GOLD Options History — July 2019 In July 2019, GOLD traded between $7.46 and $8.68. ATM implied volatility averaged 33.4%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.6% (HV 20d: 35.9%). Max pain ranged from $6.50 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.43.
Notable Days 2019-07-18 : Highest Volume — 217,052 contracts2019-07-31 : Largest IV spike — 9.1% change2019-07-31 : Highest IV Rank — 47.9%2019-07-31 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $8.27 $7.46 $8.68 $7.46 $8.14 Max Pain $7.73 $6.50 $8.00 $6.50 $8.00 ATM IV 33.4% 31.1% 36.7% 31.1% 36.7% Expected Move 9.4% 7.6% 10.8% 7.6% 10.8% HV 20d 35.9% 27.0% 40.8% 34.6% 27.9% HV 60d 31.9% 30.5% 33.4% 30.5% 33.4% IV Rank 37.4% 30.5% 47.9% 30.5% 47.9% IV Percentile 73.0% 58.3% 89.3% 58.3% 89.3% Term Structure -0.1% -1.4% 1.2% -0.3% -1.4% VWIV 33.2% 26.8% 37.7% 27.1% 37.7% Skew 25d 0.1% -1.2% 1.4% 1.1% -1.2% Skew 10d 0.6% -2.7% 4.4% 4.4% -2.7% Call IV 25d 34.2% 31.9% 36.9% 32.6% 36.9% Put IV 25d 34.3% 32.1% 35.8% 33.7% 35.7% Bid-Ask Spread % 3.47 2.43 8.16 3.73 3.46 Gamma HHI 0.17 0.13 0.20 0.16 0.13 Net GEX 8.0M 5.3M 12.2M 5.3M 6.5M Net DEX -426.4M -565.0M -242.3M -242.3M -319.0M Net VEX -2.4M -2.6M -2.3M -2.3M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.14 1.16 0.70 0.26 Total Volume 67,376.727 22,492 217,052 99,366 86,166 Total OI 1,855,675.818 1,741,326 2,008,756 1,792,130 1,888,042
Daily Data (22 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 2019-07-01 $7.46 $6.50 31.1% 7.6% 34.6% 30.5% 27.1% 1.1% -0.3% 5.3M -242.3M -2.3M 0.70 3.73 N/A N/A 58,382 40,984 1,013,632 778,498 2019-07-02 $7.83 $7.00 31.4% 7.7% 37.5% 31.4% 27.2% 0.5% 0.2% 6.6M -346.4M -2.3M 0.43 4.02 N/A N/A 44,562 18,960 1,030,410 793,978 2019-07-03 $7.91 $7.00 31.9% 7.6% 37.4% 33.1% 26.8% 0.3% 0.5% 8.1M -370.9M -2.4M 0.44 3.24 N/A N/A 29,382 12,952 1,048,248 800,302 2019-07-05 $7.92 $7.50 33.1% 9.5% 37.1% 37.2% 33.6% 1.3% -0.1% 8.1M -370.9M -2.4M 0.44 3.09 N/A N/A 43,726 19,290 1,050,882 804,574 2019-07-08 $7.96 $7.50 33.5% 9.5% 37.0% 38.3% 33.3% 0.7% -0.5% 7.0M -377.5M -2.3M 0.30 3.39 N/A N/A 17,316 5,176 1,038,082 804,688 2019-07-09 $8.01 $7.50 33.7% 9.6% 36.4% 39.2% 34.1% 0.0% 0.2% 7.1M -392.3M -2.3M 0.34 3.64 N/A N/A 34,590 11,700 1,041,168 808,326 2019-07-10 $8.27 $7.50 34.2% 9.5% 37.3% 40.7% 33.7% 0.2% -1.4% 7.9M -463.6M -2.3M 0.33 8.16 N/A N/A 52,248 17,202 1,051,814 811,640 2019-07-11 $8.20 $7.50 32.6% 9.5% 37.8% 35.3% 33.4% 1.0% 0.7% 8.4M -448.1M -2.3M 0.20 3.28 N/A N/A 90,202 18,298 1,061,548 818,768 2019-07-12 $8.24 $8.00 31.8% 9.3% 37.8% 32.7% 32.7% 0.2% 1.2% 12.2M -461.5M -2.3M 0.45 3.93 N/A N/A 21,730 9,670 1,082,404 827,638 2019-07-15 $8.16 $8.00 32.4% 9.4% 38.4% 33.6% 32.3% 1.4% 0.7% 7.1M -427.6M -2.3M 0.23 2.95 N/A N/A 31,596 7,278 1,064,486 822,444 2019-07-16 $8.07 $8.00 32.8% 9.4% 38.8% 34.9% 32.8% 1.1% -0.2% 6.9M -405.0M -2.3M 0.68 2.62 N/A N/A 30,102 20,394 1,077,420 825,964 2019-07-17 $8.36 $8.00 33.7% 9.7% 40.0% 37.9% 34.1% -0.8% -0.5% 8.2M -487.3M -2.3M 0.24 3.67 N/A N/A 48,132 11,666 1,087,004 834,492 2019-07-18 $8.61 $8.00 34.4% 9.8% 40.8% 40.2% 34.6% -1.0% 0.2% 8.8M -555.3M -2.3M 0.21 5.01 N/A N/A 179,392 37,660 1,096,970 840,232 2019-07-19 $8.62 $8.00 33.6% 9.6% 36.8% 37.7% 33.9% -0.8% 0.4% 8.1M -565.0M -2.4M 0.65 2.70 N/A N/A 65,354 42,220 1,143,734 865,022 2019-07-22 $8.68 $8.00 34.2% 9.6% 36.4% 39.6% 34.1% 0.5% 0.1% 8.5M -474.6M -2.4M 0.75 2.91 N/A N/A 27,080 20,304 1,006,794 734,532 2019-07-23 $8.64 $8.00 35.1% 10.0% 34.5% 42.6% 35.6% -0.4% 0.1% 8.2M -463.5M -2.4M 0.30 2.43 N/A N/A 52,046 15,408 1,013,796 744,470 2019-07-24 $8.67 $8.00 34.3% 9.6% 34.2% 39.9% 33.9% -0.7% 0.0% 8.4M -468.5M -2.4M 0.30 3.34 N/A N/A 36,092 10,752 1,026,786 751,478 2019-07-25 $8.53 $8.00 34.2% 9.9% 34.6% 39.8% 35.3% 0.2% -0.1% 8.2M -432.3M -2.5M 0.68 2.90 N/A N/A 27,778 18,906 1,046,296 756,816 2019-07-26 $8.53 $8.00 33.2% 9.5% 34.2% 36.5% 33.6% -1.2% 0.1% 9.4M -438.3M -2.5M 1.16 2.43 N/A N/A 43,080 50,038 1,057,366 760,734 2019-07-29 $8.59 $8.00 33.1% 9.9% 34.3% 36.2% 34.6% 1.0% -0.9% 8.1M -446.2M -2.5M 0.24 2.99 N/A N/A 24,018 5,720 1,060,374 790,856 2019-07-30 $8.49 $8.00 33.6% 10.3% 27.0% 37.7% 36.1% -1.2% -1.1% 8.0M -423.7M -2.5M 0.14 2.46 N/A N/A 39,126 5,610 1,069,580 792,580 2019-07-31 $8.14 $8.00 36.7% 10.8% 27.9% 47.9% 37.7% -1.2% -1.4% 6.5M -319.0M -2.6M 0.26 3.46 N/A N/A 68,194 17,972 1,092,728 795,314
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