GOLD Options History — March 2017

In March 2017, GOLD traded between $41.97 and $46.06. ATM implied volatility averaged 32.6%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.8% (HV 20d: 31.9%). Max pain ranged from $41.25 to $42.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.90.

Notable Days

2017-03-15: Highest Volume — 12,384 contracts
2017-03-15: Largest IV drop — 18.5% change
2017-03-14: Highest IV Rank — 47.1%
2017-03-02: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.04	$41.97	$46.06	$46.06	$43.68
Max Pain	$42.39	$41.25	$42.50	$41.25	$42.50
ATM IV	32.6%	27.3%	39.8%	35.5%	27.3%
Expected Move	9.1%	7.8%	10.3%	10.2%	7.8%
HV 20d	31.9%	27.6%	36.1%	32.2%	28.4%
HV 60d	32.8%	31.5%	33.7%	32.3%	31.6%
IV Rank	11.7%	0.0%	47.1%	20.1%	0.0%
IV Percentile	13.4%	0.0%	63.9%	20.6%	0.0%
Term Structure	2.4%	-2.8%	4.9%	-1.8%	4.9%
VWIV	31.7%	27.1%	38.0%	37.4%	27.1%
Skew 25d	1.0%	0.1%	1.7%	1.4%	0.4%
Skew 10d	1.6%	0.0%	3.7%	1.1%	0.0%
Call IV 25d	31.3%	27.6%	35.0%	34.7%	27.6%
Put IV 25d	32.3%	28.0%	36.3%	36.1%	28.0%
Bid-Ask Spread %	18.49	13.29	22.45	15.05	21.96
Gamma HHI	0.15	0.12	0.24	0.14	0.15
Net GEX	1.3M	-475.0K	2.1M	1.5M	2.1M
Net DEX	-25.5M	-49.9M	563.9K	-49.9M	-29.2M
Net VEX	-287.8K	-309.6K	-259.9K	-309.6K	-302.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.28	1.65	1.45	1.65
Total Volume	6,676.174	4,472	12,384	7,206	8,726
Total OI	55,565.13	38,668	66,972	59,104	49,198

