GOLD Options History — October 2019 In October 2019, GOLD traded between $8.27 and $8.98. ATM implied volatility averaged 35.9%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 1.4% (HV 20d: 34.5%). Max pain ranged from $8.50 to $9.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2019-10-15 : Highest Volume — 111,564 contracts2019-10-11 : Largest IV drop — 6.6% change2019-10-10 : Highest IV Rank — 54.8%2019-10-08 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $8.59 $8.27 $8.98 $8.60 $8.69 Max Pain $8.54 $8.50 $9.00 $9.00 $8.50 ATM IV 35.9% 32.4% 40.1% 38.3% 33.9% Expected Move 10.3% 9.2% 11.2% 10.6% 10.4% HV 20d 34.5% 29.8% 43.6% 43.6% 33.8% HV 60d 35.0% 33.9% 36.1% 34.8% 34.1% IV Rank 39.4% 26.4% 54.8% 48.0% 32.1% IV Percentile 71.7% 42.9% 93.3% 87.3% 60.3% Term Structure -0.4% -1.6% 1.2% 1.2% 0.1% VWIV 36.5% 33.0% 39.9% 38.0% 36.5% Skew 25d -0.3% -3.7% 0.8% -0.4% -0.5% Skew 10d 3.1% -1.9% 80.7% -1.2% 0.1% Call IV 25d 37.0% 33.9% 42.3% 40.5% 35.2% Put IV 25d 36.7% 32.9% 40.4% 40.1% 34.7% Bid-Ask Spread % 6.09 2.25 30.54 2.63 6.53 Gamma HHI 0.14 0.12 0.19 0.12 0.12 Net GEX 3.0M 1.0M 5.2M 2.6M 5.2M Net DEX -271.4M -387.0M -156.0M -262.8M -333.5M Net VEX -2.4M -2.6M -2.2M -2.6M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.26 1.80 0.42 1.80 Total Volume 41,286 19,312 111,564 50,460 61,130 Total OI 2,207,243.13 2,037,886 2,365,338 2,241,424 2,092,262
Daily Data (23 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 2019-10-01 $8.60 $9.00 38.3% 10.6% 43.6% 48.0% 38.0% -0.4% 1.2% 2.6M -262.8M -2.6M 0.42 2.63 N/A N/A 35,490 14,970 1,301,080 940,344 2019-10-02 $8.66 $9.00 39.9% 10.7% 42.9% 54.2% 37.9% -0.4% -0.4% 2.8M -283.1M -2.6M 0.36 2.73 N/A N/A 36,156 13,096 1,312,070 947,524 2019-10-03 $8.62 $8.50 39.1% 11.0% 35.2% 51.0% 39.1% 0.1% 0.4% 3.1M -270.6M -2.6M 0.50 3.58 N/A N/A 33,000 16,394 1,331,024 952,604 2019-10-04 $8.87 $8.50 37.7% 10.6% 35.7% 46.0% 37.3% -0.3% 0.1% 4.0M -352.0M -2.5M 0.50 2.25 N/A N/A 26,494 13,324 1,336,418 956,492 2019-10-07 $8.88 $8.50 37.8% 10.6% 34.3% 46.4% 38.4% 0.8% -0.5% 4.0M -352.9M -2.5M 1.19 3.21 N/A N/A 11,774 14,058 1,314,526 949,670 2019-10-08 $8.98 $8.50 39.1% 11.2% 34.0% 51.2% 39.9% -0.1% -0.0% 4.4M -387.0M -2.5M 0.45 4.19 N/A N/A 27,790 12,634 1,317,296 958,062 2019-10-09 $8.94 $8.50 