GOLD Options History — July 2018

In July 2018, GOLD traded between $35.95 and $38.49. ATM implied volatility averaged 26.0%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.9% (HV 20d: 22.1%). Max pain ranged from $36.25 to $38.75. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.66.

Notable Days

  • 2018-07-19: Highest Volume — 8,194 contracts
  • 2018-07-11: Largest IV spike — 28.1% change
  • 2018-07-31: Highest IV Rank — 58.9%
  • 2018-07-31: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.92$35.95$38.49$37.98$36.98
Max Pain$37.26$36.25$38.75$38.75$36.25
ATM IV26.0%21.7%29.0%23.4%29.0%
Expected Move7.7%6.7%8.3%6.7%8.3%
HV 20d22.1%19.5%25.3%21.3%19.5%
HV 60d21.4%20.4%22.0%21.9%21.4%
IV Rank41.1%15.5%58.9%25.5%58.9%
IV Percentile52.3%9.5%79.4%27.4%79.4%
Term Structure-1.1%-4.0%4.2%4.2%-4.0%
VWIV27.4%23.9%29.3%23.9%29.3%
Skew 25d0.0%-0.8%0.8%-0.8%-0.4%
Skew 10d-0.3%-1.8%0.6%0.1%-1.8%
Call IV 25d27.5%24.5%30.0%24.5%30.0%
Put IV 25d27.5%23.7%29.7%23.7%29.7%
Bid-Ask Spread %16.019.1325.2015.3225.20
Gamma HHI0.140.120.150.130.14
Net GEX450.5K-290.4K1.4M1.1M686.0K
Net DEX18.6M58.8K30.4M5.0M15.8M
Net VEX-289.6K-337.2K-256.2K-329.0K-299.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.762.861.432.65
Total Volume6,376.9525,6608,1945,9926,476
Total OI59,096.1953,79465,46456,49859,888

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$37.98$38.7523.4%6.7%21.3%25.5%23.9%-0.8%4.2%1.1M5.0M-329.0K1.4315.32N/AN/A2,4663,52636,74419,754
2018-07-03$38.38$38.7524.0%6.9%21.3%29.2%24.2%-0.3%3.8%1.3M1.4M-336.9K1.2124.53N/AN/A2,6123,15636,92819,750
2018-07-05$38.49$37.5023.2%7.8%21.4%24.1%27.7%0.0%-0.9%1.4M58.8K-337.2K1.2612.47N/AN/A2,6143,29037,04019,950
2018-07-06$38.05$37.5021.9%7.7%21.6%16.6%27.9%-0.0%-0.5%953.7K6.5M-319.5K1.2812.77N/AN/A2,4863,17437,08620,224
2018-07-09$38.02$37.5022.2%7.6%21.4%18.6%28.0%-0.4%-0.3%962.4K7.4M-312.4K1.5814.13N/AN/A2,6064,11037,36620,358
2018-07-10$37.97$37.5021.7%7.4%21.4%15.5%27.0%-0.1%-0.7%767.3K10.4M-310.5K1.5313.19N/AN/A2,5623,91037,57621,146
2018-07-11$36.49$37.5027.8%8.0%25.2%51.7%28.2%0.3%-1.5%-75.9K26.5M-273.5K1.0612.35N/AN/A3,4863,71237,72821,416
2018-07-12$36.52$37.5026.2%7.5%25.3%42.2%26.6%-0.1%-0.9%322.3K24.0M-280.1K1.269.13N/AN/A2,8663,60039,60221,774
2018-07-13$36.01$37.5026.5%7.6%25.1%43.9%27.2%0.7%-1.1%-12.4K30.4M-262.7K1.6816.45N/AN/A2,3443,94439,73822,118
2018-07-16$36.23$37.5027.0%7.7%23.0%46.5%27.2%0.6%-1.2%34.8K28.5M-265.7K1.8516.23N/AN/A2,1043,89640,08222,808
2018-07-17$36.31$37.5026.7%7.7%21.6%45.2%27.8%0.3%-1.1%39.9K27.6M-268.9K1.3912.73N/AN/A2,9984,17840,25022,842
2018-07-18$36.43$37.5026.9%7.7%21.7%46.2%27.1%0.4%-1.1%-106.1K27.1M-273.0K2.0313.25N/AN/A1,9804,02640,02223,164
2018-07-19$36.17$37.5027.1%7.8%21.8%47.5%27.7%0.0%-1.5%-290.4K29.3M-267.8K0.7613.13N/AN/A4,6583,53640,20823,058
2018-07-20$36.62$37.5027.0%7.7%22.3%46.6%27.1%-0.5%-1.3%374.3K21.5M-277.4K1.4913.67N/AN/A2,3563,50642,37023,094
2018-07-23$35.95$37.5027.9%8.0%21.8%51.8%28.2%0.0%-2.0%178.9K25.0M-256.2K1.5515.45N/AN/A2,2523,50032,99420,800
2018-07-24$36.41$36.2527.5%7.9%22.4%49.5%27.8%-0.0%-2.2%330.7K21.2M-274.9K1.6515.54N/AN/A2,2843,76033,56021,514
2018-07-25$36.55$36.2527.5%7.9%22.3%49.4%28.3%-0.2%-1.8%369.6K20.3M-281.1K1.9720.65N/AN/A1,9263,79233,80622,056
2018-07-26$36.42$36.2527.7%7.9%22.0%51.1%27.9%-0.2%-2.6%306.6K21.4M-274.1K2.6715.05N/AN/A1,7744,73433,90222,062
2018-07-27$36.53$36.2526.8%7.7%21.8%45.6%27.3%0.4%-1.9%382.5K21.3M-291.4K2.8622.78N/AN/A1,6884,82034,79223,116
2018-07-30$36.81$36.2528.7%8.2%20.1%57.1%29.1%0.8%-3.6%450.1K19.8M-289.9K1.7322.16N/AN/A2,6404,56834,89823,436
2018-07-31$36.98$36.2529.0%8.3%19.5%58.9%29.3%-0.4%-4.0%686.0K15.8M-299.7K2.6525.20N/AN/A1,7744,70236,13823,750