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$46.06	$41.25	35.5%	10.2%	32.2%	20.1%	37.4%	1.4%	-1.8%	1.5M	-49.9M	-309.6K	1.45	15.05	N/A	N/A	2,940	4,266	33,504	25,600
2017-03-02	$44.72	$41.25	35.9%	10.3%	34.4%	23.0%	38.0%	1.3%	-2.1%	1.1M	-35.3M	-304.9K	1.36	13.29	N/A	N/A	3,286	4,456	33,606	26,108
2017-03-03	$45.51	$42.50	35.0%	10.0%	34.7%	17.4%	35.9%	0.1%	-2.8%	1.4M	-42.9M	-305.9K	1.21	15.24	N/A	N/A	3,158	3,834	34,140	26,448
2017-03-06	$44.41	$42.50	36.7%	9.7%	36.1%	27.9%	33.1%	0.9%	1.4%	1.0M	-30.3M	-296.6K	1.11	17.27	N/A	N/A	3,348	3,716	34,880	26,638
2017-03-07	$43.73	$42.50	36.3%	9.6%	29.3%	25.3%	32.9%	1.5%	1.3%	821.0K	-22.4M	-284.5K	1.46	16.27	N/A	N/A	2,996	4,362	35,454	26,692
2017-03-08	$42.88	$42.50	36.8%	9.7%	28.6%	28.3%	33.4%	0.9%	1.5%	541.5K	-12.6M	-278.4K	1.53	15.45	N/A	N/A	3,174	4,848	35,900	26,762
2017-03-09	$42.24	$42.50	36.5%	9.7%	27.6%	26.7%	33.6%	1.2%	1.8%	132.9K	-2.7M	-280.8K	0.81	16.28	N/A	N/A	3,262	2,654	36,232	28,990
2017-03-10	$42.56	$42.50	33.5%	9.4%	27.9%	7.9%	33.1%	1.5%	2.2%	87.8K	-4.3M	-277.9K	0.76	19.47	N/A	N/A	3,270	2,478	36,630	29,382
2017-03-13	$42.55	$42.50	37.2%	9.3%	27.8%	31.0%	32.7%	1.1%	2.5%	-30.3K	-5.0M	-270.6K	1.22	19.00	N/A	N/A	2,744	3,350	37,148	29,496
2017-03-14	$41.97	$42.50	39.8%	9.3%	28.0%	47.1%	32.8%	0.9%	2.6%	-475.0K	563.9K	-260.3K	0.72	19.07	N/A	N/A	3,338	2,394	37,486	29,486
2017-03-15	$44.17	$42.50	32.4%	9.3%	34.4%	0.8%	32.4%	1.7%	1.9%	1.3M	-13.7M	-271.6K	0.29	21.33	N/A	N/A	9,580	2,804	34,836	29,762
2017-03-16	$43.91	$42.50	31.6%	9.1%	34.5%	0.0%	31.6%	0.9%	2.9%	1.6M	-5.2M	-268.8K	0.30	20.45	N/A	N/A	7,622	2,310	32,020	29,954
2017-03-17	$43.70	$42.50	29.9%	8.6%	34.4%	0.0%	29.9%	1.2%	3.6%	1.6M	-2.7M	-265.3K	0.92	16.67	N/A	N/A	2,332	2,140	31,636	29,708
2017-03-20	$44.70	$42.50	29.9%	8.6%	35.5%	0.1%	29.6%	0.8%	4.4%	1.3M	-21.6M	-259.9K	0.28	16.84	N/A	N/A	6,766	1,870	21,550	17,118
2017-03-21	$45.15	$42.50	30.6%	8.8%	35.7%	4.2%	30.3%	1.3%	3.7%	1.7M	-40.0M	-289.3K	0.68	19.45	N/A	N/A	3,200	2,174	25,948	17,306
2017-03-22	$45.40	$42.50	30.3%	8.7%	34.8%	2.7%	29.8%	0.5%	3.3%	2.0M	-47.4M	-303.5K	0.74	20.08	N/A	N/A	2,912	2,152	28,152	17,636
2017-03-23	$44.52	$42.50	30.2%	8.7%	34.7%	1.8%	30.0%	1.1%	3.5%	1.9M	-39.7M	-302.6K	0.68	19.98	N/A	N/A	3,014	2,054	28,238	17,798
2017-03-24	$44.55	$42.50	29.1%	8.3%	34.7%	0.0%	29.3%	1.1%	3.8%	2.0M	-39.9M	-301.5K	0.65	20.69	N/A	N/A	2,958	1,910	28,438	17,996
2017-03-27	$45.02	$42.50	29.9%	8.6%	30.2%	4.4%	30.6%	0.9%	4.2%	2.1M	-44.8M	-296.8K	0.69	20.23	N/A	N/A	2,802	1,936	28,564	18,042
2017-03-28	$44.44	$42.50	29.2%	8.4%	30.1%	0.5%	29.2%	1.4%	3.4%	2.1M	-38.4M	-293.1K	0.55	22.45	N/A	N/A	3,454	1,908	28,750	18,086
2017-03-29	$43.87	$42.50	29.0%	8.3%	30.2%	0.0%	29.0%	0.2%	3.8%	2.1M	-33.1M	-291.5K	0.80	19.76	N/A	N/A	3,094	2,482	29,276	18,428
2017-03-30	$43.22	$42.50	28.0%	8.0%	28.9%	0.0%	28.3%	0.3%	4.4%	2.0M	-25.2M	-303.9K	0.86	19.03	N/A	N/A	2,944	2,534	29,578	19,398
2017-03-31	$43.68	$42.50	27.3%	7.8%	28.4%	0.0%	27.1%	0.4%	4.9%	2.1M	-29.2M	-302.5K	1.65	21.96	N/A	N/A	3,290	5,436	29,708	19,490