GOLD Options History — March 2018

In March 2018, GOLD traded between $40.31 and $42.62. ATM implied volatility averaged 28.8%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.7% (HV 20d: 31.5%). Max pain ranged from $42.50 to $46.25. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2018-03-15: Highest Volume — 11,446 contracts
  • 2018-03-19: Largest IV spike — 8.4% change
  • 2018-03-01: Highest IV Rank — 65.1%
  • 2018-03-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.55$40.31$42.62$40.51$41.63
Max Pain$42.86$42.50$46.25$46.25$42.50
ATM IV28.8%26.1%32.6%32.6%28.2%
Expected Move8.2%7.5%9.3%9.3%8.1%
HV 20d31.5%19.0%45.1%44.4%28.9%
HV 60d563.2%563.2%563.3%563.2%563.3%
IV Rank51.8%36.6%65.1%65.1%53.5%
IV Percentile72.2%41.3%90.1%90.1%70.6%
Term Structure1.2%-2.0%2.9%-2.0%2.4%
VWIV29.4%27.3%33.1%33.1%27.5%
Skew 25d2.0%-0.7%3.7%1.1%1.9%
Skew 10d2.1%0.3%4.6%0.8%1.2%
Call IV 25d28.3%25.5%32.9%32.9%27.8%
Put IV 25d30.4%28.4%34.0%34.0%29.7%
Bid-Ask Spread %31.9317.9943.9217.9943.27
Gamma HHI0.190.150.220.170.21
Net GEX-137.7K-1.1M760.3K-687.3K609.2K
Net DEX26.0M-5.4M47.5M47.5M4.8M
Net VEX-346.1K-373.7K-321.9K-334.6K-361.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.722.451.151.22
Total Volume6,601.2384,82811,4467,0085,106
Total OI60,063.23844,53474,05867,13047,944

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$40.51$46.2532.6%9.3%44.4%65.1%33.1%1.1%-2.0%-687.3K47.5M-334.6K1.1517.99N/AN/A3,2663,74238,38428,746
2018-03-02$40.93$46.2530.1%8.6%44.9%53.3%31.1%-0.7%0.3%-636.6K43.8M-340.7K0.9828.45N/AN/A3,0602,98439,14429,416
2018-03-05$41.12$42.5030.2%8.4%45.1%53.5%30.3%2.6%0.8%-617.8K44.7M-332.4K1.2841.85N/AN/A2,2842,92239,46829,494
2018-03-06$41.91$42.5030.3%8.4%40.7%54.3%30.7%1.4%1.5%-350.8K35.2M-349.3K1.3343.92N/AN/A2,4063,19039,59829,690
2018-03-07$41.53$42.5030.3%8.7%39.0%54.3%31.4%2.1%0.9%-607.8K39.4M-348.4K1.3124.34N/AN/A2,4863,25439,70430,212
2018-03-08$41.59$42.5027.8%8.3%35.6%42.2%30.3%3.1%1.4%-622.2K39.6M-348.6K1.5739.17N/AN/A1,9703,09640,24230,132
2018-03-09$41.42$42.5026.7%8.1%35.6%36.6%29.1%2.2%1.1%-773.8K42.6M-335.1K1.4639.45N/AN/A1,9642,86440,41430,242
2018-03-12$41.77$42.5028.6%8.3%33.9%45.8%30.0%3.7%0.5%-612.4K39.2M-332.8K1.4434.72N/AN/A2,2563,24040,48830,332
2018-03-13$42.19$42.5029.6%8.2%31.7%50.6%30.0%2.4%1.4%-328.8K32.7M-347.4K1.3333.39N/AN/A2,2322,97041,01830,688
2018-03-14$42.33$42.5027.9%8.0%31.7%42.4%28.9%1.9%2.0%-230.6K32.3M-341.6K2.1731.16N/AN/A2,4325,28041,02030,678
2018-03-15$41.51$42.5027.7%7.9%23.0%50.6%28.2%2.8%1.0%-1.1M40.3M-321.9K0.9031.01N/AN/A6,0185,42841,10629,964
2018-03-16$41.68$42.5026.1%7.5%23.0%41.3%27.3%2.9%2.2%161.4K31.5M-345.8K1.9632.76N/AN/A2,8305,55644,30429,754
2018-03-19$41.13$42.5028.3%8.1%20.4%54.2%28.6%2.4%1.8%7.3K18.1M-337.4K1.7328.89N/AN/A3,1785,50022,70821,826
2018-03-20$41.13$42.5027.2%7.8%19.0%47.8%28.5%2.1%1.9%42.7K19.5M-337.2K2.4531.12N/AN/A2,4025,88223,24022,158
2018-03-21$42.07$42.5026.8%7.7%21.0%45.4%27.7%1.8%2.9%354.4K10.5M-350.0K1.7325.92N/AN/A3,0105,21823,72022,320
2018-03-22$40.31$42.5028.2%8.1%25.7%53.6%28.3%2.2%1.5%28.9K19.5M-339.7K1.0229.35N/AN/A3,0543,11823,47822,408
2018-03-23$42.04$42.5029.5%8.4%30.2%60.9%29.6%2.0%0.5%553.3K2.0M-369.9K1.0725.80N/AN/A3,2643,50623,66022,586
2018-03-26$42.62$42.5029.5%8.5%30.6%61.1%29.3%0.9%1.6%760.3K-5.4M-373.7K0.7225.40N/AN/A3,5962,60623,99222,364
2018-03-27$41.92$42.5029.4%8.4%28.6%60.3%29.3%1.8%0.8%680.8K836.3K-367.5K1.0231.22N/AN/A2,7802,84024,75222,416
2018-03-28$41.20$42.5029.5%8.4%28.7%61.0%29.0%2.1%0.7%428.3K8.6M-352.1K1.1231.36N/AN/A2,7483,08824,92822,590
2018-03-29$41.63$42.5028.2%8.1%28.9%53.5%27.5%1.9%2.4%609.2K4.8M-361.6K1.2243.27N/AN/A2,2982,80825,11422,830