GOLD Options History — January 2017

In January 2017, GOLD traded between $39.26 and $42.85. ATM implied volatility averaged 39.3%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.3% (HV 20d: 35.0%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-01-05: Highest Volume — 10,192 contracts
  • 2017-01-11: Largest IV spike — 9.3% change
  • 2017-01-12: Highest IV Rank — 54.7%
  • 2017-01-05: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.07$39.26$42.85$39.26$42.30
Max Pain$38.81$37.50$40.00$37.50$40.00
ATM IV39.3%37.3%41.0%40.5%39.6%
Expected Move11.4%10.8%11.9%11.6%11.4%
HV 20d35.0%30.5%38.7%34.1%32.6%
HV 60d40.7%40.1%41.4%40.2%40.8%
IV Rank42.8%29.0%54.7%47.4%46.2%
IV Percentile53.2%31.3%71.8%64.7%54.8%
Term Structure-0.6%-1.8%2.2%1.2%-0.4%
VWIV40.3%37.8%41.9%41.2%40.5%
Skew 25d1.4%0.4%2.1%0.8%0.5%
Skew 10d3.5%1.6%4.9%1.6%3.1%
Call IV 25d39.7%37.4%41.4%40.8%40.1%
Put IV 25d41.2%39.0%42.6%41.6%40.6%
Bid-Ask Spread %19.3713.2625.5713.2625.57
Gamma HHI0.160.120.200.150.18
Net GEX1.8M1.2M2.4M1.2M2.2M
Net DEX-31.9M-45.1M-12.7M-12.7M-43.8M
Net VEX-286.8K-316.3K-269.3K-280.4K-316.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.531.311.310.84
Total Volume7,414.66,10010,1927,5747,206
Total OI71,919.144,00488,30476,61054,938

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$39.26$37.5040.5%11.6%34.1%47.4%41.2%0.8%1.2%1.2M-12.7M-280.4K1.3113.26N/AN/A3,2844,29046,67629,934
2017-01-04$39.49$37.5039.2%11.2%33.6%39.8%40.2%1.2%2.2%1.2M-14.9M-286.6K1.0117.14N/AN/A3,6563,69047,12630,706
2017-01-05$41.51$37.5039.8%11.9%37.3%43.5%41.6%1.2%0.1%1.9M-39.7M-295.6K0.5913.73N/AN/A6,3943,79847,38831,368
2017-01-06$40.38$37.5037.7%11.8%38.7%31.2%41.5%1.9%-0.9%1.6M-27.3M-293.7K1.2214.66N/AN/A3,6064,41248,72831,718
2017-01-09$40.48$37.5038.2%11.7%38.7%34.1%41.9%2.1%-0.5%1.6M-27.8M-282.4K0.7018.61N/AN/A4,9463,45449,12832,728
2017-01-10$40.88$37.5037.3%11.8%37.6%29.0%41.4%1.7%-1.8%2.0M-33.4M-288.4K1.2818.93N/AN/A2,9983,82451,29232,818
2017-01-11$40.12$37.5040.8%11.7%38.4%48.9%41.7%1.3%-1.1%1.7M-25.3M-285.3K0.8215.67N/AN/A3,5062,88051,86832,482
2017-01-12$40.72$37.5041.0%11.7%38.3%54.7%40.4%1.7%-1.4%2.0M-34.4M-288.0K0.7217.61N/AN/A4,6783,38852,83433,092
2017-01-13$40.99$38.7540.1%11.5%36.0%49.5%40.1%0.9%-1.1%2.0M-35.3M-288.6K0.7220.21N/AN/A3,6682,64652,69633,946
2017-01-17$41.73$38.7540.8%11.7%30.5%53.9%41.7%2.0%-1.4%2.4M-45.1M-276.6K0.8120.15N/AN/A3,3762,72452,85434,102
2017-01-18$40.87$38.7540.8%11.7%32.3%53.8%41.1%1.1%-1.6%1.7M-32.6M-269.4K0.7220.97N/AN/A3,7922,71853,18034,780
2017-01-19$41.26$40.0039.5%11.3%32.1%45.2%40.2%1.4%-0.3%1.6M-36.1M-269.3K0.6019.87N/AN/A4,0482,41853,30834,996
2017-01-20$41.35$40.0038.8%11.1%32.2%41.0%39.9%1.7%0.0%2.1M-38.7M-269.9K0.5322.72N/AN/A4,9402,64253,43234,850
2017-01-23$42.85$40.0039.1%11.2%33.3%43.3%39.6%1.6%-1.2%1.4M-37.3M-270.3K0.8221.07N/AN/A3,8743,17426,65217,352
2017-01-24$42.40$40.0038.2%11.0%34.0%37.6%38.5%1.8%-0.9%1.5M-35.8M-280.3K1.0119.77N/AN/A3,5563,57827,91018,354
2017-01-25$41.77$40.0038.8%11.1%35.1%41.1%38.8%1.8%-0.7%1.4M-29.3M-281.6K0.9722.91N/AN/A3,4403,34428,16418,834
2017-01-26$40.70$40.0038.1%10.9%36.9%36.8%38.0%2.0%-0.8%1.6M-25.3M-301.9K0.5722.89N/AN/A6,1523,51431,57219,084
2017-01-27$41.17$40.0037.5%10.8%35.5%33.1%37.8%1.7%-0.7%2.1M-32.4M-306.8K1.0119.63N/AN/A3,6263,67634,01819,412
2017-01-30$41.14$40.0039.7%11.4%32.8%46.6%39.8%0.4%-0.9%2.1M-31.9M-303.6K1.0422.08N/AN/A3,6223,75434,11419,948
2017-01-31$42.30$40.0039.6%11.4%32.6%46.2%40.5%0.5%-0.4%2.2M-43.8M-316.3K0.8425.57N/AN/A3,9263,28034,43820,500