GOLD Options History — March 2019 In March 2019, GOLD traded between $6.15 and $7.25. ATM implied volatility averaged 28.2%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 3.6% (HV 20d: 31.8%). Max pain ranged from $6.50 to $6.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.66.
Notable Days 2019-03-25 : Highest Volume — 136,116 contracts2019-03-11 : Largest IV drop — 8.1% change2019-03-04 : Highest IV Rank — 33.7%2019-03-04 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $6.61 $6.15 $7.25 $6.15 $6.86 Max Pain $6.50 $6.50 $6.50 $6.50 $6.50 ATM IV 28.2% 25.2% 31.4% 29.3% 27.9% Expected Move 8.3% 7.6% 9.0% 8.6% 7.6% HV 20d 31.8% 27.4% 35.5% 32.5% 29.9% HV 60d 381.9% 381.7% 382.0% 381.9% 381.8% IV Rank 23.6% 14.0% 33.7% 27.1% 22.5% IV Percentile 40.5% 22.2% 65.1% 45.6% 37.7% Term Structure 0.5% -0.5% 2.9% 0.3% -0.4% VWIV 29.1% 26.9% 32.0% 30.6% 26.9% Skew 25d 1.1% -0.2% 2.6% 1.8% 0.6% Skew 10d 2.5% -3.3% 11.9% 3.1% -0.5% Call IV 25d 28.4% 25.2% 30.9% 29.9% 28.6% Put IV 25d 29.6% 26.1% 33.0% 31.6% 29.2% Bid-Ask Spread % 4.49 2.65 17.02 3.40 3.04 Gamma HHI 0.17 0.13 0.20 0.15 0.18 Net GEX 3.1M 560.3K 7.2M 560.3K 3.9M Net DEX -107.5M -268.7M 7.7M 7.7M -149.7M Net VEX -2.1M -2.4M -1.6M -2.0M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.25 1.72 0.77 0.64 Total Volume 50,793.81 20,646 136,116 41,366 32,122 Total OI 1,704,693.238 1,640,552 1,789,154 1,662,064 1,789,154
Daily Data (21 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 2019-03-01 $6.15 $6.50 29.3% 8.6% 32.5% 27.1% 30.6% 1.8% 0.3% 560.3K 7.7M -2.0M 0.77 3.40 N/A N/A 23,340 18,026 925,124 736,940 2019-03-04 $6.24 $6.50 31.4% 9.0% 32.9% 33.7% 32.0% 1.3% 0.1% 4.4M -92.4M -1.6M 0.57 3.90 N/A N/A 26,148 14,904 909,232 731,320 2019-03-05 $6.33 $6.50 29.6% 8.5% 33.2% 27.9% 29.9% 2.1% 0.5% 1.8M -31.5M -2.1M 1.47 2.78 N/A N/A 11,680 17,122 922,890 743,134 2019-03-06 $6.20 $6.50 30.1% 8.8% 33.8% 29.6% 30.6% 0.6% 0.8% 1.1M -9.2M -2.1M 0.90 2.65 N/A N/A 10,846 9,800 927,486 757,998 2019-03-07 $6.29 $6.50 30.3% 8.6% 34.4% 30.2% 30.1% 1.5% -0.3% 1.6M -19.1M -2.1M 0.48 3.00 N/A N/A 15,180 7,278 930,220 763,042 2019-03-08 $6.45 $6.50 31.0% 8.6% 35.5% 32.5% 30.6% 2.6% 1.5% 2.1M -58.8M -2.2M 0.25 17.02 N/A N/A 43,688 11,044 931,340 766,154 2019-03-11 $6.57 $6.50 28.5% 8.7% 35.2% 24.6% 30.2% 0.5% -0.2% 2.8M -43.9M -2.4M 1.50 4.20 N/A N/A 35,874 53,650 941,444 765,944 2019-03-12 $6.61 $6.50 28.1% 8.6% 35.0% 23.2% 29.7% 2.0% 0.1% 3.4M -99.1M -2.2M 0.29 4.48 N/A N/A 17,814 5,244 954,644 768,824 2019-03-13 $6.67 $6.50 27.1% 8.3% 35.1% 20.0% 28.9% 1.3% 0.1% 4.1M -121.6M -2.2M 0.35 4.00 N/A N/A 42,238 14,780 960,574 774,002 2019-03-14 $6.55 $6.50 27.0% 8.4% 33.3% 19.6% 28.9% 0.8% -0.2% 2.9M -81.5M -2.2M 0.71 3.94 N/A N/A 23,432 16,626 969,810 781,728 2019-03-15 $6.55 $6.50 25.7% 8.2% 33.3% 15.5% 28.2% 0.9% -0.2% 1.9M -101.6M -2.1M 0.55 6.22 N/A N/A 28,208 15,586 975,114 787,924 2019-03-18 $6.47 $6.50 25.2% 7.8% 33.6% 14.0% 27.4% 1.3% 2.1% 1.2M -54.6M -2.1M 0.66 3.36 N/A N/A 28,048 18,472 900,842 742,544 2019-03-19 $6.43 $6.50 25.5% 7.9% 28.7% 15.1% 28.0% 0.7% 0.9% 894.0K -54.3M -2.1M 1.72 3.56 N/A N/A 14,998 25,862 918,152 755,520 2019-03-20 $6.55 $6.50 26.6% 8.1% 29.4% 18.5% 28.2% 0.1% 2.0% 1.8M -80.7M -2.2M 0.38 8.01 N/A N/A 34,204 13,142 923,550 743,848 2019-03-21 $6.63 $6.50 27.1% 8.1% 27.4% 19.9% 28.1% 0.1% 2.9% 2.3M -104.5M -2.2M 0.35 3.84 N/A N/A 25,364 8,852 929,298 751,316 2019-03-22 $6.82 $6.50 28.6% 8.4% 28.1% 24.8% 29.2% -0.2% 2.3% 3.5M -160.5M -2.2M 0.36 3.38 N/A N/A 41,550 15,118 937,298 757,992 2019-03-25 $7.13 $6.50 29.5% 8.4% 28.3% 27.5% 30.5% 1.7% -0.4% 5.1M -228.5M -2.2M 0.40 3.62 N/A N/A 97,284 38,832 925,224 753,696 2019-03-26 $7.25 $6.50 27.8% 7.9% 28.4% 22.2% 27.8% 1.5% -0.3% 6.4M -268.4M -2.3M 0.36 3.24 N/A N/A 73,610 26,360 961,732 781,774 2019-03-27 $7.14 $6.50 28.2% 8.0% 28.9% 23.6% 27.7% 1.7% -0.5% 6.0M -236.6M -2.3M 0.35 4.00 N/A N/A 32,188 11,422 969,938 777,942 2019-03-28 $6.94 $6.50 28.2% 8.0% 31.4% 23.7% 28.1% 1.3% -0.0% 7.2M -268.7M -1.8M 0.79 2.68 N/A N/A 37,236 29,498 978,498 775,352 2019-03-29 $6.86 $6.50 27.9% 7.6% 29.9% 22.5% 26.9% 0.6% -0.4% 3.9M -149.7M -2.3M 0.64 3.04 N/A N/A 19,546 12,576 992,110 797,044
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