GOLD Options History — June 2015

In June 2015, GOLD traded between $33.55 and $36.57. ATM implied volatility averaged 27.5%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.0% (HV 20d: 23.5%). 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 19 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-06-19: Highest Volume — 18,264 contracts
  • 2015-06-10: Largest IV drop — 12.7% change
  • 2015-06-09: Highest IV Rank — 37.9%
  • 2015-06-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.36$33.55$36.57$36.10$33.55
Max Pain$35.68$35.00$37.50$37.50$35.00
ATM IV27.5%25.0%30.8%29.3%28.3%
Expected Move7.8%7.2%8.4%8.4%8.1%
HV 20d23.5%21.0%26.7%23.1%22.3%
HV 60d25.3%24.2%28.4%28.4%24.5%
IV Rank26.6%17.7%37.9%32.9%29.5%
IV Percentile26.4%13.1%40.9%37.7%29.8%
Term Structure1.3%-1.2%2.3%-1.2%0.7%
VWIV27.4%25.0%29.9%29.9%28.4%
Skew 25d2.3%1.7%3.5%2.6%3.5%
Skew 10d4.4%3.0%5.4%5.4%5.0%
Call IV 25d26.6%24.3%28.7%28.4%27.5%
Put IV 25d28.8%26.1%31.2%31.0%31.0%
Bid-Ask Spread %16.5712.3320.9817.1812.43
Gamma HHI0.120.090.200.110.09
Net GEX1.1M26.4K2.9M1.2M26.4K
Net DEX7.8M-15.7M22.5M364.8K21.1M
Net VEX-425.4K-478.6K-376.4K-463.3K-376.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.471.481.480.97
Total Volume13,544.7271,97218,26413,81212,568
Total OI98,204.36472,522114,832104,98277,082

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$36.10$37.5029.3%8.4%23.1%32.9%29.9%2.6%-1.2%1.2M364.8K-463.3K1.4817.18N/AN/A5,5748,23856,56248,420
2015-06-02$36.57$37.5029.4%8.4%23.7%33.0%29.3%1.7%-1.2%1.4M-9.8M-478.6K0.6313.59N/AN/A1,20876456,38448,490
2015-06-03$35.73$37.5028.9%8.3%24.4%31.5%28.5%2.7%-0.9%959.8K7.9M-443.7K1.0812.57N/AN/A5,7686,22856,48048,832
2015-06-04$35.50$35.0029.8%8.1%24.2%34.5%28.1%2.4%2.1%871.0K13.1M-437.6K1.0815.43N/AN/A5,5946,03056,69249,446
2015-06-05$34.96$35.0028.8%8.1%24.6%30.9%28.1%2.3%1.8%407.1K22.5M-430.6K1.0516.46N/AN/A5,4425,71856,68850,110
2015-06-08$35.31$36.2530.4%8.3%25.0%36.5%29.3%2.3%0.9%773.0K17.6M-421.1K0.8413.52N/AN/A6,7605,67656,78050,424
2015-06-09$35.31$36.2530.8%8.2%25.0%37.9%28.9%2.8%1.5%845.9K16.9M-419.2K0.8714.80N/AN/A6,7225,85457,10250,602
2015-06-10$36.26$36.2526.9%7.7%26.7%24.3%27.6%2.4%2.0%1.7M1.2M-426.0K0.5420.98N/AN/A10,9865,88857,13650,422
2015-06-11$36.06$36.2526.7%7.7%24.1%23.7%27.1%2.1%2.3%1.9M1.7M-454.5K0.5115.82N/AN/A10,9625,60861,25650,498
2015-06-12$35.73$36.2526.9%7.7%24.2%24.3%27.2%2.7%1.7%1.7M8.9M-445.5K0.5918.96N/AN/A10,6646,30461,39651,276
2015-06-15$35.74$36.2527.5%7.9%24.2%26.6%27.9%1.8%1.9%1.9M9.3M-442.4K0.4818.07N/AN/A11,6685,61861,60651,786
2015-06-16$35.17$35.0028.1%8.1%24.5%28.6%28.3%2.1%1.5%1.5M18.7M-424.6K0.5212.33N/AN/A11,2845,88262,34451,412
2015-06-17$35.72$35.0027.1%7.8%22.7%25.2%28.1%2.0%1.8%2.3M10.5M-434.6K0.5118.94N/AN/A11,5565,92662,53052,302
2015-06-18$36.01$35.0026.0%7.5%22.8%21.4%26.5%1.8%2.0%2.9M-15.7M-440.7K0.5420.68N/AN/A11,5846,23462,80846,412
2015-06-19$35.15$35.0026.2%7.5%24.2%21.9%25.9%1.7%1.9%464.9K-3.0M-414.3K0.4720.55N/AN/A12,4365,82862,62446,660
2015-06-22$35.23$35.0025.6%7.3%24.2%19.8%25.2%2.2%1.5%641.4K5.5M-407.7K0.4917.08N/AN/A11,1265,41836,95235,570
2015-06-23$34.77$35.0025.3%7.2%21.0%18.7%25.3%2.6%1.9%503.5K9.5M-395.5K0.7119.62N/AN/A6,8124,82437,62035,802
2015-06-24$35.27$35.0025.0%7.2%21.5%17.9%25.0%2.0%2.0%788.4K3.7M-410.3K0.7217.52N/AN/A7,0345,05038,09636,128
2015-06-25$34.88$35.0025.0%7.2%21.5%17.7%25.1%1.9%1.8%632.9K7.7M-403.5K1.2415.48N/AN/A4,5985,70638,58036,836
2015-06-26$34.52$35.0025.3%7.3%21.7%18.9%25.5%2.3%1.6%437.9K12.0M-394.2K1.2013.69N/AN/A4,7185,64238,82837,136
2015-06-29$34.40$35.0028.4%8.2%21.7%29.8%28.0%2.3%0.1%435.4K11.4M-395.0K1.0818.92N/AN/A5,0325,45239,21037,176
2015-06-30$33.55$35.0028.3%8.1%22.3%29.5%28.4%3.5%0.7%26.4K21.1M-376.4K0.9712.43N/AN/A6,3746,19439,61837,464