GOLD Options History — December 2018

In December 2018, GOLD traded between $40.52 and $44.33. ATM implied volatility averaged 36.6%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.1% (HV 20d: 33.5%). Max pain ranged from $33.75 to $41.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2018-12-26: Highest Volume — 40,650 contracts
  • 2018-12-06: Largest IV spike — 43.9% change
  • 2018-12-06: Highest IV Rank — 85.2%
  • 2018-12-26: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.37$40.52$44.33$40.63$41.64
Max Pain$40.00$33.75$41.25$33.75$41.25
ATM IV36.6%29.2%47.5%29.2%41.8%
Expected Move10.0%8.4%12.5%8.4%12.0%
HV 20d33.5%26.8%43.1%28.3%43.1%
HV 60d37.8%35.2%40.1%36.9%40.1%
IV Rank52.7%30.4%85.2%30.4%68.2%
IV Percentile88.6%61.1%99.2%61.1%97.2%
Term Structure-0.4%-3.5%2.4%2.0%0.5%
VWIV37.9%31.0%77.0%31.6%50.6%
Skew 25d3.2%-1.4%10.5%1.2%5.7%
Skew 10d3.3%-6.6%20.8%3.0%5.4%
Call IV 25d34.2%26.8%42.8%31.0%41.3%
Put IV 25d37.4%32.3%47.0%32.3%47.0%
Bid-Ask Spread %65.0145.5283.2045.5256.26
Gamma HHI0.180.110.260.170.11
Net GEX879.6K295.2K1.2M943.7K329.9K
Net DEX-43.8M-74.9M-7.5M-33.1M-7.5M
Net VEX-258.4K-288.8K-223.3K-279.4K-269.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.042.901.780.57
Total Volume3,895.47440640,6504065,772
Total OI57,570.31646,82060,70659,49050,416

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$40.63$33.7529.2%8.4%28.3%30.4%31.6%1.2%2.0%943.7K-33.1M-279.4K1.7845.52N/AN/A14626032,81826,672
2018-12-04$41.12$33.7532.3%9.3%28.5%39.7%34.9%9.6%-1.4%986.4K-38.8M-279.0K2.9077.39N/AN/A18453432,81426,658
2018-12-05$40.99$33.7533.0%9.5%28.3%41.7%37.6%10.5%-1.3%968.7K-34.5M-288.8K2.9083.20N/AN/A18453432,81426,658
2018-12-06$41.78$40.0047.5%9.9%28.8%85.2%34.1%-0.3%-0.2%1.0M-46.8M-275.4K0.5359.70N/AN/A47024832,86426,632
2018-12-07$42.56$41.2539.8%9.3%29.4%62.2%31.0%5.1%1.2%1.0M-54.5M-260.8K1.0662.35N/AN/A68672632,80626,528
2018-12-10$43.32$41.2538.8%9.2%29.6%59.0%36.9%-1.3%1.2%1.1M-61.5M-263.2K0.3170.49N/AN/A99631233,30426,690
2018-12-11$42.86$41.2537.3%9.8%28.4%54.6%34.3%2.2%-1.2%1.1M-59.4M-254.1K0.5059.62N/AN/A65433033,25026,770
2018-12-12$43.83$41.2532.1%9.2%27.9%38.9%32.3%-1.4%2.4%1.2M-68.9M-250.8K0.3656.39N/AN/A1,00036033,32826,744
2018-12-13$44.33$41.2532.5%9.3%26.8%40.1%31.1%-0.1%0.6%1.2M-74.9M-238.9K0.4360.90N/AN/A1,34857633,36226,790
2018-12-14$42.91$41.2533.2%9.5%29.7%42.4%32.1%0.9%1.6%1.2M-60.1M-241.4K0.6157.39N/AN/A1,13869833,45426,868
2018-12-17$42.86$41.2536.2%10.4%29.7%51.3%35.5%1.6%-2.7%1.2M-58.6M-245.9K1.0164.97N/AN/A27027433,51626,926
2018-12-18$43.54$41.2531.3%9.0%30.1%36.7%33.7%3.4%1.6%747.5K-59.6M-263.6K0.7380.98N/AN/A31022633,28427,262
2018-12-19$40.52$41.2536.5%10.5%40.2%52.4%38.1%4.6%-2.1%627.5K-27.8M-253.1K1.0966.30N/AN/A67273232,99627,304
2018-12-20$42.20$41.2538.9%11.1%41.4%59.4%39.8%3.3%-3.4%595.3K-44.8M-263.8K1.0065.07N/AN/A91891633,10827,350
2018-12-21$41.32$41.2534.0%9.7%41.0%44.8%34.3%9.4%2.2%1.0M-33.9M-258.8K0.4671.71N/AN/A1,99891633,35827,348
2018-12-24$42.80$41.2535.7%10.2%42.7%49.9%36.3%0.6%-2.9%601.6K-24.4M-223.3K0.5669.99N/AN/A2,0321,14222,98623,834
2018-12-26$42.80$41.2543.5%12.5%42.0%73.2%77.0%4.3%-3.5%295.2K-18.1M-258.9K0.0468.75N/AN/A38,9941,65623,21223,816
2018-12-27$43.01$41.2542.5%12.2%41.4%70.2%39.7%1.3%-2.2%622.0K-25.8M-241.0K0.5358.29N/AN/A3,7842,01824,26225,034
2018-12-28$41.64$41.2541.8%12.0%43.1%68.2%50.6%5.7%0.5%329.9K-7.5M-269.3K0.5756.26N/AN/A3,6882,08425,11225,304