GOLD Options History — November 2019

In November 2019, GOLD traded between $8.18 and $8.52. ATM implied volatility averaged 29.8%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 0.9% (HV 20d: 28.9%). Max pain ranged from $7.50 to $8.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2019-11-05: Highest Volume — 91,292 contracts
  • 2019-11-06: Largest IV drop — 7.3% change
  • 2019-11-05: Highest IV Rank — 32.4%
  • 2019-11-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.33$8.18$8.52$8.49$8.39
Max Pain$7.83$7.50$8.50$8.50$8.00
ATM IV29.8%26.8%34.0%33.1%27.7%
Expected Move8.7%7.8%10.3%10.3%8.4%
HV 20d28.9%23.9%35.6%33.0%24.0%
HV 60d34.5%30.9%35.4%34.4%30.9%
IV Rank18.3%7.3%32.4%29.0%11.4%
IV Percentile23.3%1.6%62.7%50.0%6.3%
Term Structure-0.2%-1.9%0.8%-0.1%-0.3%
VWIV30.8%27.8%36.4%36.4%29.2%
Skew 25d0.1%-0.5%1.5%-0.1%-0.5%
Skew 10d0.6%-1.8%5.5%0.1%0.3%
Call IV 25d30.5%26.8%34.5%33.6%28.4%
Put IV 25d30.5%27.3%34.6%33.5%27.8%
Bid-Ask Spread %6.804.4212.404.4212.40
Gamma HHI0.140.110.210.130.16
Net GEX3.8M-119.8K6.8M2.9M6.5M
Net DEX-220.0M-297.4M-155.3M-261.3M-250.0M
Net VEX-2.1M-2.2M-2.0M-2.2M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.141.660.560.52
Total Volume45,645.212,67891,29251,44812,678
Total OI2,085,937.41,956,7062,221,3522,097,3402,021,862

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$8.49$8.5033.1%10.3%33.0%29.0%36.4%-0.1%-0.1%2.9M-261.3M-2.2M0.564.42N/AN/A33,06618,3821,143,352953,988
2019-11-04$8.33$7.5033.3%9.6%33.5%29.7%33.7%-0.3%-1.9%2.5M-210.5M-2.2M0.548.18N/AN/A25,21813,5581,145,136943,468
2019-11-05$8.27$7.5034.0%9.5%33.1%32.4%33.6%0.2%-0.2%2.0M-187.0M-2.2M0.707.36N/AN/A53,82437,4681,152,014950,122
2019-11-06$8.44$7.5031.5%9.0%34.3%23.3%32.4%0.2%0.1%3.3M-251.2M-2.1M0.536.03N/AN/A30,78616,3141,179,050969,960
2019-11-07$8.19$7.5031.5%9.3%35.6%23.1%33.9%0.6%0.5%1.9M-161.2M-2.1M0.467.83N/AN/A43,41019,7861,184,594973,108
2019-11-08$8.18$7.5029.9%8.7%30.8%17.1%31.2%0.0%0.5%2.0M-159.2M-2.1M0.616.30N/AN/A22,76813,8021,198,336977,012
2019-11-11$8.20$7.5029.4%8.4%30.6%15.4%30.2%0.1%0.1%1.5M-155.3M-2.1M0.735.30N/AN/A16,63012,1041,172,886967,050
2019-11-12$8.21$7.5029.9%8.5%28.8%17.3%30.5%0.7%-0.1%1.7M-157.9M-2.0M0.625.92N/AN/A34,05621,1601,177,298975,808
2019-11-13$8.35$7.5030.2%8.8%28.9%18.3%31.1%-0.2%0.8%95.4K-216.0M-2.1M1.665.73N/AN/A32,81254,4981,187,216981,356
2019-11-14$8.32$8.0029.3%8.5%28.4%15.2%30.3%0.3%0.3%-119.8K-197.6M-2.1M0.225.95N/AN/A36,9208,2561,198,6461,005,890
2019-11-15$8.28$8.0027.6%8.0%28.4%9.6%28.3%0.1%0.3%4.1M-171.1M-2.0M1.548.95N/AN/A16,65625,6161,212,8661,008,486
2019-11-18$8.44$8.0029.3%8.5%28.2%18.6%29.6%-0.5%-1.0%5.9M-272.9M-2.1M0.795.20N/AN/A24,04618,8761,078,752877,954
2019-11-19$8.52$8.0029.5%8.5%27.9%19.3%30.0%0.1%-1.0%6.7M-297.4M-2.0M0.385.74N/AN/A33,33412,5621,089,378882,482
2019-11-20$8.49$8.0030.0%8.6%27.9%21.5%30.5%-0.3%-1.0%6.8M-290.4M-2.1M1.175.55N/AN/A30,07035,2081,101,174885,758
2019-11-21$8.31$8.0030.0%8.7%25.3%21.7%30.7%-0.3%-1.4%5.5M-236.8M-2.1M0.405.97N/AN/A32,38812,9001,117,510899,644
2019-11-22$8.26$8.0029.1%8.4%25.3%17.4%29.7%0.1%-0.8%4.3M-217.3M-2.1M1.469.73N/AN/A14,49421,0941,124,444902,950
2019-11-25$8.21$8.0027.8%8.1%23.9%11.4%28.6%0.1%-0.3%4.6M-206.2M-2.0M0.374.53N/AN/A18,6386,9341,115,850911,682
2019-11-26$8.43$8.0026.8%8.0%25.6%7.3%27.9%1.5%0.3%6.8M-272.1M-2.0M0.145.01N/AN/A29,4704,1841,119,916914,552
2019-11-27$8.36$8.0026.9%7.8%25.4%7.4%27.8%-0.2%-0.0%6.5M-229.5M-2.0M0.209.84N/AN/A15,7863,1521,101,428915,770
2019-11-29$8.39$8.0027.7%8.4%24.0%11.4%29.2%-0.5%-0.3%6.5M-250.0M-2.0M0.5212.40N/AN/A8,3284,3501,106,480915,382