GOLD Options History — September 2019 In September 2019, GOLD traded between $8.53 and $9.92. ATM implied volatility averaged 36.0%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.8% (HV 20d: 38.9%). Max pain ranged from $8.50 to $9.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.70.
Notable Days 2019-09-05 : Highest Volume — 153,564 contracts2019-09-05 : Largest IV spike — 5.7% change2019-09-05 : Highest IV Rank — 49.5%2019-09-09 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $9.01 $8.53 $9.92 $9.73 $8.64 Max Pain $9.03 $8.50 $9.50 $8.50 $9.00 ATM IV 36.0% 33.9% 37.6% 35.9% 37.5% Expected Move 10.1% 9.6% 10.5% 10.1% 10.0% HV 20d 38.9% 22.2% 44.4% 22.2% 43.9% HV 60d 35.3% 31.1% 36.5% 31.2% 34.8% IV Rank 42.7% 35.6% 49.5% 44.7% 45.2% IV Percentile 78.9% 65.1% 85.7% 81.3% 85.3% Term Structure 0.4% -1.3% 2.3% -0.1% 0.1% VWIV 36.1% 34.2% 38.9% 35.5% 35.2% Skew 25d -0.9% -2.1% 0.7% -0.4% 0.7% Skew 10d -2.5% -5.5% 1.0% -1.7% -1.1% Call IV 25d 37.4% 35.9% 39.2% 37.2% 38.4% Put IV 25d 36.5% 34.2% 39.0% 36.7% 39.0% Bid-Ask Spread % 3.12 2.35 4.04 2.85 2.97 Gamma HHI 0.14 0.12 0.18 0.18 0.13 Net GEX 7.0M 2.9M 9.9M 9.5M 2.9M Net DEX -434.7M -734.3M -277.9M -685.5M -277.9M Net VEX -2.6M -2.8M -2.6M -2.7M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.20 2.94 0.59 0.25 Total Volume 74,778.5 31,388 153,564 74,984 71,008 Total OI 2,395,920.8 2,187,264 2,552,122 2,396,452 2,241,772
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 2019-09-03 $9.73 $8.50 35.9% 10.1% 22.2% 44.7% 35.5% -0.4% -0.1% 9.5M -685.5M -2.7M 0.59 2.85 N/A N/A 47,020 27,964 1,369,250 1,027,202 2019-09-04 $9.92 $8.50 35.3% 9.7% 22.5% 42.8% 34.2% -0.3% 0.4% 9.9M -734.3M -2.7M 0.40 3.06 N/A N/A 31,178 12,502 1,369,872 1,050,658 2019-09-05 $9.22 $9.50 37.4% 10.3% 34.7% 49.5% 38.3% -1.8% 0.1% 6.5M -490.3M -2.7M 0.38 3.68 N/A N/A 111,418 42,146 1,367,480 1,052,148 2019-09-06 $8.97 $9.50 36.8% 10.2% 36.1% 45.6% 37.6% -0.9% -0.3% 5.7M -406.3M -2.8M 2.28 2.64 N/A N/A 46,490 106,178 1,395,176 1,061,332 2019-09-09 $8.73 $9.50 37.6% 10.5% 37.3% 48.5% 38.9% -0.4% -1.0% 6.9M -358.6M -2.6M 0.38 3.11 N/A N/A 58,120 22,334 1,389,178 988,364 2019-09-10 $8.61 $9.00 37.4% 10.5% 37.5% 47.8% 38.1% -1.4% -0.6% 6.6M -318.5M -2.7M 0.53 2.35 N/A N/A 41,482 22,080 1,411,872 996,558 2019-09-11 $8.66 $9.00 36.1% 10.2% 37.5% 43.3% 36.3% -0.5% -0.5% 7.2M -335.1M -2.6M 0.43 2.82 N/A N/A 50,298 21,426 1,428,954 1,005,566 2019-09-12 $8.57 $9.00 36.0% 10.0% 37.6% 42.8% 36.4% -2.1% -1.3% 7.0M -308.5M -2.6M 0.44 2.76 N/A N/A 41,390 18,258 1,445,316 1,019,734 2019-09-13 $8.60 $9.00 34.9% 9.9% 37.5% 38.8% 35.4% -1.6% -0.4% 7.3M -316.0M -2.6M 0.25 2.56 N/A N/A 41,390 10,146 1,465,346 1,029,338 2019-09-16 $8.53 $9.00 34.9% 9.9% 37.5% 38.8% 35.8% -1.1% 0.9% 7.4M -297.6M -2.6M 2.94 3.09 N/A N/A 34,484 101,538 1,465,140 1,025,368 2019-09-17 $9.03 $9.00 35.7% 10.2% 42.9% 41.9% 36.5% -1.6% -0.3% 9.4M -501.3M -2.6M 0.20 2.72 N/A N/A 75,514 14,992 1,478,984 1,031,626 2019-09-18 $8.82 $9.00 35.7% 10.2% 42.3% 41.8% 36.1% -0.7% 0.2% 7.5M -408.3M -2.6M 0.63 3.81 N/A N/A 39,874 25,116 1,483,146 1,035,634 2019-09-19 $9.14 $9.00 33.9% 9.6% 44.4% 35.6% 35.0% -1.7% 1.7% 9.8M -537.3M -2.6M 0.48 2.94 N/A N/A 37,744 18,160 1,493,208 1,050,438 2019-09-20 $9.19 $9.00 34.0% 9.8% 44.4% 35.9% 34.7% -1.5% -0.7% 7.2M -541.4M -2.6M 0.85 3.73 N/A N/A 46,676 39,874 1,491,444 1,060,678 2019-09-23 $9.31 $9.00 35.5% 9.9% 44.0% 41.0% 35.5% -0.5% 2.3% 7.3M -487.7M -2.6M 0.60 3.45 N/A N/A 36,282 21,596 1,292,560 894,704 2019-09-24 $9.40 $9.00 36.9% 10.3% 44.1% 45.8% 36.8% -0.3% 1.7% 7.8M -514.3M -2.6M 0.90 3.30 N/A N/A 30,512 27,502 1,313,030 921,898 2019-09-25 $9.10 $9.00 36.4% 10.0% 43.7% 42.9% 35.8% -0.2% 2.1% 5.7M -418.2M -2.6M 0.63 3.25 N/A N/A 28,254 17,862 1,310,330 939,064 2019-09-26 $9.08 $9.00 35.8% 9.7% 43.6% 39.1% 34.2% -1.3% 1.4% 5.6M -415.2M -2.6M 0.50 4.04 N/A N/A 20,956 10,432 1,316,098 934,352 2019-09-27 $8.87 $9.00 36.9% 10.0% 43.3% 43.0% 35.4% -0.3% 2.0% 3.7M -341.3M -2.6M 0.43 3.31 N/A N/A 31,748 13,626 1,322,418 943,180 2019-09-30 $8.64 $9.00 37.5% 10.0% 43.9% 45.2% 35.2% 0.7% 0.1% 2.9M -277.9M -2.6M 0.25 2.97 N/A N/A 56,910 14,098 1,306,932 934,840
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