GOLD Options History — June 2017

In June 2017, GOLD traded between $43.95 and $49.55. ATM implied volatility averaged 27.4%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.7% (HV 20d: 22.7%). Max pain ranged from $43.75 to $45.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-06-19: Highest Volume — 15,322 contracts
  • 2017-06-14: Largest IV drop — 20.3% change
  • 2017-06-12: Highest IV Rank — 33.3%
  • 2017-06-12: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.33$43.95$49.55$47.55$44.27
Max Pain$44.15$43.75$45.00$45.00$43.75
ATM IV27.4%25.5%33.5%27.3%25.6%
Expected Move7.6%7.3%8.0%7.8%7.3%
HV 20d22.7%19.4%26.3%25.9%19.4%
HV 60d25.3%24.6%26.5%26.5%24.9%
IV Rank6.4%0.0%33.3%4.8%0.1%
IV Percentile5.4%0.0%24.2%2.8%0.4%
Term Structure2.0%-0.3%3.7%-0.3%3.7%
VWIV26.7%25.5%28.4%27.9%25.5%
Skew 25d0.6%-0.1%1.3%0.5%0.6%
Skew 10d0.7%0.0%2.2%0.3%2.2%
Call IV 25d26.7%25.0%28.0%27.7%25.6%
Put IV 25d27.3%26.1%28.4%28.2%26.1%
Bid-Ask Spread %14.249.0419.5010.3317.68
Gamma HHI0.220.120.350.200.29
Net GEX1.2M-1.3M4.1M215.2K4.1M
Net DEX-35.8M-70.1M-1.9M-48.4M-33.1M
Net VEX-332.4K-416.8K-278.7K-312.0K-416.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.151.401.150.99
Total Volume6,241.1823,73415,3225,1344,884
Total OI59,85740,25867,40859,57867,408

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$47.55$45.0027.3%7.8%25.9%4.8%27.9%0.5%-0.3%215.2K-48.4M-312.0K1.1510.33N/AN/A2,3882,74629,51830,060
2017-06-02$48.52$45.0026.7%7.7%26.3%2.1%27.1%-0.1%0.4%343.3K-59.9M-301.8K0.7110.97N/AN/A3,7702,67429,45030,180
2017-06-05$48.55$43.7528.8%7.9%22.0%11.9%28.4%0.7%1.7%313.0K-59.8M-300.4K0.8115.23N/AN/A2,8282,28630,10830,592
2017-06-06$49.55$43.7528.8%7.9%22.7%12.0%28.3%0.3%1.8%655.0K-70.1M-293.9K0.6017.59N/AN/A5,0563,01430,40430,680
2017-06-07$49.50$43.7528.5%7.8%22.6%10.6%27.8%1.1%1.7%608.4K-67.8M-301.8K1.3919.50N/AN/A2,1442,97630,93231,706
2017-06-08$48.80$43.7529.2%7.9%23.7%13.6%27.7%0.1%1.3%411.3K-59.7M-309.2K1.1115.84N/AN/A2,4582,73831,01031,986
2017-06-09$48.12$43.7527.9%7.9%22.6%7.6%27.7%0.4%1.7%218.9K-53.2M-313.2K1.4018.38N/AN/A1,9322,70431,68632,164
2017-06-12$47.12$43.7533.5%8.0%23.8%33.3%27.4%0.4%1.2%-353.4K-40.0M-301.8K1.0413.72N/AN/A2,5502,65831,88832,108
2017-06-13$47.19$43.7533.5%7.7%23.8%33.1%26.9%0.7%2.0%-276.6K-43.0M-301.2K1.0314.42N/AN/A2,5342,60232,38232,100
2017-06-14$46.59$43.7526.7%7.6%23.7%2.0%26.9%1.1%2.4%-1.3M-33.9M-298.8K0.7817.60N/AN/A3,3122,59232,85232,520
2017-06-15$45.40$43.7526.7%7.7%23.4%2.3%26.5%0.6%2.0%-643.2K-8.6M-289.5K0.9317.79N/AN/A2,7422,53833,24032,626
2017-06-16$45.53$43.7526.7%7.7%22.4%2.4%26.8%0.5%1.6%492.1K-10.9M-285.2K1.0610.18N/AN/A2,7242,89433,36832,650
2017-06-19$45.12$43.7526.2%7.5%22.3%0.1%26.2%0.6%2.5%531.5K-1.9M-278.7K0.1512.51N/AN/A13,3042,01820,71219,546
2017-06-20$44.49$45.0026.0%7.5%22.6%0.0%26.2%0.7%2.7%1.7M-14.5M-347.7K0.289.04N/AN/A7,2462,00230,29220,096
2017-06-21$44.62$43.7526.2%7.5%21.6%0.8%25.9%0.3%2.7%3.1M-31.8M-410.8K1.0610.38N/AN/A1,8141,92039,29020,344
2017-06-22$44.83$43.7526.1%7.5%21.7%0.3%26.0%0.3%2.0%2.6M-27.0M-382.2K1.0814.29N/AN/A1,9622,11435,26820,416
2017-06-23$45.35$45.0025.8%7.4%22.2%0.0%25.6%1.3%2.4%2.7M-33.3M-386.4K0.8415.92N/AN/A2,6022,17835,67220,756
2017-06-26$44.73$45.0025.9%7.4%22.7%0.6%25.8%0.8%2.6%2.7M-25.5M-374.8K0.8610.87N/AN/A2,3862,05236,09420,996
2017-06-27$44.62$43.7525.5%7.3%22.7%0.0%25.7%0.8%2.9%2.7M-23.8M-372.7K0.9611.72N/AN/A2,5222,41436,25421,088
2017-06-28$44.86$45.0025.6%7.3%20.0%0.4%25.9%0.4%2.9%2.8M-26.7M-375.1K1.1513.32N/AN/A2,1022,41836,49021,566
2017-06-29$43.95$45.0025.9%7.4%20.9%1.8%26.0%0.9%3.0%2.5M-14.0M-359.6K0.2116.08N/AN/A12,0042,50436,64621,710
2017-06-30$44.27$43.7525.6%7.3%19.4%0.1%25.5%0.6%3.7%4.1M-33.1M-416.8K0.9917.68N/AN/A2,4542,43045,54221,866