GOLD Options History — November 2018

In November 2018, GOLD traded between $38.99 and $42.12. ATM implied volatility averaged 35.8%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 2.2% (HV 20d: 38.0%). Max pain ranged from $33.75 to $37.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.07.

Notable Days

  • 2018-11-16: Highest Volume — 5,898 contracts
  • 2018-11-12: Largest IV spike — 63.9% change
  • 2018-11-12: Highest IV Rank — 100.0%
  • 2018-11-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.74$38.99$42.12$41.83$39.88
Max Pain$34.11$33.75$37.50$37.50$33.75
ATM IV35.8%31.1%52.4%40.3%31.8%
Expected Move9.8%9.1%11.6%11.6%9.1%
HV 20d38.0%27.9%49.1%48.4%27.9%
HV 60d36.3%35.1%38.0%37.8%36.9%
IV Rank56.7%38.1%100.0%88.7%38.1%
IV Percentile90.3%82.5%100.0%98.4%82.5%
Term Structure2.4%-2.9%6.5%-2.9%1.4%
VWIV35.0%31.9%40.2%40.2%31.9%
Skew 25d0.0%-3.1%3.5%-0.7%0.1%
Skew 10d0.8%-5.3%5.9%0.9%2.6%
Call IV 25d35.2%32.6%40.5%40.5%33.0%
Put IV 25d35.3%33.1%39.9%39.9%33.1%
Bid-Ask Spread %54.1031.1780.3080.3047.93
Gamma HHI0.150.130.210.130.17
Net GEX900.6K658.7K1.2M919.8K903.1K
Net DEX-38.2M-54.9M-21.4M-54.9M-26.4M
Net VEX-336.8K-377.5K-286.1K-377.5K-286.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.071.172.992.361.41
Total Volume4,453.5243,5785,8984,7343,578
Total OI60,71658,43063,15861,04659,440

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$41.83$37.5040.3%11.6%48.4%88.7%40.2%-0.7%-2.9%919.8K-54.9M-377.5K2.3680.30N/AN/A1,4083,32633,92027,126
2018-11-02$41.10$37.5037.3%10.7%48.8%75.8%40.1%0.7%-0.4%955.0K-46.7M-375.6K2.9969.67N/AN/A1,1343,39433,97427,048
2018-11-05$41.47$33.7537.8%10.2%48.6%78.0%35.8%2.0%1.6%955.4K-47.7M-363.4K2.4767.32N/AN/A1,3103,23233,95427,308
2018-11-06$41.08$33.7536.5%9.4%48.7%72.6%33.6%1.1%5.4%1.0M-44.8M-364.8K2.3759.98N/AN/A1,5123,58634,05627,498
2018-11-07$40.70$33.7533.3%9.3%49.1%59.4%34.0%-2.0%4.1%1.0M-40.3M-363.3K1.8171.37N/AN/A1,5962,88434,07427,778
2018-11-08$41.03$33.7531.1%9.7%35.9%50.0%34.3%-0.6%3.8%1.1M-44.7M-357.2K1.8754.22N/AN/A1,4782,76634,22227,840
2018-11-09$40.63$33.7532.0%9.6%35.4%53.8%33.7%1.1%3.7%1.0M-39.7M-356.2K2.3854.53N/AN/A1,2162,89634,26227,862
2018-11-12$39.70$33.7552.4%9.5%35.3%100.0%34.4%-0.8%4.7%954.5K-29.8M-348.3K2.3858.03N/AN/A1,2302,92634,24428,030
2018-11-13$38.99$33.7550.1%9.7%35.9%93.0%35.5%-1.9%2.5%904.2K-21.4M-337.8K2.3760.78N/AN/A1,2582,98034,23828,038
2018-11-14$40.08$33.7534.5%9.9%37.2%46.1%35.5%-0.7%2.3%868.8K-33.0M-333.9K2.0048.36N/AN/A1,4422,87834,24228,106
2018-11-15$40.59$33.7532.9%9.4%35.3%41.5%35.1%1.2%1.0%1.2M-38.4M-344.1K1.6846.02N/AN/A1,8623,13034,45628,106
2018-11-16$40.80$33.7533.8%9.7%35.3%44.1%33.7%0.4%1.5%658.7K-42.8M-329.3K1.1733.31N/AN/A2,7223,17634,78428,374
2018-11-19$40.84$33.7534.3%9.8%35.3%45.6%33.8%-0.3%5.0%776.0K-35.6M-339.6K1.9571.18N/AN/A1,5022,93432,10826,322
2018-11-20$40.87$33.7535.5%10.2%35.0%49.2%36.2%0.0%0.5%764.7K-36.6M-326.9K2.1531.17N/AN/A1,4943,20832,21826,296
2018-11-21$42.12$33.7533.2%9.5%36.4%42.3%34.0%2.8%1.8%719.5K-46.2M-319.8K2.0343.83N/AN/A1,4482,93632,34026,550
2018-11-23$41.02$33.7532.9%9.4%33.9%41.3%35.7%-2.6%6.5%864.5K-40.3M-312.9K2.0651.42N/AN/A1,4122,90432,58626,542
2018-11-26$40.73$33.7534.2%9.8%33.2%45.2%35.3%-3.1%2.5%820.9K-34.2M-315.5K2.2355.14N/AN/A1,3162,94032,58626,546
2018-11-27$39.98$33.7533.6%9.6%33.7%43.6%34.2%1.0%4.1%767.9K-27.3M-304.2K2.2940.38N/AN/A1,2742,91632,63226,662
2018-11-28$40.91$33.7532.7%9.4%34.6%40.7%33.2%0.1%0.8%877.8K-35.0M-309.3K1.8140.66N/AN/A1,5542,81832,62826,714
2018-11-29$41.10$33.7532.8%9.4%34.4%41.1%34.0%3.5%0.4%877.4K-36.5M-306.0K1.7050.53N/AN/A1,4602,48832,64626,680
2018-11-30$39.88$33.7531.8%9.1%27.9%38.1%31.9%0.1%1.4%903.1K-26.4M-286.1K1.4147.93N/AN/A1,4822,09632,79626,644