GOLD Options History — September 2016

In September 2016, GOLD traded between $48.13 and $52.05. ATM implied volatility averaged 36.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 5.3% (HV 20d: 42.0%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2016-09-21: Highest Volume — 15,804 contracts
  • 2016-09-14: Largest IV drop — 16.4% change
  • 2016-09-13: Highest IV Rank — 82.6%
  • 2016-09-13: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.04$48.13$52.05$48.13$50.08
Max Pain$48.51$47.50$50.00$47.50$47.50
ATM IV36.6%32.3%46.6%37.6%34.2%
Expected Move10.4%9.3%11.2%10.8%9.8%
HV 20d42.0%33.0%47.7%33.0%41.9%
HV 60d41.2%37.2%43.3%40.6%37.2%
IV Rank24.5%0.0%82.6%24.7%10.9%
IV Percentile28.9%0.0%98.0%35.7%7.1%
Term Structure1.3%-0.3%2.9%1.0%2.9%
VWIV37.0%32.1%40.2%38.3%36.5%
Skew 25d1.2%0.3%2.3%1.5%1.7%
Skew 10d3.5%1.8%6.2%2.9%3.6%
Call IV 25d36.3%33.4%39.0%38.1%33.9%
Put IV 25d37.6%33.7%41.0%39.5%35.5%
Bid-Ask Spread %57.1213.4568.3914.5468.08
Gamma HHI0.160.090.280.160.13
Net GEX2.8M272.8K6.6M2.9M1.8M
Net DEX-61.8M-135.2M-18.8M-33.5M-52.1M
Net VEX-510.5K-556.8K-449.1K-538.1K-509.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.542.451.310.54
Total Volume13,428.38111,48815,80412,41011,488
Total OI101,101.52464,192128,620118,67079,308

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$48.13$47.5037.6%10.8%33.0%24.7%38.3%1.5%1.0%2.9M-33.5M-538.1K1.3114.54N/AN/A5,3707,04072,00246,668
2016-09-02$49.84$47.5032.3%9.3%34.7%0.0%33.7%0.3%2.9%4.3M-74.1M-556.8K1.2913.45N/AN/A5,4126,96472,90647,352
2016-09-06$51.99$48.7536.1%10.2%38.5%18.0%36.5%0.9%0.4%6.1M-130.3M-538.4K1.4636.99N/AN/A5,0047,31473,53247,180
2016-09-07$51.99$50.0034.8%10.2%38.2%12.0%37.1%1.1%0.3%6.6M-135.2M-548.9K2.2058.52N/AN/A4,2829,42674,11847,592
2016-09-08$50.70$50.0034.6%10.3%38.8%13.6%37.1%1.4%0.5%5.1M-97.2M-522.7K2.2358.18N/AN/A4,53610,10274,51848,332
2016-09-09$48.91$50.0037.4%10.6%40.4%29.5%38.1%1.0%0.3%3.4M-47.8M-511.6K2.1560.08N/AN/A4,2169,06674,91649,598
2016-09-12$50.34$50.0040.9%10.6%42.1%49.5%37.5%1.8%0.8%4.4M-81.7M-484.7K1.9861.78N/AN/A4,5749,03475,07850,170
2016-09-13$48.31$50.0046.6%11.2%44.1%82.6%40.2%2.0%-0.3%3.1M-32.0M-476.7K2.0956.57N/AN/A4,7149,84275,07050,202
2016-09-14$48.76$50.0039.0%11.2%43.6%38.6%39.6%1.5%-0.3%3.1M-44.7M-475.1K2.4558.54N/AN/A3,8869,51875,85851,724
2016-09-15$48.62$50.0038.5%11.0%43.4%35.9%39.1%1.1%-0.0%3.0M-41.6M-459.9K2.1262.60N/AN/A4,6349,81475,87252,034
2016-09-16$48.14$48.7536.7%10.5%43.2%25.6%37.7%2.3%0.5%272.8K-39.6M-449.1K2.3762.14N/AN/A4,46610,57076,66651,954
2016-09-19$49.40$48.7537.0%10.6%44.6%27.0%38.4%1.7%1.4%513.3K-18.8M-452.5K0.9664.15N/AN/A6,9006,62832,16232,030
2016-09-20$48.85$47.5037.4%10.7%44.1%29.7%38.7%1.1%1.3%540.2K-23.5M-495.3K0.7865.56N/AN/A7,3785,74836,27634,538
2016-09-21$51.25$47.5036.1%10.3%47.7%21.9%32.6%1.6%1.2%1.9M-63.4M-549.4K0.6368.39N/AN/A9,7046,10042,82434,746
2016-09-22$52.05$47.5034.5%9.9%43.5%12.8%33.9%0.4%2.1%2.2M-78.9M-543.4K1.0062.89N/AN/A7,6227,60043,32634,958
2016-09-23$50.33$47.5034.8%10.0%45.3%14.6%39.5%0.9%2.2%1.8M-57.2M-529.2K1.0362.29N/AN/A6,3646,57843,48233,562
2016-09-26$50.41$47.5036.1%10.3%45.3%21.8%39.6%1.0%2.1%1.8M-57.4M-522.4K0.9964.68N/AN/A6,3166,25443,62033,780
2016-09-27$50.14$47.5035.1%10.1%45.3%16.2%38.8%0.8%2.9%1.8M-52.7M-517.1K0.9766.38N/AN/A6,8366,66243,82233,934
2016-09-28$51.45$47.5034.6%9.9%41.8%13.4%32.1%0.5%1.9%2.2M-70.4M-518.4K0.7967.03N/AN/A6,4985,15644,11234,386
2016-09-29$51.18$47.5035.1%10.1%41.8%16.5%32.6%1.4%2.7%2.1M-66.3M-520.9K0.8166.74N/AN/A6,8465,53444,49034,434
2016-09-30$50.08$47.5034.2%9.8%41.9%10.9%36.5%1.7%2.9%1.8M-52.1M-509.0K0.5468.08N/AN/A7,4404,04844,67234,636