GOLD Options History — October 2016

In October 2016, GOLD traded between $41.59 and $49.57. ATM implied volatility averaged 41.0%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 2.8% (HV 20d: 43.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2016-10-04: Highest Volume — 23,308 contracts
  • 2016-10-04: Largest IV spike — 16.9% change
  • 2016-10-17: Highest IV Rank — 64.1%
  • 2016-10-17: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.61$41.59$49.57$49.57$44.43
Max Pain$45.60$45.00$50.00$47.50$45.00
ATM IV41.0%35.6%43.4%35.6%42.4%
Expected Move11.9%10.2%12.4%10.2%12.2%
HV 20d43.8%40.2%47.3%40.2%43.9%
HV 60d39.5%36.7%40.1%36.7%39.3%
IV Rank50.0%19.2%64.1%19.2%58.5%
IV Percentile77.5%20.6%95.2%20.6%91.3%
Term Structure-1.5%-3.2%2.5%2.5%-3.2%
VWIV41.5%36.0%44.2%36.0%42.9%
Skew 25d2.3%1.1%4.1%1.5%2.5%
Skew 10d4.5%2.7%7.3%4.1%7.3%
Call IV 25d41.0%35.6%43.0%35.6%41.6%
Put IV 25d43.3%37.1%46.8%37.1%44.1%
Bid-Ask Spread %28.2816.4771.5069.7820.04
Gamma HHI0.100.090.130.130.11
Net GEX-33.1K-508.8K1.6M1.6M305.9K
Net DEX36.9M-44.0M68.0M-44.0M16.9M
Net VEX-435.9K-513.5K-392.4K-513.5K-425.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.602.090.610.60
Total Volume9,148.7625,32823,30810,3507,738
Total OI91,941.23878,706104,14281,16283,948

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$49.57$47.5035.6%10.2%40.2%19.2%36.0%1.5%2.5%1.6M-44.0M-513.5K0.6169.78N/AN/A6,4363,91445,65235,510
2016-10-04$45.62$47.5041.6%11.9%46.7%53.9%41.5%3.6%0.4%314.5K10.3M-476.5K0.7766.14N/AN/A13,20410,10447,38435,644
2016-10-05$45.26$47.5040.5%11.6%46.6%47.3%40.2%1.9%0.9%90.7K18.7M-510.3K0.8771.50N/AN/A4,9824,35052,69840,212
2016-10-06$43.69$50.0041.6%12.2%47.3%53.5%42.4%2.4%-1.5%-226.9K38.7M-473.5K1.1740.82N/AN/A4,0084,68853,62840,704
2016-10-07$44.15$45.0038.6%12.1%46.5%36.7%42.1%1.6%-1.8%111.5K29.3M-498.8K1.3845.42N/AN/A3,3944,69255,47041,472
2016-10-10$43.47$45.0038.8%12.0%44.8%37.3%42.1%1.7%-1.6%-201.5K42.1M-464.3K0.8316.52N/AN/A5,0144,16856,08042,152
2016-10-11$42.13$45.0040.6%12.3%43.9%47.7%42.7%1.1%-2.1%-508.8K59.5M-421.1K0.8017.85N/AN/A5,3584,31254,46242,278
2016-10-12$42.43$45.0042.9%12.3%43.8%61.1%42.8%1.7%-2.1%-361.9K55.9M-422.4K0.8219.36N/AN/A5,0124,10254,28242,602
2016-10-13$43.27$45.0043.2%12.4%44.8%62.8%41.8%2.0%-2.1%-43.1K44.0M-446.3K1.2720.73N/AN/A3,1944,06655,22043,016
2016-10-14$41.59$45.0043.2%12.4%46.4%62.6%43.0%2.4%-1.9%-466.7K68.0M-396.6K1.1122.10N/AN/A4,4384,93255,49043,316
2016-10-17$42.01$45.0043.4%12.4%45.2%64.1%44.2%4.1%-2.2%-350.4K64.7M-392.4K1.7621.65N/AN/A2,7804,88656,29443,344
2016-10-18$43.27$45.0041.6%11.9%47.1%53.6%42.4%2.3%-1.0%143.9K49.4M-428.2K1.8018.89N/AN/A2,8085,05656,40444,362
2016-10-19$43.42$45.0041.5%11.9%42.8%53.2%41.7%3.2%-1.1%357.7K48.1M-419.1K1.5719.97N/AN/A3,0844,84856,67244,328
2016-10-20$43.49$45.0040.8%11.7%42.1%49.3%41.7%2.4%-1.5%322.7K50.4M-411.1K1.3417.58N/AN/A4,5706,11856,93844,516
2016-10-21$43.41$45.0040.1%11.5%41.1%45.1%41.0%2.6%-0.8%-290.4K49.6M-431.2K1.4717.50N/AN/A4,5106,65258,75445,388
2016-10-24$42.77$45.0040.6%11.6%41.1%48.0%40.8%1.3%-1.8%-451.1K37.7M-402.9K2.0917.44N/AN/A2,8565,97040,43438,272
2016-10-25$43.70$45.0039.9%11.5%42.4%44.1%39.9%2.6%-2.1%-250.5K27.8M-418.5K1.0217.87N/AN/A3,5963,66440,97638,238
2016-10-26$42.80$45.0040.8%11.7%40.8%49.2%41.1%3.0%-2.3%-315.8K36.2M-399.1K1.3816.47N/AN/A2,4283,34041,79838,280
2016-10-27$42.66$45.0041.0%11.7%40.9%50.0%41.0%2.3%-3.1%-365.9K37.4M-398.8K0.6218.44N/AN/A4,6402,88442,04638,854
2016-10-28$42.75$45.0041.6%11.9%40.8%53.5%41.3%2.2%-2.9%-105.9K35.1M-404.6K1.0417.80N/AN/A2,6062,72244,66438,984
2016-10-31$44.43$45.0042.4%12.2%43.9%58.5%42.9%2.5%-3.2%305.9K16.9M-425.1K0.6020.04N/AN/A4,8302,90844,90039,048