GOLD Options History — February 2017

In February 2017, GOLD traded between $42.49 and $47.50. ATM implied volatility averaged 35.1%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.0% (HV 20d: 31.1%). Max pain ranged from $37.50 to $41.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2017-02-06: Highest Volume — 11,230 contracts
  • 2017-02-06: Largest IV drop — 18.5% change
  • 2017-02-01: Highest IV Rank — 51.6%
  • 2017-02-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.76$42.49$47.50$42.49$45.78
Max Pain$40.39$37.50$41.25$40.00$41.25
ATM IV35.1%32.3%40.5%40.5%36.5%
Expected Move10.1%9.6%11.6%11.6%10.5%
HV 20d31.1%26.2%33.3%32.0%33.3%
HV 60d35.3%31.1%41.8%40.5%32.4%
IV Rank17.9%0.0%51.6%51.6%26.5%
IV Percentile17.5%0.0%64.3%64.3%29.8%
Term Structure-1.1%-2.7%0.0%-1.4%-1.9%
VWIV35.3%33.2%40.6%40.6%36.2%
Skew 25d1.4%0.4%2.6%0.4%1.0%
Skew 10d3.1%1.8%4.5%4.4%1.9%
Call IV 25d34.5%32.7%40.3%40.3%35.8%
Put IV 25d35.9%34.3%40.6%40.6%36.8%
Bid-Ask Spread %20.0614.7428.4326.5315.83
Gamma HHI0.150.120.200.180.14
Net GEX1.7M1.2M2.4M2.2M1.4M
Net DEX-73.0M-97.9M-40.4M-44.1M-47.6M
Net VEX-309.6K-324.0K-288.6K-316.0K-311.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.531.800.951.29
Total Volume7,721.6846,30411,2306,4207,014
Total OI61,085.78954,41669,95855,64258,808

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$42.49$40.0040.5%11.6%32.0%51.6%40.6%0.4%-1.4%2.2M-44.1M-316.0K0.9526.53N/AN/A3,2943,12634,65020,992
2017-02-02$42.84$37.5040.4%11.1%32.0%51.3%34.6%2.6%-2.4%2.4M-49.5M-312.8K1.0918.70N/AN/A3,0223,28234,94621,064
2017-02-03$42.81$37.5039.6%10.9%27.1%46.1%35.8%1.6%-1.6%2.4M-49.3M-311.3K1.2017.55N/AN/A3,0163,61235,19021,586
2017-02-06$45.45$37.5032.3%9.9%32.0%0.0%36.3%2.5%-1.1%2.4M-81.3M-288.6K1.8019.06N/AN/A4,0087,22235,28822,468
2017-02-07$46.41$40.0032.4%10.1%32.4%0.6%35.2%1.3%-1.4%1.9M-88.9M-289.7K0.9026.16N/AN/A4,2543,82235,99424,796
2017-02-08$47.26$40.0034.9%10.0%32.6%16.3%35.7%0.9%-0.8%1.6M-97.4M-292.5K0.9824.10N/AN/A3,7003,62636,50625,444
2017-02-09$46.65$40.0034.6%9.9%32.1%14.4%35.2%1.1%-1.1%1.6M-92.1M-297.0K0.8828.43N/AN/A3,8103,36237,07026,004
2017-02-10$46.69$41.2533.7%9.7%32.1%9.1%35.3%1.2%-0.3%1.5M-92.8M-298.1K0.5318.66N/AN/A6,4723,42637,70826,654
2017-02-13$46.55$41.2534.2%9.8%32.2%11.9%35.1%1.2%-0.3%1.9M-97.9M-323.8K0.9221.62N/AN/A4,2043,86840,91227,500
2017-02-14$46.40$41.2534.1%9.8%32.1%11.2%35.1%1.0%-0.4%1.9M-97.0M-324.0K0.9121.29N/AN/A3,9583,58641,29027,502
2017-02-15$46.23$41.2533.5%9.6%30.8%7.4%34.6%0.4%0.0%1.8M-94.8M-322.7K0.9418.38N/AN/A3,8443,59841,58827,546
2017-02-16$45.80$41.2533.5%9.6%31.3%7.8%34.2%1.0%-0.1%1.9M-90.5M-319.7K1.0518.34N/AN/A3,7263,91041,79427,632
2017-02-17$45.66$41.2533.7%9.7%31.4%9.0%34.6%1.7%-0.2%1.2M-88.9M-317.0K1.0616.81N/AN/A3,6803,89241,97627,982
2017-02-21$45.63$41.2534.5%9.9%29.2%14.3%34.3%1.1%-1.3%1.2M-46.0M-311.2K1.1721.01N/AN/A3,2383,78631,31223,104
2017-02-22$46.64$41.2534.4%9.9%29.5%13.4%34.2%1.7%-1.6%1.4M-56.2M-313.7K1.0118.60N/AN/A3,4123,43631,77823,356
2017-02-23$47.41$41.2533.8%9.7%28.8%9.7%35.8%1.4%-1.2%1.5M-65.7M-308.1K1.0617.94N/AN/A4,1504,39432,06223,640
2017-02-24$47.50$41.2534.1%9.8%26.2%11.5%34.3%1.6%-1.3%1.6M-66.1M-317.2K0.9417.34N/AN/A4,1843,91632,85624,304
2017-02-27$45.19$41.2536.6%10.5%33.2%27.2%33.2%2.0%-2.7%1.2M-40.4M-307.0K1.4714.74N/AN/A3,1804,68232,59624,732
2017-02-28$45.78$41.2536.5%10.5%33.3%26.5%36.2%1.0%-1.9%1.4M-47.6M-311.2K1.2915.83N/AN/A3,0663,94833,33825,470