GOLD Options History — November 2017

In November 2017, GOLD traded between $45.26 and $49.19. ATM implied volatility averaged 23.6%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 8.6% (HV 20d: 32.2%). Max pain ranged from $45.00 to $48.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2017-11-01: Highest Volume — 11,034 contracts
  • 2017-11-02: Largest IV drop — 14.2% change
  • 2017-11-01: Highest IV Rank — 28.8%
  • 2017-11-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.64$45.26$49.19$49.19$45.84
Max Pain$47.80$45.00$48.75$45.00$47.50
ATM IV23.6%21.7%29.4%29.4%22.9%
Expected Move6.8%6.2%8.4%8.4%6.6%
HV 20d32.2%16.1%35.4%16.1%35.4%
HV 60d26.8%22.9%28.0%22.9%27.0%
IV Rank7.1%0.0%28.8%28.8%4.9%
IV Percentile9.2%0.0%52.8%52.8%6.0%
Term Structure0.3%-3.8%1.4%-3.8%-0.2%
VWIV23.9%22.1%29.7%29.7%23.2%
Skew 25d0.6%0.1%1.0%0.8%1.0%
Skew 10d0.8%-1.0%2.4%0.5%2.4%
Call IV 25d23.8%22.0%29.6%29.6%22.9%
Put IV 25d24.4%22.5%30.4%30.4%23.9%
Bid-Ask Spread %15.9712.5123.6623.6618.62
Gamma HHI0.170.120.300.200.12
Net GEX2.0M778.5K3.4M1.9M1.2M
Net DEX-8.7M-45.6M11.8M-45.6M5.0M
Net VEX-275.4K-313.2K-228.1K-313.2K-228.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.652.630.651.00
Total Volume6,519.4294,35211,03411,0345,670
Total OI64,624.57157,46070,71857,46062,212

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$49.19$45.0029.4%8.4%16.1%28.8%29.7%0.8%-3.8%1.9M-45.6M-313.2K0.6523.66N/AN/A6,6844,35035,38422,076
2017-11-02$45.31$48.7525.2%7.1%33.2%13.0%25.3%0.4%0.2%1.3M9.5M-289.9K1.1816.17N/AN/A4,2885,06444,25223,056
2017-11-03$45.59$48.7524.3%7.0%33.3%9.2%24.8%0.3%0.4%1.3M6.1M-287.3K1.6516.92N/AN/A2,6524,37841,14623,426
2017-11-06$45.99$48.7524.6%7.0%33.2%10.7%24.4%0.9%0.0%1.4M-372.8K-286.5K1.1116.01N/AN/A3,5003,89641,79423,374
2017-11-07$45.56$48.7524.7%7.2%33.2%11.1%25.0%0.7%-0.4%1.7M5.4M-279.5K1.7816.41N/AN/A2,4444,34442,85023,540
2017-11-08$45.70$48.7523.7%6.8%33.0%7.1%23.8%0.6%0.6%2.0M2.3M-277.9K1.7316.39N/AN/A2,1283,68243,12623,046
2017-11-09$45.56$48.7523.8%6.8%33.0%7.3%24.1%0.6%1.4%2.2M5.4M-272.3K1.6915.83N/AN/A2,4144,08843,27023,126
2017-11-10$45.26$48.7524.0%6.9%32.4%8.2%24.0%0.6%0.6%2.3M11.2M-263.8K1.1612.66N/AN/A3,0263,50443,81423,748
2017-11-13$45.30$47.5024.0%6.9%32.0%8.4%24.9%0.5%0.3%2.7M11.8M-256.3K1.4714.64N/AN/A2,3943,52444,40824,006
2017-11-14$46.03$47.5023.9%6.9%32.7%8.1%24.4%0.1%0.8%2.3M-3.1M-277.3K2.6312.51N/AN/A2,0785,47444,45223,966
2017-11-15$46.33$47.5024.2%6.9%32.8%8.9%23.9%0.8%0.3%943.8K-8.4M-283.5K2.3814.62N/AN/A2,2545,36244,57626,028
2017-11-16$46.34$47.5023.3%6.7%32.3%5.5%23.5%0.6%1.3%778.5K-6.5M-272.9K1.5317.26N/AN/A2,2203,39444,71225,998
2017-11-17$46.82$47.5023.2%6.6%32.5%5.2%23.2%0.1%0.8%1.6M-15.2M-277.0K1.1615.68N/AN/A2,9163,38244,76625,952
2017-11-20$46.85$47.5022.4%6.4%32.3%2.2%22.4%0.9%0.9%1.7M-8.2M-267.2K1.0713.94N/AN/A3,0683,28237,08021,754
2017-11-21$47.34$47.5021.7%6.2%32.5%0.0%22.3%0.8%0.9%2.2M-16.0M-275.0K1.2313.26N/AN/A2,8323,48638,01821,926
2017-11-22$48.19$47.5021.7%6.2%33.2%0.0%22.6%0.6%1.0%2.9M-29.4M-290.2K0.8415.94N/AN/A2,3661,98638,87622,068
2017-11-24$48.34$47.5022.0%6.3%33.1%1.3%22.1%0.5%1.0%3.0M-31.6M-284.0K0.6715.14N/AN/A3,0862,07038,93022,052
2017-11-27$48.60$47.5022.6%6.5%32.8%3.4%22.7%0.5%0.2%3.3M-35.0M-277.9K0.7516.92N/AN/A2,8862,16839,01422,120
2017-11-28$48.55$47.5022.0%6.3%32.4%1.3%22.1%0.2%0.7%3.4M-33.9M-271.7K0.6517.36N/AN/A2,9781,93239,23022,286
2017-11-29$46.70$47.5023.1%6.6%35.0%5.4%22.8%0.3%-0.2%1.9M-5.7M-252.1K0.9915.48N/AN/A2,8422,81639,45822,200
2017-11-30$45.84$47.5022.9%6.6%35.4%4.9%23.2%1.0%-0.2%1.2M5.0M-228.1K1.0018.62N/AN/A2,8322,83839,87222,340