GOLD Options History — February 2019 In February 2019, GOLD traded between $6.24 and $6.86. ATM implied volatility averaged 31.0%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.2% (HV 20d: 31.2%). Max pain ranged from $6.50 to $6.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.64.
Notable Days 2019-02-08 : Highest Volume — 157,106 contracts2019-02-13 : Largest IV drop — 14.3% change2019-02-01 : Highest IV Rank — 41.0%2019-02-12 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $6.57 $6.24 $6.86 $6.59 $6.31 Max Pain $6.50 $6.50 $6.50 $6.50 $6.50 ATM IV 31.0% 28.1% 33.7% 33.7% 30.3% Expected Move 8.9% 8.0% 9.6% 9.6% 8.7% HV 20d 31.2% 27.2% 36.8% 33.3% 32.3% HV 60d 382.0% 381.9% 382.2% 381.9% 381.9% IV Rank 32.3% 23.3% 41.0% 41.0% 30.2% IV Percentile 60.7% 38.1% 76.6% 76.6% 57.5% Term Structure 0.1% -2.2% 1.4% 0.4% -0.7% VWIV 31.4% 28.3% 34.1% 34.1% 29.1% Skew 25d 0.5% -0.8% 2.9% 0.8% 1.5% Skew 10d 2.1% -1.7% 19.3% 19.3% 2.0% Call IV 25d 31.7% 28.7% 34.2% 33.8% 30.0% Put IV 25d 32.1% 29.3% 34.7% 34.7% 31.5% Bid-Ask Spread % 4.81 3.44 7.70 5.01 3.67 Gamma HHI 0.15 0.13 0.23 0.13 0.16 Net GEX 2.6M 1.0M 5.0M 2.9M 1.3M Net DEX -93.9M -169.5M -20.0M -131.8M -25.2M Net VEX -2.2M -2.4M -1.4M -2.4M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.16 2.01 0.69 0.71 Total Volume 49,308.632 17,574 157,106 44,476 19,332 Total OI 1,566,743.895 1,468,904 1,657,986 1,496,044 1,657,986
Daily Data (19 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 2019-02-01 $6.59 $6.50 33.7% 9.6% 33.3% 41.0% 34.1% 0.8% 0.4% 2.9M -131.8M -2.4M 0.69 5.01 N/A N/A 26,350 18,126 847,562 648,482 2019-02-04 $6.66 $6.50 32.9% 9.5% 33.4% 38.3% 33.7% 0.2% 0.3% 2.8M -99.2M -2.4M 0.88 4.17 N/A N/A 10,960 9,622 842,852 653,516 2019-02-05 $6.66 $6.50 32.5% 9.4% 32.8% 37.0% 32.9% 1.2% 0.3% 2.9M -100.2M -2.4M 0.44 4.95 N/A N/A 16,806 7,452 847,822 661,962 2019-02-06 $6.62 $6.50 31.4% 9.3% 27.3% 33.7% 32.7% -0.2% 1.1% 2.8M -93.4M -2.4M 1.02 4.79 N/A N/A 8,706 8,868 848,510 670,554 2019-02-07 $6.67 $6.50 31.9% 9.4% 27.2% 35.2% 33.2% 0.2% 1.4% 2.6M -84.1M -2.4M 1.13 4.83 N/A N/A 10,834 12,238 849,926 677,272 2019-02-08 $6.83 $6.50 32.5% 9.5% 27.8% 37.0% 33.5% -0.8% 0.9% 3.2M -126.8M -2.4M 0.16 3.78 N/A N/A 135,024 22,082 852,516 678,554 2019-02-11 $6.74 $6.50 32.8% 9.4% 28.6% 38.0% 33.2% -0.7% -0.2% 4.1M -150.3M -2.1M 0.24 4.59 N/A N/A 21,366 5,050 857,978 693,132 2019-02-12 $6.68 $6.50 33.6% 9.6% 28.0% 40.5% 34.0% 0.2% -0.9% 3.6M -138.9M -2.1M 2.01 5.15 N/A N/A 21,154 42,594 856,662 695,626 2019-02-13 $6.45 $6.50 28.7% 8.2% 27.9% 25.2% 29.2% 0.1% 1.3% 1.3M -60.3M -2.0M 0.67 6.06 N/A N/A 28,970 19,308 862,394 729,780 2019-02-14 $6.46 $6.50 28.8% 8.2% 27.9% 25.6% 29.3% -0.2% 1.2% 1.4M -51.6M -2.3M 0.35 7.70 N/A N/A 20,140 7,028 869,242 725,224 2019-02-15 $6.47 $6.50 28.1% 8.0% 27.8% 23.3% 28.3% 0.5% 0.6% 5.0M -147.6M -1.4M 0.41 4.19 N/A N/A 31,802 13,124 872,790 724,200 2019-02-19 $6.79 $6.50 30.3% 8.7% 31.4% 30.1% 30.8% 0.4% -0.9% 2.8M -141.4M -2.1M 0.33 4.73 N/A N/A 78,410 26,094 807,956 660,948 2019-02-20 $6.86 $6.50 29.6% 8.5% 31.3% 27.9% 30.0% -0.1% -0.2% 4.0M -169.5M -2.1M 0.76 5.07 N/A N/A 77,094 58,580 849,648 676,210 2019-02-21 $6.63 $6.50 30.2% 8.6% 34.4% 29.8% 30.0% 1.2% -2.2% 3.1M -114.4M -2.2M 0.50 5.66 N/A N/A 20,520 10,324 895,192 718,618 2019-02-22 $6.51 $6.50 30.1% 8.5% 35.5% 29.6% 29.6% 2.1% -0.8% 1.8M -78.3M -2.2M 0.49 4.38 N/A N/A 40,646 20,024 897,812 722,446 2019-02-25 $6.29 $6.50 30.6% 8.8% 36.8% 31.1% 31.4% -0.8% -0.1% 1.2M -31.2M -2.1M 0.61 5.22 N/A N/A 19,232 11,736 900,198 723,492 2019-02-26 $6.29 $6.50 30.3% 8.8% 36.6% 30.3% 30.6% 0.6% -0.6% 1.1M -20.0M -2.1M 0.28 3.44 N/A N/A 26,890 7,522 907,334 731,328 2019-02-27 $6.24 $6.50 30.0% 8.7% 32.4% 29.3% 30.6% 2.9% 0.9% 1.0M -20.6M -2.1M 0.43 4.09 N/A N/A 15,956 6,900 919,052 733,358 2019-02-28 $6.31 $6.50 30.3% 8.7% 32.3% 30.2% 29.1% 1.5% -0.7% 1.3M -25.2M -2.1M 0.71 3.67 N/A N/A 11,284 8,048 923,286 734,700
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