GOLD Options History — November 2016

In November 2016, GOLD traded between $35.37 and $45.05. ATM implied volatility averaged 42.0%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 1.7% (HV 20d: 43.7%). Max pain ranged from $43.75 to $46.25. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-11-10: Highest Volume — 21,040 contracts
  • 2016-11-09: Largest IV drop — 16.2% change
  • 2016-11-02: Highest IV Rank — 80.0%
  • 2016-11-02: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.97$35.37$45.05$45.02$35.88
Max Pain$44.88$43.75$46.25$45.00$43.75
ATM IV42.0%37.7%46.2%44.8%41.6%
Expected Move11.8%10.8%13.2%12.9%11.9%
HV 20d43.7%31.1%53.4%33.4%50.2%
HV 60d43.2%39.3%45.8%39.4%43.9%
IV Rank56.2%31.2%80.0%72.3%53.5%
IV Percentile77.9%43.7%97.6%96.0%79.0%
Term Structure-1.4%-5.7%0.5%-4.2%-1.5%
VWIV41.2%36.4%47.0%47.0%41.9%
Skew 25d1.6%0.5%3.1%0.5%2.4%
Skew 10d4.0%1.3%6.7%1.3%4.3%
Call IV 25d40.8%37.2%46.0%45.2%41.3%
Put IV 25d42.4%39.3%46.7%45.7%43.7%
Bid-Ask Spread %18.7914.5424.5422.3716.94
Gamma HHI0.090.080.120.110.08
Net GEX-60.3K-534.5K604.0K587.8K-27.7K
Net DEX60.7M4.0M95.9M4.0M70.4M
Net VEX-318.8K-448.4K-245.3K-442.5K-248.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.381.440.380.77
Total Volume9,090.2864,06421,04014,9144,064
Total OI96,707.42984,172111,90484,17293,854

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$45.02$45.0044.8%12.9%33.4%72.3%47.0%0.5%-4.2%587.8K4.0M-442.5K0.3822.37N/AN/A10,8204,09445,11239,060
2016-11-02$45.05$45.0046.2%13.2%33.3%80.0%45.9%0.7%-5.7%604.0K4.3M-448.4K0.7316.68N/AN/A5,4403,95046,73040,376
2016-11-03$44.02$46.2542.1%11.4%31.8%56.6%39.9%1.1%-1.6%385.4K19.8M-428.8K1.0315.55N/AN/A3,9944,12448,59440,392
2016-11-04$43.01$46.2544.9%11.6%32.7%72.7%40.8%3.1%-1.4%19.0K34.6M-400.4K0.5315.97N/AN/A8,1424,28249,01640,592
2016-11-07$42.12$46.2545.9%11.4%33.0%78.2%39.5%1.9%-1.2%5.6K45.1M-371.4K0.7018.07N/AN/A6,6764,69851,89640,936
2016-11-08$41.94$45.0045.0%11.2%31.1%73.3%36.4%1.7%-2.0%111.1K43.3M-370.6K1.1119.27N/AN/A3,6384,04853,00840,712
2016-11-09$42.91$45.0037.7%10.8%32.1%31.2%38.3%2.1%-1.6%379.9K32.7M-386.6K0.7620.56N/AN/A3,9422,98053,21240,938
2016-11-10$38.70$45.0041.8%12.0%48.1%54.5%42.0%1.0%-1.4%-534.5K75.4M-291.1K0.7122.53N/AN/A12,3048,73652,85440,984
2016-11-11$36.77$45.0045.0%12.9%49.3%73.4%44.5%1.1%-1.6%-458.7K84.1M-297.0K0.4317.51N/AN/A9,4804,07660,95444,214
2016-11-14$36.68$45.0045.1%12.9%48.9%73.8%44.7%1.7%-2.6%-307.8K86.4M-293.3K1.4424.54N/AN/A4,3646,27065,59844,974
2016-11-15$37.47$45.0040.7%11.7%48.2%48.4%40.4%2.7%-0.7%-388.8K85.3M-309.6K1.2223.66N/AN/A3,4784,24464,38246,810
2016-11-16$37.08$45.0041.2%11.8%48.0%51.4%41.4%0.8%-0.1%-461.5K88.4M-297.0K1.1120.58N/AN/A3,6584,06464,58046,960
2016-11-17$36.70$45.0039.9%11.4%47.9%44.0%39.9%1.9%0.5%-505.0K92.2M-278.7K0.8924.49N/AN/A3,8383,41864,85047,054
2016-11-18$36.13$45.0040.2%11.5%47.9%45.5%39.6%2.1%-1.7%-339.3K95.9M-254.6K0.8318.75N/AN/A4,2703,53265,19846,430
2016-11-21$37.24$45.0038.2%10.9%49.9%33.9%38.5%1.3%-0.4%-153.7K67.3M-276.6K0.6715.80N/AN/A4,7303,18449,01240,030
2016-11-22$36.73$45.0039.0%11.2%48.8%38.8%39.7%2.0%-1.0%-111.1K70.0M-265.4K0.8118.05N/AN/A3,8443,12450,52640,026
2016-11-23$35.37$43.7539.9%11.4%49.7%43.9%41.0%1.5%0.2%-257.8K74.9M-245.3K0.7115.96N/AN/A4,2343,00851,31439,832
2016-11-25$35.55$43.7540.9%11.7%49.9%49.7%41.3%1.8%0.2%-188.5K73.5M-247.1K0.4414.69N/AN/A4,4861,98452,33240,196
2016-11-28$37.20$43.7541.3%11.9%53.4%52.2%41.2%1.5%-1.1%222.5K62.6M-275.7K0.4114.54N/AN/A4,5781,89053,32640,252
2016-11-29$36.81$43.7541.3%11.8%50.7%51.9%41.2%1.4%-1.6%153.7K65.3M-266.1K0.4918.16N/AN/A3,4901,72053,36440,376
2016-11-30$35.88$43.7541.6%11.9%50.2%53.5%41.9%2.4%-1.5%-27.7K70.4M-248.3K0.7716.94N/AN/A2,2981,76653,59640,258