GOLD Options History — October 2017

In October 2017, GOLD traded between $48.09 and $50.19. ATM implied volatility averaged 25.7%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.6% (HV 20d: 20.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.64.

Notable Days

  • 2017-10-18: Highest Volume — 10,618 contracts
  • 2017-10-11: Largest IV spike — 18.0% change
  • 2017-10-31: Highest IV Rank — 27.2%
  • 2017-10-31: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.01$48.09$50.19$48.58$49.09
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV25.7%21.8%29.0%23.3%29.0%
Expected Move7.6%6.6%8.3%6.7%8.3%
HV 20d20.2%15.3%28.9%28.9%16.3%
HV 60d23.2%22.8%23.6%23.5%22.9%
IV Rank14.5%0.0%27.2%3.1%27.2%
IV Percentile22.2%0.0%50.8%2.4%50.8%
Term Structure-0.8%-3.4%3.6%2.9%-3.4%
VWIV26.7%22.8%29.5%23.6%29.5%
Skew 25d0.4%-0.4%0.9%-0.4%-0.0%
Skew 10d0.6%-1.4%1.5%-1.4%1.2%
Call IV 25d26.7%22.8%29.5%24.0%29.5%
Put IV 25d27.1%23.4%29.5%23.7%29.5%
Bid-Ask Spread %14.0210.4516.9112.8915.99
Gamma HHI0.180.160.350.170.18
Net GEX1.6M-954.9K2.1M1.8M1.8M
Net DEX-46.4M-63.0M-31.0M-42.5M-43.5M
Net VEX-314.8K-339.6K-288.7K-320.3K-314.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.762.631.472.00
Total Volume6,488.9095,15810,6186,1826,064
Total OI55,665.18252,75463,04052,75457,078

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$48.58$45.0023.3%6.7%28.9%3.1%23.6%-0.4%2.9%1.8M-42.5M-320.3K1.4712.89N/AN/A2,4983,68433,96418,790
2017-10-03$48.85$45.0022.9%6.6%27.2%1.5%22.8%0.5%3.4%1.7M-44.1M-318.4K1.7216.91N/AN/A2,1143,63633,87819,068
2017-10-04$49.19$45.0023.0%6.6%27.0%1.9%22.8%0.1%3.6%1.7M-47.7M-316.7K1.4715.34N/AN/A2,3303,42433,88419,092
2017-10-05$48.62$45.0022.2%7.6%22.0%0.0%26.8%0.3%-0.2%1.7M-41.7M-313.9K1.6114.92N/AN/A2,2803,66034,13819,242
2017-10-06$48.75$45.0021.8%7.7%22.1%0.0%27.2%0.5%-0.2%1.6M-43.8M-314.9K1.0715.18N/AN/A3,6043,84434,29619,390
2017-10-09$49.27$45.0023.6%7.8%20.7%6.9%27.6%0.5%-0.8%1.8M-50.6M-318.3K1.0615.18N/AN/A3,3603,56235,71019,672
2017-10-10$49.37$45.0022.7%7.7%20.7%3.3%27.1%0.5%-0.5%1.7M-51.0M-315.3K1.0210.45N/AN/A3,4683,53035,81619,730
2017-10-11$49.76$45.0026.8%7.7%20.3%18.9%26.9%0.3%-0.6%1.7M-56.0M-311.1K1.0612.57N/AN/A3,5643,76835,93419,760
2017-10-12$49.55$45.0026.2%7.5%20.1%16.7%26.4%0.6%-0.7%1.7M-54.2M-306.8K0.9413.45N/AN/A3,6223,40235,96219,842
2017-10-13$50.19$45.0026.5%7.6%20.7%17.7%26.4%0.5%-1.3%2.0M-63.0M-307.4K1.7613.78N/AN/A2,0443,59836,20619,916
2017-10-16$49.17$45.0026.8%7.7%20.7%18.8%26.8%0.6%-0.8%1.5M-49.1M-294.2K1.6013.77N/AN/A2,3383,73636,37619,790
2017-10-17$48.66$45.0026.8%7.7%20.9%18.9%26.7%0.6%-1.3%1.2M-41.5M-293.2K1.4211.86N/AN/A2,4143,42436,39819,976
2017-10-18$48.59$45.0026.6%7.6%19.4%18.0%26.4%0.6%-0.9%1.1M-40.7M-288.7K0.7611.25N/AN/A6,0304,58837,01820,098
2017-10-19$49.23$45.0026.7%7.6%20.0%18.4%26.8%0.5%-1.5%2.0M-61.3M-339.6K0.9514.17N/AN/A4,7724,52241,78421,256
2017-10-20$48.74$45.0026.3%7.6%19.3%17.2%26.3%0.5%-1.2%-954.9K-51.8M-330.3K1.9713.63N/AN/A2,1844,31041,30221,298
2017-10-23$49.15$45.0027.0%7.7%18.2%19.8%26.9%0.9%-2.1%2.1M-44.3M-323.4K2.1012.88N/AN/A1,6663,49233,80819,304
2017-10-24$48.74$45.0026.7%7.7%16.4%18.5%26.7%0.3%-1.7%2.0M-39.8M-318.5K2.1712.38N/AN/A1,6863,66434,08619,476
2017-10-25$48.52$45.0027.4%7.8%15.5%21.1%27.8%0.6%-1.8%2.0M-36.7M-319.0K2.3615.53N/AN/A1,7244,06834,25619,692
2017-10-26$48.09$45.0027.5%7.9%15.3%21.7%28.3%0.9%-2.2%1.8M-31.0M-318.8K2.6314.26N/AN/A1,5824,15434,56020,352
2017-10-27$48.73$45.0027.6%7.9%15.6%21.9%28.0%0.4%-2.4%1.8M-38.7M-323.2K2.6016.71N/AN/A1,5584,04834,61821,124
2017-10-30$49.41$45.0028.9%8.3%16.2%27.0%29.4%0.3%-3.3%1.9M-47.6M-318.4K2.3715.25N/AN/A1,7044,03634,80221,892
2017-10-31$49.09$45.0029.0%8.3%16.3%27.2%29.5%-0.0%-3.4%1.8M-43.5M-314.7K2.0015.99N/AN/A2,0184,04635,04422,034