.5M-522.3K1.6216.31N/AN/A7,08611,44657,72847,638
2015-05-15$38.13$37.5028.3%8.1%25.6%29.4%28.7%2.0%1.2%1.4M-45.1M-517.8K0.8217.60N/AN/A8,9887,35661,52249,636
2015-05-18$38.17$37.5026.5%7.6%25.6%23.0%26.7%2.5%0.2%1.7M-44.7M-521.9K2.0520.12N/AN/A1,2142,49253,58442,138
2015-05-19$36.88$37.5028.0%8.0%28.4%28.1%28.3%1.9%-0.4%1.4M-20.8M-493.6K0.9515.25N/AN/A1,6281,54654,23841,852
2015-05-20$37.03$37.5027.4%7.8%28.1%26.1%27.1%2.0%0.1%1.4M-23.4M-503.7K1.7018.04N/AN/A5,4289,20854,72042,752
2015-05-21$37.03$37.5026.9%7.7%26.6%24.3%27.3%2.8%0.5%1.3M-19.0M-509.7K1.6116.04N/AN/A5,3088,52855,13244,600
2015-05-22$36.83$37.5026.9%7.7%25.9%24.4%24.8%2.1%0.6%1.3M-16.9M-498.1K1.0813.35N/AN/A5,7446,21455,71645,042
2015-05-26$35.49$37.5029.3%8.4%28.9%32.8%28.7%2.6%-0.5%722.3K8.9M-452.8K1.2014.28N/AN/A5,0706,08055,48645,062
2015-05-27$35.77$37.5029.1%8.4%24.2%32.2%29.2%2.2%-0.7%881.9K3.1M-464.9K1.0811.05N/AN/A5,4145,87255,68045,550
2015-05-28$36.05$37.5028.7%8.2%24.3%30.6%28.9%2.2%-0.2%1.1M-824.6K-471.6K1.2212.94N/AN/A5,6666,92656,09845,898
2015-05-29$36.12$37.5028.6%8.2%23.1%30.4%29.5%1.3%-0.6%1.2M-3.3M-472.3K1.4614.17N/AN/A5,5788,12656,62246,126