38.4% 10.9% 34.1% 48.5% 38.4% -0.1% -0.4% 4.0M -373.6M -2.5M 0.66 3.54 N/A N/A 11,632 7,680 1,327,428 963,788 2019-10-10 $8.95 $8.50 40.1% 10.9% 33.8% 54.8% 38.4% -3.7% -1.6% 4.1M -375.8M -2.5M 0.76 30.54 N/A N/A 15,506 11,736 1,332,402 963,870 2019-10-11 $8.49 $8.50 37.4% 10.4% 38.9% 45.0% 37.0% -1.0% -1.6% 1.1M -217.5M -2.4M 0.55 19.05 N/A N/A 47,320 26,224 1,336,128 966,652 2019-10-14 $8.57 $8.50 35.8% 10.2% 38.9% 39.1% 35.9% -0.3% 0.2% 1.4M -238.8M -2.4M 1.21 4.55 N/A N/A 13,044 15,728 1,339,588 967,736 2019-10-15 $8.31 $8.50 34.8% 9.9% 34.2% 35.3% 35.0% -0.1% -0.0% 1.5M -156.0M -2.4M 1.77 3.90 N/A N/A 40,314 71,250 1,342,102 974,218 2019-10-16 $8.45 $8.50 33.8% 9.7% 34.1% 31.7% 34.3% 0.2% 0.3% 1.0M -185.9M -2.4M 0.61 3.62 N/A N/A 13,106 8,054 1,358,364 1,006,974 2019-10-17 $8.56 $8.50 33.3% 9.5% 31.7% 29.9% 33.4% 0.0% -0.1% 1.1M -242.9M -2.4M 0.69 3.80 N/A N/A 20,976 14,478 1,362,096 989,328 2019-10-18 $8.60 $8.50 32.4% 9.2% 31.6% 26.4% 33.0% -1.0% 0.9% 3.4M -263.7M -2.4M 0.32 3.80 N/A N/A 21,822 6,944 1,368,472 991,216 2019-10-21 $8.41 $8.50 33.9% 9.7% 31.7% 32.1% 34.7% 0.0% -0.9% 2.9M -234.6M -2.3M 0.44 3.60 N/A N/A 17,242 7,610 1,111,918 925,968 2019-10-22 $8.30 $8.50 33.6% 9.7% 31.3% 31.0% 34.0% 0.0% -0.7% 2.7M -207.9M -2.2M 0.30 3.90 N/A N/A 41,526 12,368 1,119,130 928,904 2019-10-23 $8.27 $8.50 33.0% 9.7% 29.8% 28.7% 34.3% -0.4% -0.9% 2.2M -189.1M -2.3M 0.34 4.35 N/A N/A 27,484 9,466 1,117,696 933,380 2019-10-24 $8.59 $8.50 34.0% 9.8% 33.5% 32.5% 34.6% 0.3% -1.1% 4.5M -302.4M -2.3M 0.26 4.38 N/A N/A 29,822 7,700 1,128,152 933,410 2019-10-25 $8.59 $8.50 34.4% 10.0% 32.6% 33.9% 35.4% 0.0% -1.3% 3.9M -294.3M -2.3M 0.70 4.82 N/A N/A 25,774 17,922 1,130,932 935,686 2019-10-28 $8.38 $8.50 35.0% 10.7% 32.5% 35.9% 37.7% 0.0% -0.7% 2.8M -226.6M -2.3M 1.10 4.64 N/A N/A 13,682 15,072 1,120,836 937,322 2019-10-29 $8.39 $8.50 35.0% 10.7% 32.5% 36.1% 38.0% 0.2% -1.1% 3.0M -231.8M -2.3M 1.31 4.46 N/A N/A 13,092 17,086 1,126,570 936,374 2019-10-30 $8.49 $8.50 35.0% 10.9% 32.7% 36.0% 39.0% 0.3% -0.8% 3.4M -258.8M -2.3M 0.38 11.89 N/A N/A 22,944 8,664 1,132,322 948,258 2019-10-31 $8.69 $8.50 33.9% 10.4% 33.8% 32.1% 36.5% -0.5% 0.1% 5.2M -333.5M -2.3M 1.80 6.53 N/A N/A 21,838 39,292 1,142,852 949,410
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