GOLD Options History — August 2015

In August 2015, GOLD traded between $29.21 and $33.37. ATM implied volatility averaged 44.6%, placing in the 78.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 1.7% (HV 20d: 46.2%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-08-31: Highest Volume — 11,640 contracts
  • 2015-08-24: Largest IV spike — 16.1% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-26: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.85$29.21$33.37$29.21$30.04
Max Pain$32.26$30.00$32.50$31.25$32.50
ATM IV44.6%39.4%53.8%43.2%52.9%
Expected Move12.7%10.7%15.4%12.4%15.2%
HV 20d46.2%43.4%51.3%45.3%45.9%
HV 60d35.6%32.3%39.7%32.8%39.7%
IV Rank78.9%65.5%100.0%78.6%97.0%
IV Percentile88.8%74.2%100.0%94.0%99.2%
Term Structure-3.1%-5.9%-0.0%-1.8%-5.4%
VWIV44.5%37.8%54.4%42.3%52.6%
Skew 25d2.9%1.9%5.2%2.7%3.4%
Skew 10d5.3%3.4%8.2%6.2%7.4%
Call IV 25d43.6%36.7%53.6%42.2%52.4%
Put IV 25d46.5%39.6%57.0%44.9%55.8%
Bid-Ask Spread %20.3015.4729.4220.3818.46
Gamma HHI0.090.080.110.100.10
Net GEX6.0K-622.4K1.2M-622.4K-260.1K
Net DEX24.6M-18.8M48.4M48.4M38.3M
Net VEX-485.1K-512.9K-456.2K-456.7K-469.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.291.930.290.77
Total Volume7,825.3331,31411,6401,41211,640
Total OI112,273.333104,040118,894107,236118,390

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$29.21$31.2543.2%12.4%45.3%78.6%42.3%2.7%-1.8%-622.4K48.4M-456.7K0.2920.38N/AN/A1,09831455,30051,936
2015-08-04$29.21$30.0044.0%12.6%43.4%81.0%44.0%2.4%-3.7%-569.3K47.6M-456.2K1.9323.60N/AN/A3,9027,53455,86052,074
2015-08-05$29.64$31.2541.9%12.0%44.0%74.1%42.4%1.9%-1.6%-461.2K42.8M-467.8K1.3620.98N/AN/A3,8725,27456,16052,132
2015-08-06$30.05$32.5041.1%11.4%44.4%71.6%39.5%2.4%-1.1%-395.9K38.2M-478.5K1.4022.37N/AN/A4,1225,76456,25252,504
2015-08-07$30.08$32.5039.4%11.3%44.4%65.5%38.6%3.1%-1.3%-301.0K37.7M-475.2K1.1720.17N/AN/A3,4724,06457,28252,368
2015-08-10$30.84$32.5039.7%10.7%45.1%66.7%37.8%2.9%-0.0%5.2K26.8M-480.7K0.9218.95N/AN/A3,3143,05657,79052,412
2015-08-11$31.13$32.5040.2%11.2%45.3%68.5%39.1%2.9%-1.4%119.5K22.2M-486.2K0.7517.79N/AN/A75056458,01652,536
2015-08-12$32.55$32.5040.3%11.5%47.7%68.6%40.2%2.1%-2.0%667.9K-605.5K-512.9K0.4819.46N/AN/A7,5943,66858,13852,902
2015-08-13$30.91$32.5040.8%11.7%51.3%70.4%41.1%2.3%-2.0%89.5K24.7M-491.3K0.8115.47N/AN/A3,9943,22459,48453,454
2015-08-14$31.00$32.5040.9%11.7%50.5%68.8%41.3%2.2%-2.4%158.2K23.8M-486.1K1.2620.24N/AN/A2,7283,44060,13453,424
2015-08-17$31.52$32.5040.7%11.7%46.2%68.1%41.9%2.5%-2.3%322.1K16.1M-486.8K0.8721.24N/AN/A3,3242,88860,39054,034
2015-08-18$31.17$32.5041.0%11.7%45.7%69.2%41.1%2.7%-2.6%253.9K22.2M-479.3K1.1017.55N/AN/A2,4682,71860,87054,154
2015-08-19$31.59$32.5041.2%11.8%45.9%69.9%41.7%2.3%-2.5%553.5K13.2M-479.9K0.5320.62N/AN/A1,21864661,14453,966
2015-08-20$33.37$32.5042.4%12.1%46.9%74.2%42.4%2.3%-3.7%1.2M-18.8M-506.6K0.3817.01N/AN/A8,1863,07861,20653,998
2015-08-21$32.81$32.5045.6%13.1%45.9%85.7%45.2%2.7%-4.5%195.9K-8.7M-504.9K0.8418.90N/AN/A4,1803,52661,14054,426
2015-08-24$31.25$32.5052.9%15.2%45.7%100.0%51.8%5.2%-4.8%-164.1K21.0M-490.7K1.5429.42N/AN/A3,3545,17653,64250,398
2015-08-25$30.96$32.5049.6%14.2%44.8%89.3%49.5%4.0%-4.1%-310.5K26.1M-480.2K0.4821.04N/AN/A7,7203,74453,96652,372
2015-08-26$29.48$32.5053.8%15.4%47.6%100.0%54.4%3.4%-5.6%-141.1K35.0M-497.4K1.2321.21N/AN/A4,2585,22866,08852,504
2015-08-27$30.32$32.5052.3%15.0%47.9%95.3%54.1%4.5%-5.4%-90.8K31.1M-508.6K1.5120.40N/AN/A3,4325,17464,55854,336
2015-08-28$30.70$32.5052.2%15.0%47.2%94.9%53.1%3.0%-5.9%-91.2K30.0M-491.8K0.8521.14N/AN/A5,7384,88861,62654,374
2015-08-31$30.04$32.5052.9%15.2%45.9%97.0%52.6%3.4%-5.4%-260.1K38.3M-469.0K0.7718.46N/AN/A6,5845,05663,98854,402