GOLD Options History — June 2019 In June 2019, GOLD traded between $6.54 and $8.11. ATM implied volatility averaged 30.6%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 1.4% (HV 20d: 32.0%). Max pain ranged from $6.50 to $6.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.47.
Notable Days 2019-06-25 : Highest Volume — 238,814 contracts2019-06-24 : Largest IV spike — 9.7% change2019-06-24 : Highest IV Rank — 37.8%2019-06-03 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $7.22 $6.54 $8.11 $6.54 $7.88 Max Pain $6.50 $6.50 $6.50 $6.50 $6.50 ATM IV 30.6% 27.5% 33.3% 32.3% 32.5% Expected Move 8.7% 7.9% 9.8% 9.8% 8.7% HV 20d 32.0% 29.5% 34.8% 34.5% 29.6% HV 60d 28.2% 26.2% 28.7% 28.7% 28.3% IV Rank 30.3% 18.9% 37.8% 36.6% 35.0% IV Percentile 54.6% 26.6% 75.8% 69.8% 69.0% Term Structure 0.6% -1.0% 3.4% 0.5% 1.3% VWIV 30.9% 27.4% 35.2% 34.1% 30.6% Skew 25d 0.7% -0.9% 1.8% 0.0% -0.3% Skew 10d 2.1% -1.8% 5.9% 1.2% 0.0% Call IV 25d 31.1% 27.6% 34.7% 32.0% 33.3% Put IV 25d 31.8% 28.1% 36.0% 32.1% 33.0% Bid-Ask Spread % 3.30 2.22 5.60 5.24 2.45 Gamma HHI 0.19 0.14 0.30 0.16 0.16 Net GEX 6.5M 3.0M 9.9M 3.0M 6.4M Net DEX -242.8M -446.0M -78.3M -78.3M -367.4M Net VEX -2.2M -2.4M -2.1M -2.1M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.12 1.50 0.24 0.99 Total Volume 77,446.8 21,890 238,814 66,908 56,136 Total OI 1,736,080.1 1,626,178 1,855,718 1,626,178 1,830,352
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 2019-06-03 $6.54 $6.50 32.3% 9.8% 34.5% 36.6% 34.1% 0.0% 0.5% 3.0M -78.3M -2.1M 0.24 5.24 N/A N/A 53,814 13,094 940,558 685,620 2019-06-04 $6.59 $6.50 31.9% 9.4% 34.6% 35.3% 33.1% 1.5% -0.6% 3.8M -85.0M -2.1M 0.30 3.55 N/A N/A 38,242 11,372 959,034 690,120 2019-06-05 $6.62 $6.50 32.0% 9.6% 34.5% 35.6% 33.3% 1.2% -0.4% 4.2M -92.6M -2.1M 1.50 4.19 N/A N/A 30,606 45,970 969,252 692,072 2019-06-06 $6.78 $6.50 30.3% 8.8% 34.8% 30.1% 30.7% 0.0% -0.4% 5.7M -142.1M -2.2M 0.26 3.51 N/A N/A 42,986 11,052 990,132 704,210 2019-06-07 $6.79 $6.50 30.0% 8.5% 34.2% 29.1% 30.3% 0.6% 0.1% 6.1M -147.0M -2.2M 0.40 3.20 N/A N/A 34,698 13,980 1,000,670 708,028 2019-06-10 $6.72 $6.50 30.8% 8.5% 32.3% 31.7% 29.6% 1.1% -1.0% 5.3M -120.4M -2.1M 0.21 2.36 N/A N/A 18,136 3,754 996,896 706,766 2019-06-11 $6.78 $6.50 29.0% 8.3% 31.6% 25.9% 29.2% 0.7% 0.2% 5.8M -133.0M -2.1M 0.47 2.60 N/A N/A 15,176 7,098 998,232 708,330 2019-06-12 $6.87 $6.50 28.8% 8.1% 31.6% 25.5% 29.4% 1.5% -0.6% 6.7M -161.3M -2.1M 0.12 2.22 N/A N/A 34,320 4,236 1,004,280 713,138 2019-06-13 $6.92 $6.50 27.8% 7.9% 31.6% 22.2% 28.0% 1.4% -0.4% 7.8M -186.7M -2.1M 0.41 2.49 N/A N/A 29,924 12,302 1,023,812 714,138 2019-06-14 $6.96 $6.50 28.8% 8.1% 29.8% 25.4% 28.9% 0.2% -0.9% 8.1M -188.0M -2.1M 0.26 2.66 N/A N/A 48,394 12,610 1,014,084 720,882 2019-06-17 $7.08 $6.50 29.1% 8.3% 29.9% 26.3% 29.5% 1.7% 1.5% 7.9M -218.5M -2.1M 0.18 2.25 N/A N/A 43,914 8,066 1,010,046 723,056 2019-06-18 $7.17 $6.50 28.4% 8.1% 29.8% 24.2% 28.4% 0.8% 1.7% 9.2M -248.8M -2.1M 0.25 4.99 N/A N/A 48,510 11,936 1,013,226 724,812 2019-06-19 $7.24 $6.50 27.5% 7.9% 29.5% 18.9% 27.4% 0.4% 0.6% 9.4M -269.4M -2.1M 0.77 4.42 N/A N/A 35,288 27,126 1,015,338 727,856 2019-06-20 $7.65 $6.50 30.1% 8.6% 31.9% 27.3% 30.3% 0.6% 1.0% 9.9M -389.5M -2.1M 0.24 5.60 N/A N/A 122,190 29,044 1,020,894 745,104 2019-06-21 $7.82 $6.50 30.4% 8.6% 32.0% 28.2% 30.1% -0.9% 1.2% 6.4M -446.0M -2.1M 0.71 2.99 N/A N/A 89,866 64,004 1,052,212 760,614 2019-06-24 $8.11 $6.50 33.3% 9.5% 31.8% 37.8% 34.5% 0.9% 1.2% 6.1M -421.6M -2.2M 0.37 2.47 N/A N/A 111,966 41,308 961,812 753,420 2019-06-25 $8.03 $6.50 33.3% 9.3% 30.9% 37.8% 35.2% 1.8% 3.4% 5.9M -395.3M -2.3M 0.16 3.27 N/A N/A 206,078 32,736 987,224 780,368 2019-06-26 $7.95 $6.50 33.2% 9.1% 32.1% 37.5% 32.4% 0.2% 1.4% 6.7M -384.5M -2.4M 0.52 2.99 N/A N/A 45,128 23,656 1,032,326 786,970 2019-06-27 $7.87 $6.50 32.5% 8.9% 33.0% 35.1% 32.4% 0.6% 1.7% 6.5M -380.3M -2.4M 1.02 2.57 N/A N/A 34,816 35,404 1,061,340 794,378 2019-06-28 $7.88 $6.50 32.5% 8.7% 29.6% 35.0% 30.6% -0.3% 1.3% 6.4M -367.4M -2.4M 0.99 2.45 N/A N/A 28,190 27,946 1,039,380 790,972
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