GOLD Options History — August 2019 In August 2019, GOLD traded between $8.46 and $9.96. ATM implied volatility averaged 37.3%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 6.7% (HV 20d: 30.6%). Max pain ranged from $7.50 to $8.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.39.
Notable Days 2019-08-27 : Highest Volume — 319,096 contracts2019-08-23 : Largest IV spike — 14.0% change2019-08-07 : Highest IV Rank — 72.2%2019-08-07 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $9.21 $8.46 $9.96 $8.48 $9.67 Max Pain $8.02 $7.50 $8.50 $8.00 $8.50 ATM IV 37.3% 31.1% 44.0% 37.9% 34.0% Expected Move 10.6% 8.9% 12.5% 11.3% 9.5% HV 20d 30.6% 24.9% 33.9% 31.0% 25.6% HV 60d 32.9% 30.6% 34.5% 34.2% 31.2% IV Rank 49.6% 28.5% 72.2% 52.0% 38.3% IV Percentile 82.1% 44.8% 98.8% 90.9% 71.0% Term Structure -0.1% -1.3% 1.4% -1.3% -0.2% VWIV 37.5% 31.0% 44.1% 40.0% 33.4% Skew 25d -0.6% -1.6% 0.8% 0.8% -1.1% Skew 10d -1.4% -4.2% 0.9% 0.9% -2.0% Call IV 25d 38.5% 31.5% 45.6% 38.1% 35.1% Put IV 25d 37.8% 31.5% 44.4% 38.8% 34.1% Bid-Ask Spread % 2.73 1.77 4.71 4.71 3.01 Gamma HHI 0.14 0.12 0.18 0.14 0.16 Net GEX 9.5M 7.7M 12.4M 8.4M 9.2M Net DEX -608.7M -831.3M -418.6M -421.4M -659.1M Net VEX -2.6M -2.8M -2.5M -2.6M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.13 0.92 0.44 0.28 Total Volume 95,693.818 35,846 319,096 84,376 57,130 Total OI 2,067,936.909 1,929,124 2,397,256 1,929,124 2,397,256
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 2019-08-01 $8.48 $8.00 37.9% 11.3% 31.0% 52.0% 40.0% 0.8% -1.3% 8.4M -421.4M -2.6M 0.44 4.71 N/A N/A 58,784 25,592 1,126,198 802,926 2019-08-02 $8.46 $8.00 38.1% 11.7% 31.1% 52.8% 41.1% -1.5% -1.0% 9.3M -418.6M -2.7M 0.41 2.18 N/A N/A 30,380 12,434 1,151,642 818,642 2019-08-05 $8.81 $7.50 43.4% 12.0% 33.8% 70.2% 42.8% -1.1% -0.5% 7.7M -505.2M -2.7M 0.20 3.78 N/A N/A 76,354 15,248 1,122,478 813,904 2019-08-06 $8.78 $8.00 41.5% 11.7% 33.9% 63.8% 41.2% -1.1% -0.6% 8.2M -494.5M -2.6M 0.92 2.68 N/A N/A 33,066 30,396 1,139,862 820,752 2019-08-07 $9.02 $8.00 44.0% 12.5% 33.5% 72.2% 44.1% -1.2% -0.7% 8.4M -555.3M -2.7M 0.50 3.86 N/A N/A 77,446 39,036 1,143,008 836,726 2019-08-08 $9.07 $8.00 41.0% 11.5% 33.2% 62.1% 40.4% -1.4% 0.1% 8.7M -574.8M -2.6M 0.34 3.24 N/A N/A 39,842 13,630 1,154,176 848,634 2019-08-09 $9.08 $8.00 40.1% 11.4% 33.2% 59.1% 40.9% -1.6% -0.0% 8.4M -583.8M -2.6M 0.41 2.13 N/A N/A 45,520 18,564 1,161,276 856,696 2019-08-12 $9.02 $8.00 38.8% 11.1% 33.0% 54.8% 39.4% -0.4% -0.0% 8.4M -555.3M -2.6M 0.32 2.41 N/A N/A 96,118 30,326 1,154,536 850,906 2019-08-13 $9.08 $8.00 38.7% 10.8% 32.5% 54.5% 38.4% 0.0% -1.3% 8.9M -575.6M -2.7M 0.18 2.96 N/A N/A 100,456 18,126 1,178,908 858,942 2019-08-14 $9.10 $8.00 40.4% 11.4% 30.7% 60.1% 40.8% -1.1% -0.8% 9.4M -596.6M -2.8M 0.13 2.66 N/A N/A 49,800 6,654 1,218,040 863,426 2019-08-15 $9.16 $8.00 38.1% 10.9% 29.1% 52.0% 38.9% -0.8% -0.2% 10.3M -616.1M -2.7M 0.19 3.17 N/A N/A 39,184 7,320 1,227,894 863,552 2019-08-16 $9.18 $8.00 35.1% 10.0% 29.1% 42.0% 34.9% -0.4% -0.8% 10.2M -619.8M -2.6M 0.49 2.79 N/A N/A 36,680 17,846 1,213,470 866,720 2019-08-19 $9.06 $8.00 33.3% 9.5% 29.6% 35.8% 33.6% 0.0% 0.8% 8.9M -558.8M -2.6M 0.26 2.36 N/A N/A 49,342 12,762 1,162,634 839,634 2019-08-20 $9.32 $8.00 33.0% 9.5% 30.9% 35.0% 33.4% 0.2% 1.0% 9.6M -625.4M -2.5M 0.22 1.77 N/A N/A 54,138 11,682 1,165,836 842,388 2019-08-21 $9.32 $8.00 31.2% 9.0% 30.9% 28.9% 31.4% -0.7% 1.4% 9.9M -639.6M -2.5M 0.60 1.97 N/A N/A 22,366 13,480 1,180,242 847,232 2019-08-22 $9.38 $8.00 31.1% 8.9% 29.9% 28.5% 31.0% -0.1% 1.1% 10.6M -654.4M -2.5M 0.32 2.43 N/A N/A 33,534 10,760 1,191,700 851,010 2019-08-23 $9.58 $8.00 35.4% 10.2% 30.4% 43.1% 35.8% -0.8% 0.1% 10.7M -716.4M -2.5M 0.66 2.67 N/A N/A 86,742 56,964 1,204,960 856,560 2019-08-26 $9.60 $8.00 35.9% 10.1% 30.5% 44.8% 35.4% -0.3% -0.2% 10.4M -714.5M -2.6M 0.37 2.67 N/A N/A 30,364 11,264 1,225,424 877,124 2019-08-27 $9.90 $8.00 38.5% 11.0% 31.1% 53.4% 38.6% -1.0% 0.2% 9.9M -792.3M -2.6M 0.21 2.23 N/A N/A 262,820 56,276 1,235,272 881,912 2019-08-28 $9.96 $8.00 37.1% 10.6% 24.9% 48.6% 36.9% 0.2% -0.1% 12.4M -831.3M -2.7M 0.39 2.17 N/A N/A 158,174 62,028 1,404,136 916,760 2019-08-29 $9.68 $8.50 34.0% 9.3% 25.6% 38.3% 32.7% -0.4% 0.8% 11.4M -683.4M -2.7M 0.80 2.13 N/A N/A 109,160 87,476 1,351,238 969,980 2019-08-30 $9.67 $8.50 34.0% 9.5% 25.6% 38.3% 33.4% -1.1% -0.2% 9.2M -659.1M -2.8M 0.28 3.01 N/A N/A 44,670 12,460 1,366,356 1,030,900
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