GOLD Options History — December 2017

In December 2017, GOLD traded between $45.19 and $49.42. ATM implied volatility averaged 21.9%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.1% (HV 20d: 20.8%). Max pain ranged from $46.25 to $47.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2017-12-12: Highest Volume — 7,140 contracts
  • 2017-12-11: Largest IV spike — 14.6% change
  • 2017-12-11: Highest IV Rank — 13.9%
  • 2017-12-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.80$45.19$49.42$45.91$49.42
Max Pain$46.31$46.25$47.50$47.50$46.25
ATM IV21.9%19.1%25.3%24.0%20.1%
Expected Move6.1%5.5%6.9%6.9%5.8%
HV 20d20.8%16.1%23.0%19.9%16.1%
HV 60d24.8%24.3%25.6%25.6%24.4%
IV Rank4.6%0.0%13.9%8.8%4.3%
IV Percentile7.5%0.0%27.4%14.3%2.0%
Term Structure3.9%-0.5%4.9%-0.5%3.9%
VWIV21.7%19.4%24.4%24.4%20.6%
Skew 25d0.6%-0.1%1.3%0.7%-0.1%
Skew 10d1.0%-0.3%1.8%1.4%-0.1%
Call IV 25d21.4%19.2%24.2%24.2%20.6%
Put IV 25d22.0%19.8%24.9%24.9%20.6%
Bid-Ask Spread %11.908.0214.2212.5012.16
Gamma HHI0.150.120.200.120.18
Net GEX1.6M-32.7K3.2M1.3M3.2M
Net DEX-10.1M-52.1M16.0M3.1M-52.1M
Net VEX-215.0K-236.9K-198.1K-236.9K-215.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.881.961.150.99
Total Volume5,694.34,7147,1405,8966,242
Total OI60,591.651,18668,51063,36256,394

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$45.91$47.5024.0%6.9%19.9%8.8%24.4%0.7%-0.5%1.3M3.1M-236.9K1.1512.50N/AN/A2,7383,15840,56422,798
2017-12-04$45.67$46.2524.9%6.7%19.9%12.3%23.8%0.5%3.6%966.2K7.7M-228.8K1.1612.76N/AN/A2,3782,76241,22023,270
2017-12-05$45.76$46.2525.2%6.6%19.6%13.3%23.6%0.7%4.0%1.0M7.0M-225.4K1.3114.22N/AN/A2,0742,72441,42623,258
2017-12-06$45.19$46.2524.4%6.7%19.9%10.2%23.2%0.8%3.5%561.8K14.0M-211.1K1.4312.96N/AN/A2,0422,93041,49023,292
2017-12-07$45.23$46.2523.4%6.5%19.8%6.7%23.2%0.7%3.4%454.0K14.6M-206.2K1.6013.55N/AN/A2,1023,36241,71823,192
2017-12-08$45.83$46.2522.1%6.3%20.4%1.7%22.6%0.3%3.7%950.7K7.5M-216.6K1.5811.72N/AN/A1,8302,88441,76623,598
2017-12-11$45.41$46.2525.3%6.3%20.5%13.9%22.4%0.6%4.3%306.6K13.9M-201.1K0.8812.49N/AN/A3,2062,81242,05023,738
2017-12-12$45.26$46.2524.9%6.4%20.5%12.2%22.7%0.9%4.1%-32.7K16.0M-198.1K1.0211.42N/AN/A3,5363,60442,42223,692
2017-12-13$46.23$46.2522.3%6.4%21.1%2.5%22.6%1.1%4.1%1.8M-1.6M-223.2K1.3210.89N/AN/A2,8543,77843,72024,346
2017-12-14$45.91$46.2521.4%6.1%21.2%0.0%22.0%0.3%4.9%1.6M3.6M-208.2K1.6211.24N/AN/A2,2703,68844,07624,416
2017-12-15$46.12$46.2521.1%6.1%21.2%0.0%21.5%1.3%4.6%962.2K3.4M-205.8K1.9610.92N/AN/A1,8843,68844,06824,442
2017-12-18$47.33$46.2520.6%5.9%22.9%0.0%20.8%1.0%3.8%1.6M-16.2M-208.7K1.0412.34N/AN/A2,8762,98032,38018,806
2017-12-19$47.25$46.2520.3%5.8%22.9%0.0%20.3%0.7%3.8%1.9M-18.0M-212.8K1.0512.57N/AN/A2,7802,93233,38818,896
2017-12-20$47.83$46.2520.5%5.9%23.0%1.0%20.8%0.6%3.4%2.2M-26.6M-220.7K1.1912.41N/AN/A2,5483,04434,17819,158
2017-12-21$47.55$46.2519.4%5.6%22.2%0.0%19.7%0.2%4.6%2.3M-24.9M-216.9K1.5013.48N/AN/A2,1703,25034,73019,002
2017-12-22$48.03$46.2519.3%5.5%22.5%0.0%19.4%0.7%4.5%2.5M-30.1M-220.2K1.2310.33N/AN/A2,4743,04834,74619,268
2017-12-26$48.58$46.2519.7%5.6%22.8%1.6%20.0%0.0%4.5%2.8M-39.0M-212.0K0.9811.27N/AN/A3,0182,94835,35619,570
2017-12-27$48.78$46.2519.8%5.7%22.8%2.4%20.3%0.1%4.3%3.0M-42.5M-217.3K1.0410.69N/AN/A2,7302,82835,73219,714
2017-12-28$48.77$46.2519.1%5.5%17.5%0.0%19.7%0.5%4.6%3.1M-42.0M-214.4K1.488.02N/AN/A2,3023,41236,18819,764
2017-12-29$49.42$46.2520.1%5.8%16.1%4.3%20.6%-0.1%3.9%3.2M-52.1M-215.9K0.9912.16N/AN/A3,1423,10036,20020,194