GOLD Options History — September 2018

In September 2018, GOLD traded between $30.57 and $35.30. ATM implied volatility averaged 27.1%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.1% (HV 20d: 26.0%). Max pain ranged from $31.25 to $36.25. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.33.

Notable Days

  • 2018-09-14: Highest Volume — 14,240 contracts
  • 2018-09-24: Largest IV spike — 28.7% change
  • 2018-09-24: Highest IV Rank — 73.0%
  • 2018-09-24: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.18$30.57$35.30$31.87$35.30
Max Pain$32.17$31.25$36.25$36.25$32.50
ATM IV27.1%23.7%31.4%25.8%30.3%
Expected Move7.8%6.8%9.0%7.4%8.7%
HV 20d26.0%17.5%31.7%29.6%31.2%
HV 60d25.1%23.5%28.2%24.5%28.0%
IV Rank47.1%27.4%73.0%39.5%66.6%
IV Percentile60.7%34.1%96.0%50.0%91.7%
Term Structure1.5%-0.4%2.8%0.9%1.5%
VWIV27.5%23.8%32.0%26.6%30.3%
Skew 25d0.4%-0.3%1.0%0.1%-0.3%
Skew 10d1.2%0.2%2.9%1.1%2.9%
Call IV 25d27.5%24.1%31.2%26.9%30.2%
Put IV 25d27.9%24.6%32.2%27.0%29.9%
Bid-Ask Spread %21.1011.7134.4111.7134.41
Gamma HHI0.150.120.200.140.12
Net GEX176.6K-233.4K933.5K64.3K933.5K
Net DEX35.1M-5.9M54.7M47.2M-5.9M
Net VEX-278.6K-415.3K-175.0K-199.9K-408.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.552.281.641.00
Total Volume8,317.7896,12214,2408,4027,180
Total OI71,427.26360,68484,78066,99663,936

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$31.87$36.2525.8%7.4%29.6%39.5%26.6%0.1%0.9%64.3K47.2M-199.9K1.6411.71N/AN/A3,1785,22440,81226,184
2018-09-05$31.80$35.0026.0%7.5%29.6%41.0%26.3%-0.1%1.0%27.9K47.6M-205.9K1.7828.16N/AN/A2,6064,65041,69427,174
2018-09-06$31.57$32.5025.9%7.7%28.9%40.5%27.0%0.2%2.1%-17.5K46.9M-204.2K1.6812.26N/AN/A2,6304,41641,86426,882
2018-09-07$31.16$32.5025.8%7.7%28.9%39.6%27.3%0.3%2.0%-99.7K50.6M-195.0K1.5417.97N/AN/A2,9704,56442,28027,266
2018-09-10$30.61$32.5026.8%7.8%28.8%45.5%27.1%0.4%1.4%-225.4K54.7M-176.9K1.6214.04N/AN/A2,7904,51642,73427,568
2018-09-11$30.58$31.2527.4%7.9%28.9%49.0%27.8%1.0%1.1%-233.4K54.5M-175.0K1.0618.04N/AN/A4,1504,39843,15427,656
2018-09-12$30.83$31.2527.1%7.8%28.2%47.6%27.6%-0.1%1.3%-120.0K51.0M-190.7K1.2315.03N/AN/A3,8784,75843,83827,894
2018-09-13$30.59$31.2526.7%7.6%20.1%44.9%27.4%0.2%1.7%-162.1K49.7M-189.4K1.3817.96N/AN/A3,3604,62644,79227,422
2018-09-14$30.57$31.2525.3%7.3%19.8%36.8%25.7%0.3%2.5%-184.3K50.0M-186.3K1.3818.91N/AN/A5,9768,26444,96627,442
2018-09-17$30.84$31.2526.3%7.5%17.5%42.4%26.6%1.0%1.7%-181.3K49.0M-266.4K2.2820.46N/AN/A3,4607,88248,42430,508
2018-09-18$31.21$31.2526.1%7.5%18.2%41.4%26.6%0.7%1.6%-99.6K48.0M-299.2K1.3920.04N/AN/A3,5544,93649,58632,232
2018-09-19$31.71$31.2524.6%7.1%19.0%32.7%24.9%0.3%1.8%46.9K43.6M-317.0K0.8127.65N/AN/A5,7404,66849,60032,446
2018-09-20$32.27$31.2523.7%6.8%19.8%27.4%23.8%0.6%2.8%438.0K36.6M-338.0K1.1015.02N/AN/A3,4683,82051,85232,706
2018-09-21$31.84$31.2524.4%7.0%19.5%31.6%24.0%0.7%1.9%101.2K42.7M-327.1K1.0916.88N/AN/A3,4183,73851,84032,940
2018-09-24$34.11$31.2531.4%9.0%31.0%73.0%31.8%1.0%0.8%553.6K7.0M-393.7K0.5522.14N/AN/A6,0063,33033,58027,104
2018-09-25$34.86$32.5030.0%8.6%31.7%64.6%30.1%0.3%-0.4%826.9K-2.6M-404.7K0.9325.23N/AN/A3,7623,50834,85027,258
2018-09-26$34.59$32.5031.1%8.9%31.4%70.9%32.0%1.0%0.7%806.9K958.3K-400.2K1.3132.81N/AN/A2,8163,67635,25227,710
2018-09-27$35.01$32.5029.3%8.4%31.5%60.5%29.7%0.1%2.4%880.0K-3.8M-415.3K1.4232.08N/AN/A2,5343,58835,59828,074
2018-09-28$35.30$32.5030.3%8.7%31.2%66.6%30.3%-0.3%1.5%933.5K-5.9M-408.4K1.0034.41N/AN/A3,5823,59835,72628,210