GOLD Options History — April 2017

In April 2017, GOLD traded between $43.23 and $47.07. ATM implied volatility averaged 31.2%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.4% (HV 20d: 24.8%). Max pain ranged from $41.25 to $43.75. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2017-04-05: Highest Volume — 10,184 contracts
  • 2017-04-12: Largest IV spike — 22.2% change
  • 2017-04-17: Highest IV Rank — 42.7%
  • 2017-04-17: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.11$43.23$47.07$43.90$43.98
Max Pain$42.43$41.25$43.75$42.50$43.75
ATM IV31.2%27.1%36.1%27.1%31.8%
Expected Move9.3%7.8%10.4%7.8%9.1%
HV 20d24.8%20.7%27.7%27.2%25.7%
HV 60d29.6%29.2%30.1%29.9%29.5%
IV Rank19.3%0.0%42.7%0.0%22.1%
IV Percentile8.3%0.0%30.2%0.0%7.5%
Term Structure-0.4%-2.6%5.2%4.3%-1.5%
VWIV32.1%25.3%35.5%27.9%31.7%
Skew 25d1.2%0.3%2.9%1.4%1.2%
Skew 10d2.3%0.5%3.7%1.7%2.4%
Call IV 25d32.0%27.5%35.3%27.8%31.3%
Put IV 25d33.2%28.4%36.4%29.2%32.5%
Bid-Ask Spread %21.2315.1646.1819.8516.25
Gamma HHI0.170.130.250.150.13
Net GEX2.0M901.5K3.7M2.0M1.2M
Net DEX-40.8M-72.7M-11.8M-28.7M-18.6M
Net VEX-306.9K-326.6K-292.6K-320.2K-300.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.511.761.750.84
Total Volume6,4784,15610,1848,9364,798
Total OI54,560.42146,29460,25652,44249,902

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$43.90$42.5027.1%7.8%27.2%0.0%27.9%1.4%4.3%2.0M-28.7M-320.2K1.7519.85N/AN/A3,2545,68229,82822,614
2017-04-04$44.70$42.5028.0%8.0%27.4%4.0%27.3%1.5%4.0%2.2M-37.5M-321.5K1.4418.18N/AN/A4,0005,74029,83623,028
2017-04-05$44.65$42.5027.8%8.0%26.3%2.9%25.3%0.8%5.2%2.2M-36.8M-322.8K1.6327.27N/AN/A3,8726,31230,18823,230
2017-04-06$44.67$41.2527.1%9.2%25.5%0.0%31.8%0.5%-0.7%2.2M-37.6M-326.4K1.7619.98N/AN/A3,5526,25030,54624,272
2017-04-07$45.24$41.2527.3%9.3%25.7%1.0%32.5%1.1%-0.4%2.3M-45.0M-326.6K1.2822.82N/AN/A2,5043,21030,75424,314
2017-04-10$45.15$41.2527.3%9.3%25.7%1.0%32.8%1.0%-0.7%2.3M-43.3M-317.8K1.3320.91N/AN/A2,0822,76830,85824,890
2017-04-11$46.87$41.2527.7%9.7%27.7%2.8%33.7%1.3%-1.2%2.4M-66.4M-307.8K0.6824.38N/AN/A4,6163,16030,92225,212
2017-04-12$46.58$41.2533.9%9.7%22.0%32.0%33.8%1.1%-1.0%2.5M-63.1M-312.2K0.7522.77N/AN/A3,9682,97431,77025,654
2017-04-13$47.05$41.2533.6%9.6%21.9%31.0%33.7%1.4%-0.5%3.3M-72.7M-307.9K0.9217.88N/AN/A3,1802,93432,96025,690
2017-04-17$47.07$42.5036.1%10.4%21.7%42.7%35.5%1.1%-2.6%3.4M-71.3M-294.1K1.5746.18N/AN/A1,8242,86232,96026,028
2017-04-18$46.87$42.5033.9%9.7%20.7%32.2%34.2%1.1%-1.0%3.7M-68.4M-297.8K0.7519.20N/AN/A3,5262,64832,90026,610
2017-04-19$45.17$42.5033.9%9.7%24.7%32.2%34.1%1.3%-1.5%1.7M-40.7M-298.6K0.6919.29N/AN/A3,1482,16032,63226,730
2017-04-20$45.27$42.5033.2%9.5%24.6%28.8%32.9%1.9%-1.2%1.5M-41.3M-295.0K0.5615.89N/AN/A3,7582,09432,59426,800
2017-04-21$45.25$42.5033.4%9.6%23.5%29.8%32.9%1.6%-2.3%1.2M-44.2M-295.8K0.5918.30N/AN/A4,3082,55833,50626,750
2017-04-24$44.49$43.7532.0%9.2%24.4%23.3%31.9%0.9%-1.5%901.5K-19.9M-292.6K0.5115.16N/AN/A3,7561,90423,57222,722
2017-04-25$43.30$43.7532.6%9.3%25.8%26.0%32.4%1.4%-1.6%928.9K-12.1M-293.1K0.7718.65N/AN/A2,9622,27224,77822,880
2017-04-26$43.62$43.7533.5%9.6%25.7%30.3%33.0%2.9%-1.5%1.1M-14.9M-300.0K1.4122.03N/AN/A1,7822,50825,70823,342
2017-04-27$43.23$43.7532.3%9.3%25.5%24.8%32.0%0.3%-1.8%986.4K-11.8M-300.0K1.1718.31N/AN/A1,9142,24225,79623,872
2017-04-28$43.98$43.7531.8%9.1%25.7%22.1%31.7%1.2%-1.5%1.2M-18.6M-300.4K0.8416.25N/AN/A2,6082,19025,97823,924