GOLD Options History — July 2017

In July 2017, GOLD traded between $42.93 and $46.49. ATM implied volatility averaged 27.9%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.2% (HV 20d: 20.7%). Max pain ranged from $43.75 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2017-07-28: Highest Volume — 5,468 contracts
2017-07-12: Largest IV spike — 8.1% change
2017-07-31: Highest IV Rank — 17.6%
2017-07-10: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.79	$42.93	$46.49	$43.56	$46.49
Max Pain	$44.88	$43.75	$45.00	$43.75	$45.00
ATM IV	27.9%	25.9%	29.5%	25.9%	29.5%
Expected Move	8.2%	7.4%	8.6%	7.4%	8.5%
HV 20d	20.7%	19.5%	21.9%	19.7%	20.4%
HV 60d	24.1%	23.1%	25.5%	25.1%	23.1%
IV Rank	10.2%	1.5%	17.6%	1.5%	17.6%
IV Percentile	15.8%	1.6%	27.8%	1.6%	27.8%
Term Structure	-0.6%	-2.2%	3.0%	2.2%	-2.2%
VWIV	28.5%	26.4%	30.4%	26.4%	29.5%
Skew 25d	0.8%	0.4%	1.1%	1.0%	0.6%
Skew 10d	1.5%	0.7%	2.4%	1.2%	1.6%
Call IV 25d	28.4%	26.1%	29.9%	26.1%	29.6%
Put IV 25d	29.2%	27.1%	30.9%	27.1%	30.2%
Bid-Ask Spread %	11.78	6.88	18.13	14.68	12.80
Gamma HHI	0.34	0.27	0.52	0.28	0.37
Net GEX	4.5M	2.8M	7.3M	3.2M	4.4M
Net DEX	-32.7M	-54.4M	-4.9M	-15.3M	-54.4M
Net VEX	-340.6K	-380.0K	-312.8K	-368.0K	-314.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.36	1.12	1.07	0.58
Total Volume	4,059.2	2,872	5,468	4,476	4,114
Total OI	62,800.1	54,770	68,342	63,392	58,042

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-07-03	$43.56	$43.75	25.9%	7.4%	19.7%	1.5%	26.4%	1.0%	2.2%	3.2M	-15.3M	-368.0K	1.07	14.68	N/A	N/A	2,164	2,312	41,496	21,896
2017-07-05	$44.41	$43.75	27.0%	7.7%	19.5%	6.5%	27.1%	0.6%	3.0%	3.7M	-28.5M	-380.0K	0.81	18.13	N/A	N/A	2,702	2,178	41,708	22,050
2017-07-06	$43.66	$45.00	26.6%	8.4%	19.8%	4.9%	29.1%	0.9%	-0.4%	3.4M	-17.4M	-365.1K	1.10	15.10	N/A	N/A	1,892	2,082	42,002	22,096
2017-07-07	$42.93	$45.00	26.6%	8.5%	19.9%	4.9%	29.5%	0.9%	-0.9%	2.8M	-4.9M	-342.9K	0.68	12.70	N/A	N/A	2,700	1,840	42,082	22,258
2017-07-10	$43.70	$45.00	27.0%	8.6%	21.5%	6.4%	30.4%	1.1%	-1.1%	3.5M	-15.8M	-354.5K	1.04	12.18	N/A	N/A	1,760	1,836	42,556	22,528
2017-07-11	$43.97	$45.00	26.7%	8.5%	20.9%	5.3%	29.6%	0.7%	-0.9%	3.9M	-20.4M	-353.3K	0.99	8.53	N/A	N/A	1,966	1,946	42,714	22,632
2017-07-12	$44.37	$45.00	28.9%	8.3%	21.3%	14.9%	29.3%	1.0%	-0.6%	4.4M	-26.3M	-354.5K	0.92	9.02	N/A	N/A	2,298	2,114	42,870	22,596
2017-07-13	$43.85	$45.00	28.8%	8.2%	21.3%	14.3%	28.7%	1.1%	-0.9%	4.1M	-17.1M	-347.1K	1.12	10.38	N/A	N/A	1,806	2,028	43,148	22,956
2017-07-14	$44.70	$45.00	28.1%	8.1%	20.8%	11.4%	27.8%	0.8%	-0.7%	5.1M	-33.0M	-353.7K	0.91	10.56	N/A	N/A	2,106	1,926	43,202	23,098
2017-07-17	$45.08	$45.00	28.5%	8.2%	21.1%	13.1%	28.4%	0.5%	-1.0%	5.6M	-40.3M	-345.1K	0.70	12.38	N/A	N/A	2,500	1,738	43,442	23,076
2017-07-18	$45.33	$45.00	28.8%	8.2%	20.9%	14.2%	28.5%	0.7%	-1.7%	6.0M	-46.7M	-342.2K	0.69	9.16	N/A	N/A	2,500	1,736	43,912	23,080
2017-07-19	$45.42	$45.00	28.3%	8.1%	20.2%	12.2%	28.4%	0.6%	-1.3%	6.3M	-48.1M	-340.0K	0.77	8.61	N/A	N/A	2,430	1,874	44,358	23,102
2017-07-20	$45.26	$45.00	27.7%	7.9%	20.3%	9.7%	28.0%	0.9%	-0.5%	6.6M	-44.3M	-333.1K	0.76	9.20	N/A	N/A	2,478	1,876	44,604	23,160
2017-07-21	$45.27	$45.00	27.7%	7.9%	20.2%	9.5%	27.6%	0.6%	-0.6%	7.3M	-47.7M	-328.0K	0.79	10.08	N/A	N/A	2,522	1,996	45,090	23,252
2017-07-24	$44.52	$45.00	28.4%	8.2%	20.7%	12.9%	28.5%	0.6%	-1.1%	3.3M	-23.2M	-312.8K	0.78	6.88	N/A	N/A	1,696	1,330	34,514	20,256
2017-07-25	$45.02	$45.00	28.2%	8.1%	20.5%	11.9%	28.1%	0.4%	-1.3%	3.7M	-30.0M	-317.9K	0.76	10.73	N/A	N/A	1,632	1,240	34,742	20,418
2017-07-26	$46.06	$45.00	27.9%	8.0%	21.9%	10.5%	28.3%	0.6%	-1.1%	4.0M	-45.6M	-320.2K	0.73	15.41	N/A	N/A	1,902	1,382	34,912	20,536
2017-07-27	$45.95	$45.00	28.1%	8.1%	21.9%	11.4%	28.4%	0.9%	-0.9%	4.1M	-45.0M	-322.6K	0.65	15.12	N/A	N/A	1,888	1,226	35,154	20,640
2017-07-28	$46.31	$45.00	28.2%	8.1%	20.5%	11.8%	28.6%	0.7%	-0.9%	4.2M	-50.6M	-317.0K	0.36	13.92	N/A	N/A	4,014	1,454	35,072	20,752
2017-07-31	$46.49	$45.00	29.5%	8.5%	20.4%	17.6%	29.5%	0.6%	-2.2%	4.4M	-54.4M	-314.5K	0.58	12.80	N/A	N/A	2,602	1,512	37,262	20,780