GOLD Options History — October 2018 In October 2018, GOLD traded between $35.18 and $41.48. ATM implied volatility averaged 35.9%, placing in the 83.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 3.0% (HV 20d: 38.9%). Max pain ranged from $32.50 to $37.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.66.
Notable Days 2018-10-11 : Highest Volume — 8,440 contracts2018-10-31 : Largest IV spike — 20.1% change2018-10-12 : Highest IV Rank — 100.0%2018-10-31 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $38.50 $35.18 $41.48 $35.18 $39.28 Max Pain $35.54 $32.50 $37.50 $32.50 $37.50 ATM IV 35.9% 27.8% 43.0% 30.5% 43.0% Expected Move 10.4% 8.2% 12.3% 8.7% 12.3% HV 20d 38.9% 29.6% 45.6% 31.1% 43.8% HV 60d 32.6% 27.5% 36.3% 28.0% 35.7% IV Rank 83.4% 51.7% 100.0% 67.3% 100.0% IV Percentile 93.5% 65.1% 100.0% 92.1% 100.0% Term Structure -3.3% -8.3% 3.2% 1.1% -7.8% VWIV 37.5% 28.7% 44.4% 31.1% 44.3% Skew 25d 1.4% -0.6% 7.6% -0.6% 1.5% Skew 10d 2.7% 0.1% 7.5% 0.1% 7.5% Call IV 25d 36.4% 28.7% 41.8% 30.4% 38.3% Put IV 25d 37.8% 29.5% 46.0% 29.7% 39.9% Bid-Ask Spread % 28.65 18.51 67.96 28.68 67.96 Gamma HHI 0.14 0.12 0.16 0.12 0.13 Net GEX 980.6K 762.2K 1.2M 1.0M 849.0K Net DEX -35.8M -76.1M -5.3M -5.3M -30.6M Net VEX -403.4K -427.8K -378.4K -404.3K -378.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.66 0.62 2.82 1.54 2.38 Total Volume 5,710.87 4,404 8,440 6,148 4,484 Total OI 64,855.652 60,326 70,220 65,318 60,746
Daily Data (23 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 2018-10-01 $35.18 $32.50 30.5% 8.7% 31.1% 67.3% 31.1% -0.6% 1.1% 1.0M -5.3M -404.3K 1.54 28.68 N/A N/A 2,424 3,724 36,902 28,416 2018-10-02 $36.29 $32.50 28.6% 8.2% 30.9% 56.3% 29.2% 0.6% 3.2% 1.1M -17.4M -414.1K 1.40 24.89 N/A N/A 2,604 3,640 36,960 28,588 2018-10-03 $36.16 $32.50 28.6% 8.2% 31.0% 56.6% 28.7% 0.8% 2.5% 1.2M -17.1M -414.7K 1.21 22.73 N/A N/A 2,960 3,588 37,234 28,532 2018-10-04 $36.02 $33.75 29.8% 9.0% 30.8% 63.2% 32.2% 1.0% -1.1% 1.1M -14.5M -416.7K 1.29 20.11 N/A N/A 2,750 3,556 37,424 28,732 2018-10-05 $35.63 $33.75 27.8% 8.8% 30.7% 51.7% 31.6% 2.2% -1.4% 1.2M -10.0M -399.2K 1.65 24.91 N/A N/A 2,148 3,542 37,454 28,728 2018-10-08 $35.47 $33.75 30.2% 9.3% 29.6% 65.9% 33.4% 0.3% -2.7% 1.2M -8.2M -393.4K 1.79 19.71 N/A N/A 1,868 3,352 37,340 28,760 2018-10-09 $35.27 $33.75 30.6% 9.2% 29.8% 68.2% 32.5% 0.7% -2.5% 1.2M -6.7M -397.7K 1.59 18.51 N/A N/A 2,148 3,408 37,310 28,836 2018-10-10 $35.67 $33.75 32.4% 9.3% 29.8% 78.6% 33.5% 0.7% -2.0% 1.2M -11.0M -394.7K 1.95 34.60 N/A N/A 1,776 3,458 37,380 28,836 2018-10-11 $39.28 $33.75 34.7% 9.9% 42.9% 92.3% 35.1% 2.0% -1.6% 917.8K -51.7M -415.6K 0.62 28.49 N/A N/A 5,200 3,240 37,378 28,854 2018-10-12 $38.59 $33.75 39.0% 11.2% 44.0% 100.0% 39.3% 0.6% -3.5% 1.1M -46.5M -427.8K 1.33 25.99 N/A N/A 3,196 4,254 38,334 28,782 2018-10-15 $39.63 $36.25 38.4% 11.0% 44.3% 97.1% 39.7% 0.5% -2.9% 922.5K -57.6M -419.0K 1.16 20.74 N/A N/A 2,662 3,098 38,402 29,984 2018-10-16 $39.39 $36.25 36.9% 10.6% 44.8% 89.4% 38.1% 0.5% -7.7% 975.3K -53.3M -408.8K 1.34 37.09 N/A N/A 2,522 3,384 38,434 30,084 2018-10-17 $39.48 $36.25 38.7% 11.1% 44.9% 98.4% 39.2% 1.3% -4.7% 870.5K -54.7M -409.1K 0.78 30.30 N/A N/A 4,708 3,678 38,534 30,126 2018-10-18 $40.88 $37.50 39.6% 11.3% 45.6% 100.0% 41.1% 1.3% -4.3% 924.3K -73.0M -409.4K 1.36 24.18 N/A N/A 2,532 3,446 39,672 30,134 2018-10-19 $40.97 $37.50 38.3% 11.0% 44.8% 94.0% 38.6% 1.4% -5.0% 816.6K -76.1M -403.1K 1.20 22.09 N/A N/A 2,586 3,100 39,958 30,262 2018-10-22 $40.95 $37.50 39.4% 11.3% 39.8% 99.1% 39.7% 2.2% -5.8% 864.8K -47.9M -399.6K 1.79 22.39 N/A N/A 1,764 3,160 33,550 26,776 2018-10-23 $41.48 $37.50 40.4% 11.6% 39.6% 100.0% 41.5% 0.9% -5.0% 824.7K -52.2M -401.1K 1.61 20.58 N/A N/A 1,866 3,004 33,596 27,028 2018-10-24 $41.04 $37.50 42.6% 12.2% 39.7% 100.0% 44.4% 2.5% -8.3% 848.0K -47.9M -396.5K 2.21 21.70 N/A N/A 1,386 3,070 33,746 26,910 2018-10-25 $39.26 $37.50 40.2% 11.5% 43.9% 89.5% 41.6% 1.5% -4.9% 762.2K -30.5M -401.0K 2.24 32.03 N/A N/A 1,390 3,112 33,728 26,980 2018-10-26 $40.16 $37.50 40.0% 11.5% 44.3% 88.6% 41.2% -0.3% -4.9% 833.9K -40.0M -397.1K 2.39 20.87 N/A N/A 1,366 3,268 33,818 26,936 2018-10-29 $39.73 $37.50 40.8% 11.7% 44.6% 92.0% 42.2% 1.9% -4.9% 854.4K -36.3M -391.2K 2.45 32.44 N/A N/A 1,310 3,214 33,970 26,854 2018-10-30 $39.63 $37.50 35.8% 10.3% 43.7% 71.1% 43.8% 7.6% -0.6% 898.7K -35.6M -386.1K 2.82 57.96 N/A N/A 1,154 3,250 33,930 26,742 2018-10-31 $39.28 $37.50 43.0% 12.3% 43.8% 100.0% 44.3% 1.5% -7.8% 849.0K -30.6M -378.4K 2.38 67.96 N/A N/A 1,328 3,156 34,018 26,728
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