GOLD Options History — September 2017

In September 2017, GOLD traded between $48.82 and $54.05. ATM implied volatility averaged 24.4%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.1% (HV 20d: 26.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-09-15: Highest Volume — 9,052 contracts
  • 2017-09-05: Largest IV spike — 11.9% change
  • 2017-09-11: Highest IV Rank — 18.0%
  • 2017-09-07: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.92$48.82$54.05$51.41$48.82
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV24.4%22.5%27.1%22.5%22.7%
Expected Move7.0%6.5%7.5%6.5%6.5%
HV 20d26.6%21.4%29.0%21.4%29.0%
HV 60d23.1%21.2%24.2%21.2%23.8%
IV Rank7.6%0.2%18.0%0.2%0.8%
IV Percentile6.6%0.4%20.2%0.4%0.8%
Term Structure2.3%1.6%3.2%2.5%3.2%
VWIV24.7%22.9%26.5%23.1%22.9%
Skew 25d0.1%-0.3%0.5%-0.3%0.1%
Skew 10d0.1%-0.9%1.0%-0.9%-0.1%
Call IV 25d24.8%23.0%26.3%23.0%23.2%
Put IV 25d24.9%22.7%26.5%22.7%23.3%
Bid-Ask Spread %17.4810.9322.5115.4310.93
Gamma HHI0.190.120.300.200.16
Net GEX2.0M1.1M3.1M2.0M1.8M
Net DEX-72.9M-108.7M-44.6M-80.2M-44.6M
Net VEX-288.5K-335.8K-247.0K-259.9K-326.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.221.440.931.25
Total Volume5,650.23,6649,0523,6646,112
Total OI53,982.445,88265,86454,54852,050

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$51.41$45.0022.5%6.5%21.4%0.2%23.1%-0.3%2.5%2.0M-80.2M-259.9K0.9315.43N/AN/A1,9021,76232,20022,348
2017-09-05$52.73$45.0025.2%7.4%22.4%10.7%26.3%0.4%1.7%2.5M-92.2M-250.4K0.6018.02N/AN/A3,1001,85432,21822,538
2017-09-06$51.93$45.0024.2%7.3%23.3%6.8%26.0%0.4%1.7%2.2M-86.0M-251.7K0.5018.73N/AN/A3,4421,70632,82822,770
2017-09-07$54.05$45.0025.8%7.5%25.4%12.7%26.5%0.4%1.6%3.1M-108.7M-247.0K0.3521.14N/AN/A5,9902,09833,04222,864
2017-09-08$53.66$45.0025.1%7.4%25.6%10.1%26.3%0.1%1.8%3.0M-104.1M-254.7K0.4722.51N/AN/A3,7761,75634,74823,256
2017-09-11$52.09$45.0027.1%7.3%28.4%18.0%26.1%0.0%1.6%2.3M-89.1M-257.2K0.4821.63N/AN/A3,7561,81635,89623,318
2017-09-12$51.70$45.0026.8%7.2%27.9%16.8%25.8%0.0%2.0%1.9M-83.5M-253.9K0.4620.43N/AN/A4,3561,98835,98823,824
2017-09-13$50.89$45.0025.2%7.2%25.4%10.8%25.0%0.1%1.7%1.1M-74.9M-264.2K0.4616.79N/AN/A4,1101,88637,30423,976
2017-09-14$51.30$45.0024.3%7.0%25.1%7.3%24.3%-0.2%2.8%1.6M-94.8M-282.9K0.3719.65N/AN/A4,5381,69641,47024,004
2017-09-15$51.38$45.0024.1%6.9%25.0%6.5%24.5%-0.1%2.3%1.3M-95.1M-283.1K0.2222.14N/AN/A7,4261,62641,53824,326
2017-09-18$50.32$45.0024.5%7.0%26.5%8.0%24.5%0.1%2.0%1.8M-60.2M-309.7K0.5416.01N/AN/A3,5841,92830,58415,298
2017-09-19$50.45$45.0024.0%6.9%26.4%6.0%24.0%-0.1%2.5%1.7M-61.5M-309.1K0.4715.26N/AN/A3,2941,55430,78015,700
2017-09-20$49.34$45.0024.1%6.9%27.8%6.1%24.6%-0.3%2.4%1.8M-51.6M-318.1K0.4717.33N/AN/A3,5021,65631,84215,812
2017-09-21$49.20$45.0023.4%6.7%27.8%3.8%24.1%-0.1%2.9%1.8M-49.7M-318.0K0.4911.47N/AN/A3,4801,69232,04616,028
2017-09-22$50.05$45.0023.4%6.7%28.4%3.5%23.5%0.5%3.0%1.8M-58.1M-314.1K0.6514.26N/AN/A2,4861,62232,31616,014
2017-09-25$50.98$45.0024.6%7.1%29.0%8.4%24.6%0.2%2.6%1.9M-67.1M-315.7K0.6119.45N/AN/A3,0661,86632,62416,214
2017-09-26$49.75$45.0024.2%6.9%29.0%6.6%24.5%0.4%2.4%1.9M-56.5M-312.2K0.7817.69N/AN/A2,5542,00233,18416,638
2017-09-27$48.96$45.0023.8%6.8%28.6%5.0%24.1%0.1%3.1%1.9M-48.6M-306.0K1.3816.47N/AN/A2,5723,54833,27216,774
2017-09-28$49.42$45.0023.7%6.8%28.9%4.6%23.8%0.1%2.7%1.8M-51.3M-335.8K1.4414.28N/AN/A2,4203,48233,45218,564
2017-09-29$48.82$45.0022.7%6.5%29.0%0.8%22.9%0.1%3.2%1.8M-44.6M-326.9K1.2510.93N/AN/A2,7143,39833,41218,638