GOLD Options History — December 2015

In December 2015, GOLD traded between $29.71 and $32.55. ATM implied volatility averaged 37.0%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 1.4% (HV 20d: 38.4%). Max pain ranged from $32.50 to $32.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.87.

Notable Days

  • 2015-12-02: Highest Volume — 20,692 contracts
  • 2015-12-07: Largest IV spike — 10.5% change
  • 2015-12-14: Highest IV Rank — 55.4%
  • 2015-12-14: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.98$29.71$32.55$31.73$30.97
Max Pain$32.50$32.50$32.50$32.50$32.50
ATM IV37.0%33.8%41.9%38.3%33.9%
Expected Move10.5%9.7%12.0%11.0%9.7%
HV 20d38.4%36.1%41.0%38.9%36.1%
HV 60d39.5%35.4%41.8%40.7%35.4%
IV Rank39.5%28.9%55.4%43.6%29.4%
IV Percentile46.9%29.8%83.7%50.0%30.6%
Term Structure0.3%-2.2%2.0%-2.2%2.0%
VWIV37.8%33.9%44.4%37.9%34.2%
Skew 25d2.8%2.1%3.8%3.2%2.5%
Skew 10d5.5%3.8%7.5%7.3%4.9%
Call IV 25d36.0%33.5%40.8%36.7%33.5%
Put IV 25d38.8%35.7%44.3%39.9%36.0%
Bid-Ask Spread %19.0214.4324.0216.3114.81
Gamma HHI0.150.100.200.160.16
Net GEX1.1M-343.7K2.7M1.4M1.3M
Net DEX10.1M-20.3M34.8M-155.5K9.5M
Net VEX-250.8K-327.9K-183.3K-296.1K-183.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.254.980.251.74
Total Volume6,760.8182,49020,6922,4904,672
Total OI114,082.81892,324129,748118,60493,870

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$31.73$32.5038.3%11.0%38.9%43.6%37.9%3.2%-2.2%1.4M-155.5K-296.1K0.2516.31N/AN/A1,99449666,20252,402
2015-12-02$31.38$32.5037.9%10.9%39.0%42.3%39.3%2.1%-1.5%1.1M6.6M-295.1K1.1918.85N/AN/A9,43411,25866,79452,482
2015-12-03$31.50$32.5038.2%10.4%38.4%43.4%42.9%2.9%0.3%1.6M123.2K-310.3K4.9821.67N/AN/A2,16810,79271,77452,924
2015-12-04$32.55$32.5035.1%9.9%37.3%33.3%44.4%2.8%0.9%2.7M-20.3M-327.9K4.0419.13N/AN/A2,69810,90673,30452,940
2015-12-07$31.34$32.5038.8%10.4%36.1%45.4%36.2%3.5%0.4%1.6M3.1M-291.2K0.8417.35N/AN/A2,7722,32873,31252,836
2015-12-08$30.68$32.5039.9%10.5%36.4%48.8%39.5%3.2%0.8%836.7K16.5M-276.7K1.6320.34N/AN/A2,5944,23272,27253,708
2015-12-09$31.43$32.5037.6%10.8%36.3%41.4%37.2%3.4%-0.0%1.5M4.3M-294.0K1.3121.08N/AN/A2,3743,10872,64054,092
2015-12-10$31.39$32.5037.2%10.7%36.3%40.0%36.9%2.6%0.2%1.5M3.7M-284.6K1.4120.88N/AN/A1,9822,78672,82654,256
2015-12-11$31.16$32.5039.5%11.3%36.4%47.7%38.1%3.1%-1.3%1.3M7.6M-287.0K1.5419.96N/AN/A1,8982,93272,91254,278
2015-12-14$30.09$32.5041.9%12.0%38.7%55.4%41.3%3.5%-2.1%200.4K25.9M-253.8K1.9019.13N/AN/A1,8763,55672,95054,398
2015-12-15$30.14$32.5040.3%11.6%38.3%50.3%41.4%2.7%-0.5%92.8K27.4M-253.7K1.5420.55N/AN/A2,1863,36073,15054,794
2015-12-16$31.14$32.5038.1%10.9%38.9%43.2%38.2%2.5%-0.0%1.0M11.2M-259.9K1.4124.02N/AN/A2,9464,16673,09854,800
2015-12-17$29.71$32.5038.0%10.9%40.9%42.8%38.8%2.4%0.2%-343.7K34.8M-227.8K1.1518.17N/AN/A3,6804,22273,66455,500
2015-12-18$29.82$32.5037.0%10.6%41.0%39.4%37.4%2.5%1.4%152.8K33.7M-221.6K1.0314.43N/AN/A3,8703,97874,39655,352
2015-12-21$29.98$32.5035.7%10.2%39.8%35.3%36.7%2.4%1.2%218.8K20.9M-212.8K1.6520.85N/AN/A1,9403,20646,56045,764
2015-12-22$30.41$32.5034.5%9.9%40.1%31.2%35.8%2.7%2.0%629.3K15.5M-210.4K1.9719.49N/AN/A1,5423,03646,92045,732
2015-12-23$31.37$32.5033.8%9.7%39.9%28.9%33.9%2.1%1.6%1.6M908.6K-222.3K1.9516.95N/AN/A1,6743,26047,03245,720
2015-12-24$31.59$32.5034.1%9.8%39.2%30.1%34.0%2.5%1.5%1.8M-1.5M-222.1K1.9819.48N/AN/A1,6403,24047,32645,980
2015-12-28$30.98$32.5035.3%10.1%39.9%34.0%37.0%3.8%0.5%1.2M8.8M-202.6K2.8219.25N/AN/A1,1763,32047,47046,030
2015-12-29$31.18$32.5034.8%10.0%39.9%32.4%35.2%2.3%0.8%1.5M5.4M-196.9K2.4219.43N/AN/A1,3963,37647,51646,008
2015-12-30$31.00$32.5034.2%9.8%36.3%30.1%34.4%2.7%1.5%1.4M8.3M-188.0K2.3716.35N/AN/A1,3843,28447,67846,160
2015-12-31$30.97$32.5033.9%9.7%36.1%29.4%34.2%2.5%2.0%1.3M9.5M-183.3K1.7414.81N/AN/A1,7062,96647,70246,168