GOLD Options History — July 2016

In July 2016, GOLD traded between $55.88 and $62.58. ATM implied volatility averaged 42.3%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 4.9% (HV 20d: 47.2%). Max pain ranged from $48.75 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.02.

Notable Days

  • 2016-07-06: Highest Volume — 26,538 contracts
  • 2016-07-05: Largest IV spike — 14.8% change
  • 2016-07-06: Highest IV Rank — 68.8%
  • 2016-07-06: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.00$55.88$62.58$58.95$58.94
Max Pain$50.13$48.75$52.50$48.75$52.50
ATM IV42.3%39.7%47.8%39.7%41.0%
Expected Move12.0%11.4%12.9%11.4%11.8%
HV 20d47.2%42.3%51.1%42.9%43.8%
HV 60d51.6%44.9%52.7%51.3%44.9%
IV Rank44.2%33.8%68.8%41.1%36.1%
IV Percentile74.9%56.3%94.8%59.5%69.4%
Term Structure-1.7%-3.0%1.6%1.6%-3.0%
VWIV41.0%36.9%46.1%41.0%40.5%
Skew 25d1.4%0.6%2.7%0.6%1.5%
Skew 10d3.3%1.1%7.4%3.9%3.2%
Call IV 25d41.5%39.7%45.2%39.7%40.5%
Put IV 25d42.9%40.2%46.0%40.2%42.0%
Bid-Ask Spread %30.7421.2642.4121.2636.25
Gamma HHI0.160.150.190.190.17
Net GEX4.7M4.2M5.4M5.1M4.7M
Net DEX-271.4M-346.1M-196.6M-296.6M-251.2M
Net VEX-702.7K-741.4K-657.9K-689.0K-680.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.862.961.312.44
Total Volume17,193.612,62826,53822,44814,220
Total OI116,874.3103,332130,362111,502112,958

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$58.95$48.7539.7%11.4%42.9%41.1%41.0%0.6%1.6%5.1M-296.6M-689.0K1.3121.26N/AN/A9,72412,72470,80640,696
2016-07-05$61.23$48.7545.5%12.7%43.6%60.2%44.8%2.7%-1.3%4.7M-329.8M-670.1K1.6134.74N/AN/A8,40013,55271,82643,440
2016-07-06$62.58$50.0047.8%12.9%42.3%68.8%46.1%0.8%-2.3%4.2M-346.1M-657.9K0.8632.63N/AN/A14,26412,27472,28847,436
2016-07-07$59.55$50.0045.6%12.6%46.8%59.6%45.7%1.3%-2.2%4.6M-295.5M-737.8K1.1130.09N/AN/A10,48811,63875,76449,924
2016-07-08$61.17$50.0041.1%12.1%47.1%41.7%42.6%0.8%-1.1%5.2M-326.8M-715.5K1.2734.81N/AN/A7,3409,34677,05450,522
2016-07-11$61.81$50.0044.4%11.9%45.9%54.9%37.8%2.1%-1.6%5.4M-343.1M-674.4K1.3134.63N/AN/A6,8228,91876,98851,118
2016-07-12$59.20$50.0045.6%11.9%50.0%59.7%43.7%1.1%-1.5%4.6M-289.0M-715.6K1.7536.12N/AN/A5,4429,53477,42051,670
2016-07-13$60.24$50.0042.1%12.1%48.2%45.3%44.3%1.8%-1.6%5.0M-308.7M-715.9K2.3342.41N/AN/A5,26812,29278,09252,270
2016-07-14$59.42$50.0041.8%12.0%48.4%44.2%43.3%2.2%-1.3%4.7M-291.1M-730.1K2.9634.20N/AN/A4,55613,47679,00849,320
2016-07-15$58.52$50.0041.2%11.8%48.6%42.0%40.6%2.0%-1.3%4.5M-275.7M-719.9K1.5822.02N/AN/A6,69410,59479,41449,480
2016-07-18$59.02$50.0039.7%11.4%48.6%34.5%37.3%1.5%-0.2%4.7M-256.6M-697.7K2.2924.66N/AN/A4,59810,53069,05634,276
2016-07-19$58.55$50.0040.7%11.7%49.0%34.6%37.3%1.6%-1.4%4.7M-249.4M-708.0K2.6629.68N/AN/A4,62612,32469,39835,846
2016-07-20$56.41$50.0041.1%11.8%51.0%36.4%42.6%1.3%-2.4%4.4M-210.2M-741.4K2.5730.29N/AN/A5,12413,17869,72438,842
2016-07-21$57.61$50.0040.7%11.7%51.1%34.8%37.5%1.4%-2.0%4.6M-230.1M-731.2K2.3827.54N/AN/A5,40812,87470,38240,130
2016-07-22$57.92$50.0040.5%11.6%50.9%33.8%36.9%1.0%-2.3%4.6M-238.1M-712.4K2.4730.30N/AN/A4,19410,34670,41440,140
2016-07-25$55.88$50.0042.3%12.1%48.6%41.9%39.2%1.7%-2.7%4.3M-196.6M-709.0K2.1823.70N/AN/A4,5709,95669,50439,956
2016-07-26$56.92$50.0041.9%12.0%45.9%39.9%43.8%1.2%-3.0%4.5M-217.0M-699.4K2.4930.58N/AN/A3,6189,01069,93040,390
2016-07-27$57.85$50.0041.7%11.9%45.8%39.0%38.3%0.7%-2.3%4.6M-235.0M-680.5K2.3628.89N/AN/A3,7648,87869,99040,628
2016-07-28$58.29$52.5041.1%11.8%45.3%36.3%37.6%1.4%-1.7%4.6M-241.8M-668.6K2.4529.95N/AN/A3,8629,44670,14041,246
2016-07-29$58.94$52.5041.0%11.8%43.8%36.1%40.5%1.5%-3.0%4.7M-251.2M-680.3K2.4436.25N/AN/A4,13210,08870,47842,480