GOLD Options History — February 2016

In February 2016, GOLD traded between $36.22 and $45.85. ATM implied volatility averaged 41.9%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 0.2% (HV 20d: 41.7%). Max pain ranged from $32.50 to $38.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2016-02-12: Highest Volume — 26,604 contracts
  • 2016-02-08: Largest IV spike — 12.7% change
  • 2016-02-08: Highest IV Rank — 74.5%
  • 2016-02-11: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.59$36.22$45.85$36.27$45.58
Max Pain$35.44$32.50$38.75$32.50$38.75
ATM IV41.9%37.5%47.7%37.5%42.0%
Expected Move11.8%10.8%12.9%10.8%12.1%
HV 20d41.7%35.6%47.4%35.8%45.6%
HV 60d39.0%35.1%41.4%37.1%39.5%
IV Rank55.4%41.1%74.5%41.1%56.0%
IV Percentile78.5%51.2%94.8%51.2%82.5%
Term Structure-2.7%-4.5%-0.7%-0.7%-3.6%
VWIV42.6%38.5%47.4%38.5%44.1%
Skew 25d2.7%1.6%3.9%3.7%2.7%
Skew 10d4.6%1.8%7.9%7.9%2.3%
Call IV 25d40.1%36.5%43.5%36.5%40.8%
Put IV 25d42.9%40.2%46.8%40.2%43.4%
Bid-Ask Spread %15.3410.8018.4017.4318.34
Gamma HHI0.140.100.190.190.11
Net GEX2.6M1.9M4.3M2.4M2.8M
Net DEX-142.4M-209.8M-63.6M-64.0M-164.9M
Net VEX-484.3K-591.8K-366.3K-394.1K-588.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.292.622.052.15
Total Volume12,832.66,19026,6046,4629,476
Total OI88,393.464,844113,38264,844103,504

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$36.27$32.5037.5%10.8%35.8%41.1%38.5%3.7%-0.7%2.4M-64.0M-394.1K2.0517.43N/AN/A2,1224,34041,75623,088
2016-02-02$36.22$32.5038.0%10.9%36.0%42.9%38.8%3.9%-1.0%2.4M-63.6M-398.4K1.8616.43N/AN/A2,1684,02242,62023,998
2016-02-03$37.47$32.5038.9%11.2%37.1%45.7%39.1%2.5%-1.1%2.5M-81.2M-399.7K2.2815.24N/AN/A2,1084,79843,00424,712
2016-02-04$38.34$33.7540.1%11.1%37.4%49.7%40.5%2.8%-1.6%2.4M-91.9M-396.4K1.7014.83N/AN/A2,5884,39043,24625,634
2016-02-05$39.08$33.7542.3%11.4%35.6%56.8%41.0%3.0%-2.2%2.3M-101.5M-403.3K1.7718.40N/AN/A2,5144,46044,37026,142
2016-02-08$42.55$33.7547.7%12.3%41.7%74.5%47.4%3.1%-4.3%1.9M-140.1M-366.3K0.6612.24N/AN/A12,9648,61045,07826,596
2016-02-09$42.12$35.0047.5%12.2%41.5%73.9%46.9%2.9%-4.3%1.9M-133.1M-404.1K0.7715.91N/AN/A9,5587,31649,23030,366
2016-02-10$42.31$35.0042.4%12.2%38.6%57.2%43.6%3.1%-4.5%1.9M-137.2M-439.2K1.2316.48N/AN/A4,5465,57652,73032,922
2016-02-11$43.83$35.0044.9%12.9%39.0%65.3%46.3%3.3%-4.4%1.9M-159.6M-438.3K0.3717.55N/AN/A19,1887,07053,73233,914
2016-02-12$44.91$35.0043.0%12.3%37.7%59.0%43.6%1.9%-3.1%2.4M-183.9M-522.4K0.2910.80N/AN/A20,6645,94062,09037,052
2016-02-16$42.23$35.0043.0%12.3%47.4%59.2%43.5%3.2%-4.3%2.1M-143.6M-509.4K0.7214.43N/AN/A9,0206,53864,82838,246
2016-02-17$43.63$35.0040.3%11.5%45.5%50.1%41.7%2.3%-2.2%4.2M-173.3M-506.9K0.4711.72N/AN/A12,7266,02069,61438,386
2016-02-18$45.07$36.2541.5%11.9%45.1%54.2%42.5%1.6%-2.3%4.3M-200.0M-528.6K0.9713.18N/AN/A6,3206,12870,86639,680
2016-02-19$45.38$37.5041.1%11.8%45.2%52.9%42.1%2.8%-1.8%2.4M-209.8M-526.3K0.7114.53N/AN/A9,9187,04471,81241,570
2016-02-22$45.37$37.5041.7%12.0%45.5%54.8%42.8%1.7%-3.5%2.7M-158.6M-555.9K1.5615.65N/AN/A3,4925,43259,88429,166
2016-02-23$45.85$37.5041.6%11.9%45.2%54.5%42.1%1.6%-2.6%2.7M-165.6M-560.4K1.7415.42N/AN/A2,5984,53060,76429,768
2016-02-24$45.56$37.5043.0%12.3%44.3%59.1%43.0%1.8%-3.5%2.7M-162.9M-566.3K0.7913.76N/AN/A7,8546,18861,14030,128
2016-02-25$45.28$37.5040.8%11.7%44.8%52.0%41.9%3.4%-1.8%2.9M-159.6M-591.8K1.9518.02N/AN/A2,2804,44465,44832,396
2016-02-26$44.78$37.5040.0%11.5%45.6%49.2%42.5%3.5%-1.3%2.8M-153.1M-588.5K2.6216.52N/AN/A3,2348,46865,79632,592
2016-02-29$45.58$38.7542.0%12.1%45.6%56.0%44.1%2.7%-3.6%2.8M-164.9M-588.8K2.1518.34N/AN/A3,0126,46466,83836,666