GOLD Options History — May 2017

In May 2017, GOLD traded between $42.47 and $48.29. ATM implied volatility averaged 28.3%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.3% (HV 20d: 28.1%). Max pain ranged from $41.25 to $45.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2017-05-17: Highest Volume — 12,196 contracts
  • 2017-05-04: Largest IV drop — 16.8% change
  • 2017-05-03: Highest IV Rank — 35.1%
  • 2017-05-03: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.70$42.47$48.29$42.97$47.48
Max Pain$43.13$41.25$45.00$43.75$45.00
ATM IV28.3%26.2%34.5%34.1%27.5%
Expected Move8.2%7.5%9.9%9.8%7.9%
HV 20d28.1%25.1%31.0%26.8%26.4%
HV 60d28.2%26.6%29.8%29.8%26.7%
IV Rank7.9%0.0%35.1%33.1%6.0%
IV Percentile5.3%0.0%22.6%18.7%6.7%
Term Structure0.5%-2.7%2.5%-2.5%-0.1%
VWIV28.7%26.7%34.4%33.7%27.8%
Skew 25d0.7%-0.1%1.2%1.1%-0.1%
Skew 10d1.4%0.2%2.4%2.4%0.2%
Call IV 25d28.6%26.3%34.2%33.8%28.5%
Put IV 25d29.3%26.9%35.4%34.9%28.5%
Bid-Ask Spread %13.089.5420.4119.9312.34
Gamma HHI0.220.150.670.150.20
Net GEX1.6M-319.3K8.4M1.2M249.0K
Net DEX-36.2M-75.1M-5.7M-10.4M-48.0M
Net VEX-295.5K-333.0K-265.1K-297.2K-313.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.622.321.300.74
Total Volume5,642.9093,88012,1964,2845,896
Total OI55,775.18251,13463,50851,13459,306

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$42.97$43.7534.1%9.8%26.8%33.1%33.7%1.1%-2.5%1.2M-10.4M-297.2K1.3019.93N/AN/A1,8642,42027,12224,012
2017-05-02$42.90$43.7533.5%9.6%26.7%30.5%33.3%-0.1%-2.7%1.2M-9.6M-295.7K1.3618.51N/AN/A1,6422,23827,65624,136
2017-05-03$42.47$43.7534.5%9.9%25.9%35.1%34.4%1.2%-2.7%1.1M-5.7M-290.9K0.9220.41N/AN/A2,4502,24227,77824,188
2017-05-04$42.53$41.2528.7%8.4%25.9%7.5%29.0%0.5%0.9%1.3M-6.0M-290.3K1.0115.22N/AN/A2,6342,65028,36224,490
2017-05-05$44.51$41.2527.4%8.1%31.0%1.4%28.3%1.0%0.7%2.0M-30.3M-295.9K1.0613.09N/AN/A2,6582,82428,90024,942
2017-05-08$44.52$41.2527.4%8.1%30.6%1.5%28.5%1.2%0.9%2.0M-29.4M-286.7K1.7212.53N/AN/A1,5822,72828,78024,952
2017-05-09$44.41$41.2527.3%8.1%30.6%0.7%28.7%1.0%1.0%2.1M-28.1M-284.7K1.1615.16N/AN/A2,1882,53228,93024,964
2017-05-10$44.69$41.2527.3%7.8%27.3%1.0%28.1%0.7%1.5%2.1M-32.0M-281.1K1.519.54N/AN/A1,8202,74228,91025,202
2017-05-11$46.01$41.2527.6%7.9%29.4%2.3%27.9%1.1%1.2%2.2M-50.0M-272.4K0.6211.83N/AN/A4,9603,08629,09025,224
2017-05-12$46.53$41.2527.3%7.8%29.5%0.8%27.1%0.8%1.8%2.2M-55.6M-278.2K1.4012.17N/AN/A1,9262,69429,67825,908
2017-05-15$46.47$41.2527.1%7.8%29.5%0.0%27.5%0.7%2.3%2.0M-55.4M-266.4K2.169.82N/AN/A1,8664,03229,53626,212
2017-05-16$47.11$41.2526.2%7.5%29.9%0.0%26.7%0.6%2.5%2.1M-61.4M-271.7K2.3212.09N/AN/A2,0664,79829,59427,252
2017-05-17$48.29$41.2528.4%8.1%27.7%10.0%29.3%1.1%1.3%2.0M-75.1M-265.1K1.4712.08N/AN/A4,9467,25029,47027,134
2017-05-18$47.24$45.0028.5%8.2%29.1%10.6%29.1%0.3%1.4%1.8M-57.1M-307.7K1.4011.41N/AN/A2,4983,49231,71231,416
2017-05-19$47.50$45.0027.6%7.9%29.1%6.4%27.7%0.6%1.6%8.4M-60.9M-299.7K0.8313.31N/AN/A3,2682,71031,63631,872
2017-05-22$47.69$45.0027.5%7.9%28.2%5.7%27.6%0.5%0.0%-220.8K-33.0M-290.7K1.1211.92N/AN/A2,3122,58823,76028,316
2017-05-23$46.66$45.0027.4%7.9%27.5%5.4%27.6%0.8%0.4%-319.3K-22.3M-298.5K1.029.60N/AN/A2,7502,80824,24428,804
2017-05-24$46.56$45.0027.0%7.7%27.5%3.5%27.2%0.7%0.4%196.8K-33.0M-324.9K1.0913.95N/AN/A2,7763,02228,14629,124
2017-05-25$46.33$45.0026.9%7.7%27.3%2.9%26.9%0.2%0.6%203.0K-30.6M-333.0K0.9311.58N/AN/A2,8442,65628,76829,546
2017-05-26$46.26$45.0026.4%7.6%26.8%0.8%26.7%0.3%0.8%213.2K-31.3M-331.4K1.0711.31N/AN/A2,4382,60229,12229,688
2017-05-30$46.19$45.0027.9%8.0%25.1%7.6%28.1%0.3%-0.4%177.5K-30.6M-324.9K1.309.98N/AN/A2,0162,63029,23629,936
2017-05-31$47.48$45.0027.5%7.9%26.4%6.0%27.8%-0.1%-0.1%249.0K-48.0M-313.8K0.7412.34N/AN/A3,3902,50629,32629,980