GOLD Options History — January 2016

In January 2016, GOLD traded between $30.40 and $35.01. ATM implied volatility averaged 40.4%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 6.4% (HV 20d: 33.9%). Max pain ranged from $31.25 to $32.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2016-01-21: Highest Volume — 23,022 contracts
  • 2016-01-13: Largest IV drop — 20.2% change
  • 2016-01-12: Highest IV Rank — 80.8%
  • 2016-01-19: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.21$30.40$35.01$31.21$35.01
Max Pain$31.71$31.25$32.50$32.50$32.50
ATM IV40.4%36.9%49.6%38.7%36.9%
Expected Move11.1%10.5%11.8%10.7%10.6%
HV 20d33.9%29.5%36.6%36.2%34.4%
HV 60d35.7%34.9%37.0%35.3%36.4%
IV Rank50.4%39.2%80.8%44.9%39.2%
IV Percentile68.7%44.0%96.0%59.9%44.0%
Term Structure-0.3%-1.0%0.3%-0.3%0.1%
VWIV39.5%36.4%42.4%37.0%40.0%
Skew 25d3.7%2.9%4.7%4.0%3.6%
Skew 10d7.3%4.8%10.4%6.7%8.1%
Call IV 25d37.4%35.2%39.2%35.9%35.9%
Put IV 25d41.2%38.8%43.6%39.9%39.5%
Bid-Ask Spread %20.8416.9925.3316.9922.06
Gamma HHI0.170.120.250.180.18
Net GEX1.5M225.9K3.4M1.7M2.1M
Net DEX-10.3M-47.9M15.9M4.9M-47.9M
Net VEX-239.1K-392.8K-154.0K-179.2K-392.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.233.401.613.40
Total Volume9,027.5794,46423,0224,7165,666
Total OI76,646.84239,98698,14894,08665,028

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$31.21$32.5038.7%10.7%36.2%44.9%37.0%4.0%-0.3%1.7M4.9M-179.2K1.6116.99N/AN/A1,8042,91247,75246,334
2016-01-05$31.29$31.2537.8%10.5%34.0%42.0%36.4%3.6%0.1%1.7M5.3M-175.5K2.0219.13N/AN/A1,4802,98448,27246,496
2016-01-06$31.48$31.2538.8%10.7%31.3%45.3%37.8%3.7%0.1%2.0M2.5M-176.3K2.3522.14N/AN/A1,3623,19448,23046,660
2016-01-07$32.85$32.5042.5%11.0%33.7%57.4%38.6%2.9%-0.7%3.4M-19.9M-211.1K1.1618.15N/AN/A3,7584,37448,43047,544
2016-01-08$31.84$32.5042.0%11.1%34.9%55.7%39.2%3.6%-0.4%2.5M-2.2M-198.1K2.4118.51N/AN/A2,1065,08449,40248,026
2016-01-11$31.43$31.2546.8%11.3%35.2%71.4%39.3%3.9%-0.9%2.0M4.9M-178.8K2.7321.45N/AN/A1,8365,00449,58647,664
2016-01-12$30.56$31.2549.6%11.5%36.6%80.8%42.0%3.9%-0.6%828.4K15.9M-157.3K2.3218.11N/AN/A2,2525,21849,68447,310
2016-01-13$30.86$31.2539.6%11.4%34.4%48.0%42.4%4.4%-0.5%887.1K13.2M-157.6K2.0120.79N/AN/A2,1904,41249,97847,722
2016-01-14$30.55$31.2540.4%11.6%34.7%50.5%41.0%3.9%-0.6%389.9K15.4M-154.0K2.0519.68N/AN/A2,0104,12450,43647,436
2016-01-15$31.09$31.2540.8%11.7%33.2%52.0%40.7%4.7%-0.2%225.9K11.3M-157.9K0.4222.59N/AN/A10,5684,42250,70047,448
2016-01-19$30.40$31.2541.0%11.8%29.5%52.5%40.8%3.9%-0.5%474.2K1.2M-196.8K0.3225.33N/AN/A8,9862,91625,33214,654
2016-01-20$31.66$31.2540.9%11.7%32.7%52.2%40.6%3.9%0.1%686.9K-6.8M-219.2K0.2323.65N/AN/A11,7342,70225,90015,280
2016-01-21$32.46$31.2540.1%11.5%33.6%49.4%40.1%3.1%-0.4%987.6K-13.9M-246.6K0.2622.80N/AN/A18,2224,80028,72215,882
2016-01-22$32.80$31.2538.5%11.0%33.5%44.2%37.6%3.7%-0.4%1.5M-23.8M-318.7K0.6224.10N/AN/A5,5603,43637,64018,174
2016-01-25$32.81$31.2539.3%11.3%31.9%46.8%39.5%3.6%-1.0%1.6M-25.3M-324.1K1.0419.60N/AN/A4,9425,13240,12818,346
2016-01-26$34.41$32.5038.2%10.9%35.7%43.3%39.7%3.5%-0.5%2.0M-42.9M-354.4K1.2018.72N/AN/A4,6845,62840,17619,930
2016-01-27$34.52$32.5038.0%10.9%34.6%42.7%39.3%3.6%0.3%1.9M-42.2M-354.9K0.9723.81N/AN/A4,6224,46240,19021,202
2016-01-28$34.77$32.5037.2%10.7%34.6%40.1%39.1%3.3%0.3%2.0M-45.7M-389.9K1.7418.39N/AN/A2,5364,40241,64422,952
2016-01-29$35.01$32.5036.9%10.6%34.4%39.2%40.0%3.6%0.1%2.1M-47.9M-392.8K3.4022.06N/AN/A1,2884,37841,76823,260