GOLD Options History — November 2015

In November 2015, GOLD traded between $29.75 and $33.35. ATM implied volatility averaged 37.8%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 3.6% (HV 20d: 34.3%). Max pain ranged from $32.50 to $33.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2015-11-25: Highest Volume — 14,640 contracts
  • 2015-11-09: Largest IV spike — 7.1% change
  • 2015-11-10: Highest IV Rank — 50.3%
  • 2015-11-16: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.66$29.75$33.35$33.35$30.30
Max Pain$33.44$32.50$33.75$33.75$32.50
ATM IV37.8%35.1%40.3%38.3%37.1%
Expected Move10.8%10.1%11.4%11.0%10.7%
HV 20d34.3%31.5%38.6%32.5%34.4%
HV 60d41.5%39.6%43.2%43.2%40.0%
IV Rank42.1%33.3%50.3%43.6%39.9%
IV Percentile48.6%35.7%68.3%47.2%43.3%
Term Structure-1.0%-2.5%1.3%-1.7%-1.2%
VWIV38.3%36.1%40.9%38.8%36.3%
Skew 25d2.7%1.8%3.4%2.5%3.1%
Skew 10d5.3%2.9%7.7%5.6%7.0%
Call IV 25d37.1%35.1%38.8%37.8%36.0%
Put IV 25d39.8%37.7%41.7%40.3%39.1%
Bid-Ask Spread %17.8713.3123.8919.2618.53
Gamma HHI0.140.120.170.150.12
Net GEX655.1K95.4K1.8M1.8M187.9K
Net DEX17.9M-24.0M36.1M-24.0M23.9M
Net VEX-325.0K-408.4K-272.0K-408.4K-273.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.116.571.130.28
Total Volume5,654.894414,6404,1941,468
Total OI110,870.3102,460117,914102,460117,914

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$33.35$33.7538.3%11.0%32.5%43.6%38.8%2.5%-1.7%1.8M-24.0M-408.4K1.1319.26N/AN/A1,9662,22860,53641,924
2015-11-03$33.27$33.7537.7%10.8%32.3%41.8%38.3%2.1%-1.1%1.8M-22.0M-402.4K0.4717.77N/AN/A4,7402,22460,63841,978
2015-11-04$32.57$33.7537.4%10.7%32.8%40.8%37.6%1.8%-1.2%1.7M-12.2M-400.8K0.9820.88N/AN/A2,7882,72663,23442,118
2015-11-05$31.27$33.7537.8%10.6%35.8%42.1%36.5%2.8%-1.7%1.1M8.4M-360.2K0.8617.49N/AN/A3,3822,90464,10442,344
2015-11-06$29.87$33.7537.5%10.9%37.3%41.1%38.1%2.9%-2.5%404.9K28.5M-323.2K0.6517.96N/AN/A1,7301,11865,00842,664
2015-11-09$30.47$33.7540.2%11.1%38.2%49.8%40.9%3.4%-2.2%727.0K20.0M-335.6K0.2418.94N/AN/A3,10674265,67442,814
2015-11-10$29.80$33.7540.3%11.1%38.6%50.3%38.3%2.8%-1.2%437.4K28.7M-324.8K1.4416.46N/AN/A2,1383,07268,24243,404
2015-11-11$29.79$33.7539.0%11.2%33.0%45.8%38.6%3.2%-1.7%288.3K31.0M-313.0K1.4223.89N/AN/A2,1603,07268,13844,166
2015-11-12$30.02$33.7539.4%11.3%33.5%47.3%39.2%2.5%-1.3%366.8K27.4M-326.5K1.1515.74N/AN/A2,6303,03468,29844,778
2015-11-13$30.00$33.7539.1%11.2%33.6%46.4%39.7%2.1%-1.2%298.3K29.0M-322.5K1.0917.80N/AN/A2,4322,64468,34645,188
2015-11-16$30.50$33.7539.7%11.4%34.1%48.2%39.1%3.1%-1.3%573.8K22.0M-327.8K0.1915.82N/AN/A79015468,68845,288
2015-11-17$29.75$33.7539.5%11.3%31.5%47.5%40.0%2.3%-1.6%152.9K32.8M-306.0K1.0617.26N/AN/A2,6262,78868,81645,456
2015-11-18$30.73$33.7537.8%10.8%34.3%42.2%39.4%3.0%-0.7%719.5K18.8M-324.4K1.0822.28N/AN/A2,6022,80269,14845,436
2015-11-19$30.75$33.7537.0%10.6%34.0%39.5%37.5%2.3%-0.6%775.3K19.1M-318.8K1.6717.30N/AN/A2,6424,41469,49845,602
2015-11-20$29.89$33.7536.4%10.4%33.0%37.5%36.6%2.3%0.2%165.8K36.1M-294.1K1.2916.69N/AN/A2,7203,52269,57446,878
2015-11-23$29.76$32.5035.1%10.1%32.1%33.3%36.2%2.6%1.3%120.4K28.9M-272.0K0.1117.14N/AN/A4,80452464,50242,182
2015-11-24$30.75$32.5035.5%10.2%35.0%34.4%36.1%2.5%-0.0%900.1K12.2M-303.5K1.0017.72N/AN/A1,1901,18667,03042,270
2015-11-25$30.17$32.5035.9%10.3%35.3%35.9%40.2%2.9%-0.1%454.0K22.7M-282.3K6.5713.31N/AN/A1,93412,70665,29042,332
2015-11-27$30.09$32.5035.8%10.3%34.1%35.4%38.6%3.2%0.4%95.4K26.2M-280.9K5.6715.19N/AN/A2,00611,38265,53652,370
2015-11-30$30.30$32.5037.1%10.7%34.4%39.9%36.3%3.1%-1.2%187.9K23.9M-273.3K0.2818.53N/AN/A1,14832065,65852,256