GOLD Options History — January 2018

In January 2018, GOLD traded between $7.25 and $51.73. ATM implied volatility averaged 25.6%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 348.5% (HV 20d: 374.1%). Max pain ranged from $7.50 to $48.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2018-01-22: Highest Volume — 100,042 contracts
  • 2018-01-10: Largest IV spike — 19.8% change
  • 2018-01-31: Highest IV Rank — 52.3%
  • 2018-01-22: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.77$7.25$51.73$50.39$50.54
Max Pain$46.01$7.50$48.75$47.50$48.75
ATM IV25.6%20.0%30.3%20.9%30.3%
Expected Move7.6%6.0%9.0%6.0%8.7%
HV 20d374.1%17.0%991.2%17.0%991.1%
HV 60d221.7%24.5%562.9%24.6%562.6%
IV Rank30.4%3.8%52.3%8.4%52.3%
IV Percentile41.9%2.0%79.4%3.6%79.4%
Term Structure0.3%-2.0%3.9%3.5%-1.9%
VWIV27.2%21.4%32.4%21.4%30.4%
Skew 25d-0.2%-1.4%0.4%0.3%-1.4%
Skew 10d-1.0%-4.4%0.0%-0.3%-2.1%
Call IV 25d27.3%21.5%31.5%21.5%31.5%
Put IV 25d27.1%21.8%30.4%21.8%30.1%
Bid-Ask Spread %21.989.9728.4311.2528.43
Gamma HHI0.190.120.360.180.14
Net GEX2.7M967.8K5.1M3.4M1.3M
Net DEX-46.6M-121.5M-18.1M-65.3M-22.0M
Net VEX-335.4K-2.6M-204.1K-204.3K-251.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.452.200.631.27
Total Volume11,500.0955,510100,0426,1805,882
Total OI154,922.47636,5742,154,58457,09245,400

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$50.39$47.5020.9%6.0%17.0%8.4%21.4%0.3%3.5%3.4M-65.3M-204.3K0.6311.25N/AN/A3,7882,39236,83420,258
2018-01-03$49.44$47.5021.1%6.1%18.7%9.2%21.6%-0.4%3.9%3.4M-53.4M-215.0K0.8312.33N/AN/A3,3782,79237,40620,454
2018-01-04$49.02$47.5020.8%7.2%19.2%7.8%27.2%-0.1%1.3%3.3M-46.5M-214.5K0.5223.32N/AN/A5,0682,64637,74620,878
2018-01-05$49.15$47.5020.2%7.2%18.3%4.9%25.5%-0.0%0.6%3.8M-50.5M-218.5K0.9724.73N/AN/A2,8022,70840,33820,934
2018-01-08$48.79$47.5020.0%7.1%18.7%3.8%25.7%-0.2%1.3%3.7M-44.8M-207.3K0.9025.97N/AN/A3,1642,84240,51621,006
2018-01-09$48.49$47.5020.8%7.2%18.7%7.6%25.9%-0.3%0.5%3.6M-40.5M-204.1K1.1425.05N/AN/A3,6084,12640,93621,236
2018-01-10$48.95$47.5024.9%7.1%18.3%26.5%25.5%-0.2%1.0%3.8M-47.2M-233.5K1.1721.12N/AN/A3,0843,59441,96422,454
2018-01-11$49.03$47.5024.9%7.1%18.1%26.4%27.1%0.1%0.7%4.0M-49.9M-225.3K0.8825.65N/AN/A4,2303,73641,90422,612
2018-01-12$50.17$47.5025.9%7.4%18.3%31.3%26.1%-0.2%-0.1%4.1M-68.6M-222.7K1.0725.34N/AN/A3,2843,52241,14622,602
2018-01-16$50.19$47.5027.1%7.8%17.9%36.8%27.1%0.2%-0.1%4.2M-69.0M-212.3K1.6322.61N/AN/A2,8984,72841,56622,888
2018-01-17$49.66$47.5026.9%7.7%18.7%35.8%27.4%0.3%0.2%4.5M-61.1M-222.3K1.5721.14N/AN/A2,9904,68241,81623,916
2018-01-18$48.91$47.5026.8%7.7%17.9%35.4%27.3%0.4%-0.3%5.1M-46.8M-220.3K1.9522.74N/AN/A2,7885,45041,93824,124
2018-01-19$49.34$47.5026.9%7.7%18.0%36.3%27.3%0.1%-0.5%1.0M-55.3M-216.8K1.5828.28N/AN/A2,7964,42841,80224,542
2018-01-22$7.25$7.5030.2%9.0%681.3%51.8%32.4%-1.4%0.3%967.8K-121.5M-2.6M0.459.97N/AN/A68,92631,1161,131,1901,023,394
2018-01-23$50.02$48.7526.7%7.7%991.1%35.7%27.0%-0.3%0.3%1.1M-18.1M-218.6K2.2020.65N/AN/A1,8284,01423,67812,896
2018-01-24$51.73$48.7528.5%8.2%991.1%44.2%28.8%-0.2%-1.1%1.6M-31.4M-221.9K0.8421.91N/AN/A5,2944,43024,10813,174
2018-01-25$50.59$48.7528.3%8.1%991.2%43.1%28.7%-0.2%-0.4%1.3M-23.0M-230.1K1.3620.16N/AN/A3,0024,07225,03013,850
2018-01-26$50.59$48.7527.9%8.0%991.2%41.1%28.4%-0.2%-0.5%1.2M-21.5M-230.5K0.9921.83N/AN/A4,5504,50024,79014,606
2018-01-29$50.38$48.7529.4%8.4%991.2%48.1%29.9%-0.1%-1.2%1.3M-20.6M-244.4K1.7726.80N/AN/A2,4204,27627,53415,688
2018-01-30$50.52$48.7530.0%8.6%991.1%50.9%30.0%-0.5%-2.0%1.2M-21.6M-240.7K1.1922.26N/AN/A2,5923,07627,98816,230
2018-01-31$50.54$48.7530.3%8.7%991.1%52.3%30.4%-1.4%-1.9%1.3M-22.0M-251.5K1.2728.43N/AN/A2,5883,29428,77016,630