GOLD Options History — June 2018

In June 2018, GOLD traded between $37.27 and $40.13. ATM implied volatility averaged 23.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.3% (HV 20d: 19.8%). Max pain ranged from $38.75 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2018-06-15: Highest Volume — 10,616 contracts
  • 2018-06-13: Largest IV drop — 19.7% change
  • 2018-06-12: Highest IV Rank — 49.6%
  • 2018-06-25: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.62$37.27$40.13$39.48$38.59
Max Pain$38.81$38.75$40.00$40.00$38.75
ATM IV23.1%20.8%27.5%23.2%22.7%
Expected Move6.4%6.0%7.0%6.6%6.5%
HV 20d19.8%13.9%24.3%24.0%20.9%
HV 60d24.6%21.5%26.2%26.1%21.9%
IV Rank23.7%9.8%49.6%24.1%21.3%
IV Percentile21.7%4.4%63.1%19.4%19.0%
Term Structure3.4%-1.3%4.7%-1.3%4.5%
VWIV22.8%21.4%24.9%23.6%23.0%
Skew 25d-0.0%-0.6%0.5%-0.3%-0.1%
Skew 10d0.2%-0.6%1.1%-0.3%-0.1%
Call IV 25d23.0%21.6%25.3%24.2%23.4%
Put IV 25d23.0%21.4%24.7%23.9%23.3%
Bid-Ask Spread %16.109.7325.1420.8515.28
Gamma HHI0.170.120.290.240.14
Net GEX1.0M593.6K2.1M837.4K1.6M
Net DEX7.4M-2.4M20.1M10.5M-2.4M
Net VEX-322.1K-345.4K-304.9K-309.2K-345.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.502.100.741.48
Total Volume6,292.7624,72810,6166,3387,058
Total OI56,284.95248,70262,43455,23855,426

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$39.48$40.0023.2%6.6%24.0%24.1%23.6%-0.3%-1.3%837.4K10.5M-309.2K0.7420.85N/AN/A3,6442,69432,76622,472
2018-06-04$39.75$38.7524.1%6.4%24.1%29.9%23.1%-0.3%3.5%936.3K8.3M-310.2K1.0914.98N/AN/A2,4402,65833,59822,550
2018-06-05$40.13$38.7522.7%6.3%24.3%21.5%22.4%-0.5%3.5%1.3M2.3M-317.4K0.5013.84N/AN/A5,3322,65633,78622,560
2018-06-06$39.97$38.7523.2%6.3%23.7%24.0%22.9%0.1%4.1%1.2M1.5M-334.4K0.8513.47N/AN/A2,9862,54035,88622,662
2018-06-07$39.66$38.7522.9%6.3%23.8%22.4%22.2%0.0%3.6%917.6K4.7M-337.0K1.2015.40N/AN/A2,5903,11036,77022,678
2018-06-08$39.29$38.7523.1%6.3%16.9%23.5%22.2%-0.1%3.6%975.9K8.2M-326.5K1.1213.19N/AN/A2,4322,71837,55022,230
2018-06-11$39.31$38.7526.5%6.2%16.0%43.7%22.5%0.1%3.5%1.0M7.9M-322.7K1.2915.98N/AN/A2,0642,66438,03422,394
2018-06-12$39.37$38.7527.5%6.3%16.0%49.6%23.0%-0.1%3.4%1.1M7.5M-320.6K0.7912.96N/AN/A4,3663,45238,12222,330
2018-06-13$39.34$38.7522.1%6.3%13.9%17.4%22.2%-0.3%2.9%1.4M7.2M-324.8K0.7616.34N/AN/A4,7443,60239,44622,360
2018-06-14$39.69$38.7520.8%6.0%14.2%9.8%21.4%-0.2%4.0%2.1M2.0M-328.5K1.3415.70N/AN/A2,6903,60239,92622,344
2018-06-15$38.38$38.7521.7%6.2%18.6%15.4%22.3%0.1%3.7%593.6K20.1M-305.6K0.5919.69N/AN/A6,6643,95239,87822,556
2018-06-18$37.47$38.7522.2%6.4%20.4%18.6%22.5%0.4%3.5%814.2K8.7M-318.7K1.2117.46N/AN/A3,0763,71632,43617,450
2018-06-19$37.35$38.7522.5%6.4%19.7%19.9%22.8%-0.2%3.8%599.4K12.2M-304.9K1.5716.78N/AN/A2,2203,47630,67018,032
2018-06-20$37.30$38.7522.1%6.3%19.6%17.8%22.4%0.2%3.9%798.7K11.2M-315.2K2.109.73N/AN/A1,8963,98634,12818,242
2018-06-21$37.27$38.7522.5%6.5%19.1%20.1%23.1%0.3%3.6%754.6K11.8M-315.6K1.9417.63N/AN/A1,8723,63434,34618,636
2018-06-22$37.99$38.7521.8%6.2%20.5%15.6%22.2%-0.2%3.5%1.2M4.0M-335.4K1.8518.27N/AN/A1,9083,53834,77618,746
2018-06-25$37.66$38.7524.5%7.0%20.4%31.7%24.9%-0.6%2.4%986.7K6.9M-328.1K1.5916.52N/AN/A2,1603,43834,94018,832
2018-06-26$37.86$38.7522.3%6.4%20.5%18.7%23.0%0.4%4.7%1.0M5.7M-323.8K1.5825.14N/AN/A2,1963,47634,78818,814
2018-06-27$37.41$38.7523.6%6.8%19.6%26.4%23.8%0.5%3.5%804.1K10.4M-315.4K1.6511.63N/AN/A2,0463,38635,29419,020
2018-06-28$37.69$38.7523.4%6.7%18.8%25.5%23.5%0.4%3.4%950.3K7.5M-324.0K1.3217.21N/AN/A2,3543,11235,45819,052
2018-06-29$38.59$38.7522.7%6.5%20.9%21.3%23.0%-0.1%4.5%1.6M-2.4M-345.4K1.4815.28N/AN/A2,8504,20836,27619,150