GOLD Options History — May 2016

In May 2016, GOLD traded between $41.76 and $49.85. ATM implied volatility averaged 38.5%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 20.5% (HV 20d: 59.0%). Max pain ranged from $40.00 to $48.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-05-04: Highest Volume — 38,466 contracts
  • 2016-05-09: Largest IV spike — 7.2% change
  • 2016-05-09: Highest IV Rank — 58.0%
  • 2016-05-02: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.20$41.76$49.85$49.85$42.38
Max Pain$41.73$40.00$48.75$47.50$41.25
ATM IV38.5%35.5%42.7%42.3%36.5%
Expected Move11.0%10.2%12.1%12.1%10.5%
HV 20d59.0%39.1%62.7%39.1%59.0%
HV 60d44.8%40.5%46.4%40.5%45.8%
IV Rank44.5%34.6%58.0%56.9%38.0%
IV Percentile49.8%24.2%84.1%82.5%29.8%
Term Structure-0.8%-2.5%0.3%-2.5%-0.5%
VWIV38.5%35.5%42.8%42.8%36.9%
Skew 25d2.1%0.5%3.2%0.5%2.3%
Skew 10d4.1%1.7%5.8%1.7%5.0%
Call IV 25d37.8%35.3%42.8%42.8%36.1%
Put IV 25d39.9%37.3%43.8%43.3%38.4%
Bid-Ask Spread %23.1812.0440.4116.1423.37
Gamma HHI0.120.100.180.180.11
Net GEX1.8M47.6K4.4M4.4M1.0M
Net DEX-63.8M-151.0M-19.3M-151.0M-36.0M
Net VEX-671.5K-763.6K-537.7K-663.3K-603.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.220.960.510.58
Total Volume13,293.6197,68838,46610,58813,932
Total OI129,140.952104,304146,256107,146132,528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$49.85$47.5042.3%12.1%39.1%56.9%42.8%0.5%-2.5%4.4M-151.0M-663.3K0.5116.14N/AN/A7,0023,58668,49838,648
2016-05-03$47.79$48.7542.2%12.1%42.1%56.6%42.5%1.6%-2.1%2.9M-107.3M-628.2K0.4016.42N/AN/A8,7303,51265,26639,338
2016-05-04$42.77$48.7541.3%11.8%58.4%53.5%41.5%2.7%-1.6%47.6K-19.3M-537.7K0.3812.04N/AN/A27,85410,61264,56639,738
2016-05-05$42.34$40.0038.7%10.9%57.7%45.1%38.7%2.3%-1.0%236.8K-23.4M-648.0K0.9615.25N/AN/A9,4089,06876,35844,930
2016-05-06$44.80$40.0039.8%11.1%61.1%48.6%39.4%1.7%-0.8%1.8M-74.5M-729.8K0.5814.55N/AN/A8,3744,82678,36048,200
2016-05-09$42.68$40.0042.7%11.5%62.3%58.0%40.7%2.4%-1.8%489.9K-30.5M-688.9K0.7816.85N/AN/A6,5405,07080,36049,088
2016-05-10$43.70$40.0040.2%11.0%62.7%50.0%38.4%2.1%-0.7%1.1M-51.5M-709.8K0.4417.28N/AN/A8,0383,55281,08250,494
2016-05-11$44.94$40.0038.5%11.0%62.7%44.4%38.0%2.2%-1.5%2.3M-83.4M-735.2K0.2213.19N/AN/A20,2064,39082,97250,644
2016-05-12$44.41$40.0037.5%10.7%62.2%41.0%37.6%2.3%-0.2%2.4M-76.0M-763.6K0.7116.77N/AN/A5,3903,83094,99651,260
2016-05-13$44.21$40.0037.6%10.8%61.4%41.4%36.9%2.4%-0.3%1.9M-66.4M-735.2K0.8132.39N/AN/A5,5084,45889,19651,336
2016-05-16$45.51$40.0038.0%10.9%62.2%42.6%37.9%1.9%0.3%3.1M-98.5M-729.4K0.6234.57N/AN/A6,3103,93489,76651,832
2016-05-17$45.72$40.0037.2%10.7%60.5%40.0%37.5%3.2%-0.6%3.3M-102.0M-732.2K0.6740.41N/AN/A5,7923,87289,46452,040
2016-05-18$43.70$41.2538.5%11.0%60.9%44.3%38.2%2.3%-1.6%889.0K-49.8M-681.6K0.9126.34N/AN/A5,3784,89089,41252,604
2016-05-19$44.08$41.2538.6%11.1%60.8%44.8%39.0%2.4%-0.4%749.9K-57.0M-682.0K0.8328.68N/AN/A6,4025,29289,92653,674
2016-05-20$44.69$41.2537.7%10.8%61.1%41.9%38.1%1.8%-0.1%2.9M-78.2M-692.8K0.6928.33N/AN/A6,2544,34090,84454,274
2016-05-23$44.16$41.2537.5%10.8%60.8%41.1%38.2%1.6%-0.3%2.6M-72.1M-668.4K0.9225.32N/AN/A5,8165,35081,82237,848
2016-05-24$42.45$41.2536.2%10.4%62.1%36.9%37.7%2.5%0.0%1.4M-40.5M-620.3K0.9028.96N/AN/A5,4624,92882,35439,804
2016-05-25$43.13$41.2536.4%10.4%62.3%37.5%37.0%2.0%0.1%1.5M-47.2M-634.2K0.5527.07N/AN/A5,9303,24083,27241,918
2016-05-26$43.09$41.2535.5%10.2%61.8%34.6%36.7%2.2%0.2%1.6M-50.5M-626.5K0.7622.20N/AN/A4,3783,31084,18642,134
2016-05-27$41.76$41.2536.1%10.4%58.4%36.5%35.5%1.8%-0.7%672.3K-24.3M-590.1K0.5630.64N/AN/A9,2545,14884,53642,392
2016-05-31$42.38$41.2536.5%10.5%59.0%38.0%36.9%2.3%-0.5%1.0M-36.0M-603.4K0.5823.37N/AN/A8,7945,13888,10244,426