How GOLD option prices change across strikes and expiries: the implied volatility (IV) of every call and put, the skew between puts and calls, the term structure.
3.3points of put skew · puts 2% below against calls 2% above, 27 Nov expiryLive
In plain words: In the 27 Nov expiry, puts 2% below the price (26.7%) cost more than calls 2% above (23.4%): buyers lean towards protection against a fall.
ATM IV
24.4%
27 Nov expiry
Put 2% below
26.7%
1,33,000 put
Call 2% above
23.4%
1,39,000 call
Skew 2% away
+3.3
put minus call IV
ATM IV at the open
22.3%
+2.1 since
Term structure
24.4%
nearest to 2nd expiry
Volatility smile
IV by strike for the 27 Nov expiry · grey: the other expiries · tap the chart
CallsPutsOther expiries (out-of-the-money side)GOLD futures now
Term structure
ATM IV for each expiry
IV grid
Every strike within 10 strikes of the price, for each expiry. Warmer = dearer options. Out of the money: puts below the ATM strike, calls above (the ones traders mostly buy).
Strike
27 Nov (15d)
31 Dec (49d)
1,41,000
23.2
–
1,40,500
26.4
–
1,40,000
23.2
12.2
1,39,500
24.5
–
1,39,000
23.4
–
1,38,500
23.7
–
1,38,000
23.9
–
1,37,500
28.0
–
1,37,000
24.2
–
1,36,500
9.1
–
1,36,000 ATM
24.4
–
1,35,500
24.5
–
1,35,000
24.7
–
1,34,500
19.8
–
1,34,000
25.0
–
1,33,500
–
–
1,33,000
26.7
–
1,32,500
–
–
1,32,000
27.2
–
1,31,500
–
–
1,31,000
27.4
–
Skew history
A long daily skew history is kept for NIFTY only (see it here). For GOLD this page shows the skew from today's recorded option prices.
What is volatility skew?
Options at different strikes trade at different implied volatilities (IV). In Indian index options, puts below the price usually cost more than calls the same distance above, because traders pay extra to protect against a fall. That difference is the skew. When it rises, fear is rising; when it falls or turns negative, traders are relaxed or even expect a rise.
How to read the IV grid
Down a column: the smile for one expiry. A deep "U" means far strikes are dear.
Across a row: the term structure for one strike. Nearer expiries are often dearer before events.
Warm cells are expensive options to buy and rich options to sell.
How we work it out
Every minute we record the price of each GOLD option near the money. This page takes the latest minute (22:19) and works out the IV of each one with the Black-Scholes model, priced off the forward the options themselves imply at the ATM strike, so calls and puts agree.
Information only, not investment advice.
What is GOLD volatility skew today?
It is shown at the top of this page: how much more implied volatility GOLD puts below the price carry than calls the same distance above. A positive number means puts are dearer.
Why do puts usually cost more than calls?
Investors and funds buy puts to protect against a fall, and falls tend to be sharper than rises, so option sellers charge more for downside protection.
What does a negative skew mean?
Calls above the price cost more than puts below it: traders are paying for a move up, or have stopped worrying about a fall.
What is an IV grid?
A table of implied volatility for every strike (rows) and expiry (columns). Down a column is the volatility smile; across a row is the term structure.
How often is it updated?
Every minute during market hours, from our recorded option prices. After the close the page shows the day's final reading. The NIFTY daily skew history is added each evening.