GOLD Options History — September 2015

In September 2015, GOLD traded between $27.77 and $30.41. ATM implied volatility averaged 44.9%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 2.0% (HV 20d: 42.9%). Max pain ranged from $30.00 to $32.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-09-28: Highest Volume — 12,890 contracts
  • 2015-09-09: Largest IV drop — 13.9% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.03$27.77$30.41$29.67$29.47
Max Pain$30.24$30.00$32.50$32.50$30.00
ATM IV44.9%37.5%55.5%55.5%44.3%
Expected Move12.7%10.8%15.9%15.9%12.7%
HV 20d42.9%38.7%46.4%46.2%43.5%
HV 60d41.3%39.2%44.5%39.6%43.8%
IV Rank65.5%41.6%100.0%100.0%63.3%
IV Percentile83.2%52.0%100.0%100.0%88.9%
Term Structure-1.4%-6.3%1.6%-6.3%-1.0%
VWIV44.6%37.4%54.7%54.7%47.8%
Skew 25d3.6%2.0%4.8%3.1%4.5%
Skew 10d6.8%4.2%11.5%4.2%11.5%
Call IV 25d43.1%36.5%55.2%55.2%43.4%
Put IV 25d46.7%39.2%58.3%58.3%47.9%
Bid-Ask Spread %22.4216.0126.8222.7919.15
Gamma HHI0.120.100.150.100.11
Net GEX-435.9K-903.0K222.0K-263.9K222.0K
Net DEX44.5M20.8M68.2M40.5M23.9M
Net VEX-404.8K-476.2K-357.1K-476.2K-432.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.141.220.730.23
Total Volume8,761.5242,28012,89010,37811,122
Total OI114,741.61990,474130,482120,006106,866

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$29.67$32.5055.5%15.9%46.2%100.0%54.7%3.1%-6.3%-263.9K40.5M-476.2K0.7322.79N/AN/A5,9964,38265,34654,660
2015-09-02$29.53$32.5052.6%15.1%45.9%91.2%54.1%4.0%-5.4%-424.9K44.8M-461.5K0.6922.49N/AN/A6,0764,21665,41654,834
2015-09-03$29.32$30.0050.8%13.5%45.7%85.1%46.4%4.4%-3.4%-527.9K48.1M-446.9K0.6121.34N/AN/A6,4923,95465,57654,942
2015-09-04$28.61$30.0051.8%13.8%46.4%88.3%48.7%3.8%-3.2%-655.2K56.5M-425.0K0.6225.89N/AN/A6,8164,22865,91454,864
2015-09-08$28.48$30.0053.6%13.4%45.3%93.7%47.2%3.3%-2.6%-780.3K58.4M-408.8K0.1422.54N/AN/A2,93240866,95855,270
2015-09-09$28.12$30.0046.1%13.2%45.1%69.7%46.4%3.6%-2.5%-859.1K62.6M-393.7K0.7019.85N/AN/A5,4483,82469,05255,408
2015-09-10$28.25$30.0043.9%12.6%41.3%62.4%44.3%4.7%-0.9%-900.3K62.7M-389.5K1.2220.92N/AN/A3,3384,08069,50255,396
2015-09-11$28.85$30.0043.9%12.6%38.9%62.5%43.2%3.7%-1.3%-750.3K54.2M-411.2K1.0023.18N/AN/A4,0504,04470,14055,706
2015-09-14$27.79$30.0045.8%13.1%40.6%68.6%46.0%2.9%-1.8%-903.0K67.0M-374.1K1.0122.73N/AN/A4,6804,73670,63855,878
2015-09-15$27.77$30.0044.2%12.7%39.9%63.5%44.5%3.8%-1.4%-875.2K68.2M-364.4K0.3120.85N/AN/A1,74054072,42256,270
2015-09-16$29.35$30.0041.9%12.0%45.4%55.9%41.4%4.4%-1.1%-513.6K49.0M-401.6K0.7723.28N/AN/A4,7403,65273,49256,678
2015-09-17$29.73$30.0038.6%11.1%45.3%45.3%38.7%3.3%0.8%-493.3K44.0M-397.9K0.6126.12N/AN/A5,7323,49273,71456,768
2015-09-18$30.20$30.0038.0%10.9%40.7%43.6%38.2%2.4%1.5%-143.8K25.3M-406.2K0.7723.16N/AN/A5,7064,39273,93656,492
2015-09-21$29.39$30.0037.5%10.8%41.2%41.6%37.4%2.6%0.7%-426.1K35.8M-370.0K0.4824.88N/AN/A5,1182,47646,63843,836
2015-09-22$28.66$30.0040.1%11.5%38.7%49.5%40.5%2.0%0.5%-390.8K39.7M-365.8K0.5722.95N/AN/A5,1142,93649,55843,898
2015-09-23$28.37$30.0039.6%11.4%38.7%48.1%41.0%4.1%1.6%-470.4K42.1M-357.1K0.5416.01N/AN/A5,7783,10650,15844,408
2015-09-24$30.41$30.0041.4%11.9%43.2%53.9%41.2%3.8%0.0%147.9K20.8M-418.1K0.6318.94N/AN/A5,0383,16451,07444,668
2015-09-25$29.82$30.0040.7%11.7%42.6%51.6%41.8%2.8%0.4%65.9K25.5M-404.2K0.9222.51N/AN/A2,7782,54852,87644,986
2015-09-28$28.98$30.0046.0%13.2%43.4%68.9%46.4%4.8%-1.4%-220.8K34.8M-382.4K0.3726.82N/AN/A9,4323,45853,21445,440
2015-09-29$28.82$30.0045.8%13.1%42.8%68.4%46.7%3.6%-1.8%8.6K31.4M-414.6K0.3824.49N/AN/A8,8603,37060,57846,104
2015-09-30$29.47$30.0044.3%12.7%43.5%63.3%47.8%4.5%-1.0%222.0K23.9M-432.3K0.2319.15N/AN/A9,0222,10060,64446,222