GOLD Options History — February 2018

In February 2018, GOLD traded between $40.57 and $50.45. ATM implied volatility averaged 29.8%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 646.9% (HV 20d: 676.6%). Max pain ranged from $46.25 to $48.75. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.21.

Notable Days

  • 2018-02-06: Highest Volume — 11,988 contracts
  • 2018-02-09: Largest IV spike — 13.4% change
  • 2018-02-09: Highest IV Rank — 73.3%
  • 2018-02-09: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.81$40.57$50.45$50.45$40.57
Max Pain$47.43$46.25$48.75$48.75$46.25
ATM IV29.8%27.5%34.2%30.3%29.9%
Expected Move8.4%7.6%9.8%8.1%8.6%
HV 20d676.6%43.6%992.0%991.1%44.4%
HV 60d563.0%562.6%563.2%562.6%563.2%
IV Rank51.4%40.6%73.3%52.6%52.5%
IV Percentile77.1%59.9%93.7%79.8%82.1%
Term Structure-0.7%-3.3%1.3%-1.6%-0.0%
VWIV29.6%24.4%34.8%28.8%30.1%
Skew 25d1.6%0.1%6.4%1.0%1.8%
Skew 10d1.9%-1.0%8.3%-0.3%1.4%
Call IV 25d29.1%24.6%33.8%27.8%29.7%
Put IV 25d30.7%28.4%35.7%28.8%31.5%
Bid-Ask Spread %24.5910.5643.3124.2018.74
Gamma HHI0.140.110.200.150.18
Net GEX-561.4K-1.1M1.2M1.2M-627.7K
Net DEX33.7M-21.1M57.0M-21.1M48.5M
Net VEX-295.3K-345.6K-229.0K-254.1K-318.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.672.261.731.36
Total Volume7,624.2116,16611,9888,5006,420
Total OI58,653.57945,88066,00045,88066,000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$50.45$48.7530.3%8.1%991.1%52.6%28.8%1.0%-1.6%1.2M-21.1M-254.1K1.7324.20N/AN/A3,1125,38828,94416,936
2018-02-02$49.52$48.7530.2%8.2%991.1%51.9%29.9%0.1%-1.5%565.4K-9.4M-279.9K1.1325.81N/AN/A3,4703,92629,82619,450
2018-02-05$46.33$48.7528.6%7.6%991.4%46.2%24.4%3.4%-1.4%-621.1K25.5M-242.7K1.3943.31N/AN/A4,0985,70630,30620,018
2018-02-06$44.66$48.7530.4%8.4%991.5%54.7%28.8%6.4%0.4%-977.0K42.2M-229.0K2.2640.16N/AN/A3,6808,30830,72221,886
2018-02-07$42.64$48.7528.8%8.3%991.6%47.0%28.6%0.3%-0.9%-1.1M54.9M-266.9K1.1530.71N/AN/A4,2684,90031,61026,332
2018-02-08$42.69$47.5030.2%8.7%991.6%53.7%30.6%0.4%-2.1%-917.2K51.9M-273.7K1.2330.11N/AN/A3,3084,07232,87626,162
2018-02-09$41.35$47.5034.2%9.8%991.6%73.3%34.8%1.9%-2.6%-891.7K57.0M-265.8K1.3527.72N/AN/A3,5744,82033,49626,706
2018-02-12$42.79$47.5031.4%9.0%991.7%59.6%30.5%3.1%-1.5%-959.3K50.2M-281.1K0.7635.81N/AN/A4,2583,22833,72427,796
2018-02-13$42.52$47.5030.8%8.8%991.7%56.8%31.0%1.8%-3.3%-796.2K50.0M-279.4K0.9325.00N/AN/A3,4483,22234,55627,594
2018-02-14$45.15$47.5028.7%8.2%991.9%46.3%29.2%1.2%0.5%-822.4K27.6M-306.4K0.6725.86N/AN/A4,6803,14834,96827,712
2018-02-15$45.34$47.5029.1%8.4%991.9%48.6%29.6%1.4%-0.9%-763.3K24.6M-318.8K0.7220.21N/AN/A4,0682,91036,09628,054
2018-02-16$43.80$47.5028.9%8.3%992.0%47.5%29.0%0.7%-0.4%-394.6K37.5M-308.2K0.9221.64N/AN/A3,3003,05036,85028,324
2018-02-20$42.80$47.5030.3%8.7%689.8%54.3%30.9%0.9%0.1%-716.0K30.5M-309.3K1.1617.77N/AN/A3,3383,87230,14623,890
2018-02-21$42.80$46.2529.4%8.4%46.4%49.7%29.9%1.1%0.5%-706.0K31.4M-329.0K1.1213.74N/AN/A3,1043,46831,82425,356
2018-02-22$42.63$46.2529.0%8.3%43.8%47.9%29.5%1.5%0.7%-632.6K31.7M-336.1K1.1715.53N/AN/A2,8363,33033,23225,918
2018-02-23$42.45$46.2527.5%7.9%43.6%40.6%27.4%1.5%1.3%-551.4K32.8M-336.2K1.5717.72N/AN/A2,4803,90434,30426,122
2018-02-26$42.66$46.2527.7%7.9%43.8%41.7%28.7%1.7%0.3%-379.5K31.5M-345.6K1.3622.52N/AN/A2,8483,86435,77627,080
2018-02-27$41.26$46.2529.7%8.5%44.6%51.4%30.4%1.2%-0.5%-600.4K43.1M-330.1K1.0310.56N/AN/A3,6643,79036,47627,350
2018-02-28$40.57$46.2529.9%8.6%44.4%52.5%30.1%1.8%-0.0%-627.7K48.5M-318.1K1.3618.74N/AN/A2,7163,70438,05227,948