GOLD Options History — December 2016

In December 2016, GOLD traded between $34.29 and $39.27. ATM implied volatility averaged 40.1%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 1.3% (HV 20d: 38.8%). Max pain ranged from $37.50 to $43.75. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2016-12-15: Highest Volume — 14,468 contracts
  • 2016-12-14: Largest IV drop — 19.2% change
  • 2016-12-13: Highest IV Rank — 91.3%
  • 2016-12-02: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.40$34.29$39.27$36.34$38.41
Max Pain$40.42$37.50$43.75$43.75$37.50
ATM IV40.1%36.0%48.1%42.7%38.9%
Expected Move11.1%10.3%12.3%12.3%11.2%
HV 20d38.8%29.0%52.0%50.8%33.7%
HV 60d42.4%40.3%44.0%44.0%40.5%
IV Rank45.1%21.3%91.3%60.2%38.3%
IV Percentile58.6%21.0%99.6%89.7%50.8%
Term Structure1.8%-2.4%3.4%-2.4%2.5%
VWIV39.0%36.3%43.0%43.0%39.9%
Skew 25d1.4%0.7%2.9%1.1%0.7%
Skew 10d2.8%0.3%5.1%0.4%0.3%
Call IV 25d38.8%36.5%43.2%43.2%39.3%
Put IV 25d40.2%37.3%44.3%44.3%40.0%
Bid-Ask Spread %15.9810.9223.4515.6918.21
Gamma HHI0.110.080.150.080.13
Net GEX210.4K-606.6K1.1M85.3K968.4K
Net DEX44.4M-12.9M82.0M66.5M-5.5M
Net VEX-256.3K-288.8K-207.1K-259.1K-288.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.491.460.581.42
Total Volume7,277.0485,15614,4685,4068,262
Total OI87,165.04867,798104,57494,24875,908

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$36.34$43.7542.7%12.3%50.8%60.2%43.0%1.1%-2.4%85.3K66.5M-259.1K0.5815.69N/AN/A3,4201,98653,84640,402
2016-12-02$36.86$43.7542.7%12.3%51.3%60.2%42.2%1.8%-2.0%250.3K61.4M-273.8K0.7511.72N/AN/A2,9402,21654,78040,634
2016-12-05$36.38$42.5042.6%11.6%51.1%59.6%41.0%1.4%1.0%150.4K66.5M-255.4K0.7819.08N/AN/A3,0642,39654,82840,770
2016-12-06$36.53$42.5041.4%11.1%51.0%52.3%39.1%2.1%2.4%130.4K66.9M-248.4K1.1116.25N/AN/A3,9584,38655,22441,076
2016-12-07$37.29$41.2540.4%11.1%52.0%46.6%38.8%1.8%1.5%313.6K59.0M-272.4K1.1119.71N/AN/A3,7384,16055,75642,262
2016-12-08$37.31$42.5040.0%10.8%50.9%44.2%38.7%2.9%2.2%350.1K60.4M-266.3K1.3419.88N/AN/A2,9663,97455,92242,392
2016-12-09$36.55$42.5040.6%10.9%36.6%47.7%38.7%1.6%2.7%165.4K66.5M-257.0K0.7123.45N/AN/A3,8582,74055,97642,716
2016-12-12$36.33$41.2547.1%11.0%32.0%85.4%38.7%0.7%2.4%133.4K66.5M-251.5K0.7917.20N/AN/A3,9483,12656,54842,494
2016-12-13$36.98$41.2548.1%10.9%32.6%91.3%38.8%2.3%2.3%271.1K61.2M-250.8K0.8918.97N/AN/A4,2563,77456,91442,246
2016-12-14$35.88$41.2538.9%11.2%33.3%38.1%39.4%1.0%2.2%-20.2K67.1M-232.5K0.9619.19N/AN/A4,0963,92657,41241,858
2016-12-15$34.29$40.0040.1%11.5%36.6%44.7%39.9%0.9%1.8%-606.6K82.0M-207.1K0.4914.28N/AN/A9,7404,72858,19042,710
2016-12-16$34.55$40.0039.1%11.2%36.8%39.2%38.6%1.1%1.3%-110.3K72.8M-233.8K1.0615.10N/AN/A3,8884,12662,34842,226
2016-12-19$35.21$40.0038.1%10.9%37.2%33.3%38.1%1.3%2.1%-6.8K29.6M-240.9K1.2115.41N/AN/A3,4664,19240,05227,746
2016-12-20$35.37$40.0038.1%10.9%35.4%33.4%38.1%0.8%2.4%-6.8K28.3M-245.8K1.3014.03N/AN/A2,8263,66440,73228,218
2016-12-21$35.20$38.7537.1%10.7%35.2%28.0%37.7%1.8%3.4%104.7K27.1M-254.1K1.4612.64N/AN/A2,5883,78843,23028,326
2016-12-22$35.53$38.7537.1%10.6%32.8%27.7%37.5%0.9%2.7%73.0K24.7M-259.4K1.1310.92N/AN/A2,6743,03443,39228,962
2016-12-23$35.95$38.7536.0%10.3%33.0%21.3%36.3%0.8%3.0%136.6K21.8M-262.1K1.0614.76N/AN/A2,9663,13643,54628,956
2016-12-27$36.48$37.5037.4%10.7%29.0%29.3%37.7%1.3%2.6%303.9K16.7M-261.3K1.3112.15N/AN/A2,6683,50644,16229,076
2016-12-28$37.70$37.5037.6%10.8%31.1%30.5%37.9%1.7%2.5%597.8K5.2M-274.8K0.8311.80N/AN/A3,5902,96444,52429,482
2016-12-29$39.27$37.5038.6%11.1%32.5%36.1%39.1%0.7%2.1%1.1M-12.9M-287.4K0.8515.09N/AN/A4,3783,70645,29829,326
2016-12-30$38.41$37.5038.9%11.2%33.7%38.3%39.9%0.7%2.5%968.4K-5.5M-288.8K1.4218.21N/AN/A3,4124,85046,18829,720