Since the August 24 peak (4,735), gold has lost almost 9% and closed at 4,315 — a one-month low, down 3% in the last week alone. Yet the options market is reacting very differently from what one might expect.
Volatility falls together with price
At-the-money implied volatility dropped from 24.7% (September 10) to 21.2%. Protection usually gets more expensive when price falls — here it is the opposite. The decline is orderly: participants are in no hurry to overpay for insurance.
Puts build up steadily
Put open interest in the December series grew 12.6% in two weeks — from 80.0k to 90.1k contracts, day after day without spikes. On September 24, puts were added at 4,000 (+583) and 4,050 (+668). The 4,000 strike is the nearest large protection level at 4.7k contracts.
Calls move higher
The same day calls were closed at 4,850 (−1,269) and 4,750 (−697) and opened at 5,000 (+1,051) and 4,900 (+614) — it looks like upside bets being rolled to further, cheaper strikes. The main call levels near price are 6,000 (17.7k), 4,500 (12.5k) and 5,500 (10.0k).
October expiration recap
The October series expired on September 24 with a strong call bias: 140k calls vs 66k puts. And it was not just far “lottery” strikes — even within ±15% of price there were half again as many calls. The largest strikes, 4,700 and 4,900, were both above price. About 93% of calls expired worthless.
The series Max Pain sat at 4,400 all month; price finished at 4,315 — 2% below.
Expiration removed hedging pressure: call sellers no longer shed their protective futures as price falls. But there is no sign of new upside bets yet — in the November and December series, calls and puts near price grew about equally.
The pull of an expired Max Pain
We track a pattern: when a monthly series expires far from its Max Pain, price often gravitates toward that level the following month — not always reaching it, but trying. On CME data from June to September 2026, among metals (gold, silver, copper) this happened in 5 of 6 cases, and in all five price reached the level. Gold — both times out of two: after the July expiration it reached 4,200, after August — 4,400.
The sample is still small — three months — so this is an observation, not a rule. But for gold, the 4,400 level is worth keeping in view in October.
Gamma
Price is still above the estimated gamma flip at 4,164. Above it the model shows positive dealer gamma: their hedging tends to dampen moves. Below 4,164 that effect disappears.
What we are watching
- 4,164 — gamma flip;
- 4,000 — the nearest dense put protection;
- 4,395–4,400 — Max Pain of the December series and the expired October one.
CME data as of 24.09.2026, December contract (expires 24.11.2026). Not investment advice.