GOLD Options History — December 2019 In December 2019, GOLD traded between $8.44 and $9.30. ATM implied volatility averaged 27.6%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 5.2% (HV 20d: 22.4%). Max pain ranged from $7.50 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.36.
Notable Days 2019-12-03 : Highest Volume — 138,492 contracts2019-12-03 : Largest IV spike — 5.5% change2019-12-03 : Highest IV Rank — 24.8%2019-12-03 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $8.81 $8.44 $9.30 $8.44 $9.30 Max Pain $7.57 $7.50 $8.00 $8.00 $7.50 ATM IV 27.6% 25.5% 30.7% 29.1% 27.2% Expected Move 8.1% 7.3% 9.4% 8.8% 7.7% HV 20d 22.4% 19.8% 24.3% 22.7% 22.9% HV 60d 28.5% 26.6% 30.5% 30.5% 26.6% IV Rank 11.9% 1.8% 24.8% 17.6% 10.5% IV Percentile 9.3% 0.8% 34.9% 18.7% 6.7% Term Structure 0.6% -0.2% 1.3% 0.5% 0.5% VWIV 28.6% 25.4% 32.8% 31.2% 28.4% Skew 25d -0.7% -1.8% 0.6% 0.6% -0.2% Skew 10d -1.2% -3.1% 0.7% 0.4% -0.9% Call IV 25d 28.7% 26.0% 31.5% 29.5% 27.9% Put IV 25d 28.0% 26.0% 31.1% 30.1% 27.7% Bid-Ask Spread % 8.41 4.24 16.94 9.61 4.24 Gamma HHI 0.19 0.15 0.29 0.15 0.18 Net GEX 9.5M 6.2M 13.6M 6.6M 10.1M Net DEX -373.4M -473.4M -258.7M -259.4M -473.4M Net VEX -1.9M -2.0M -1.7M -2.0M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.36 0.11 0.73 0.53 0.20 Total Volume 57,724.19 19,622 138,492 84,160 60,582 Total OI 2,038,917.619 1,915,910 2,175,938 1,995,500 1,929,046
Daily Data (21 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 2019-12-02 $8.44 $8.00 29.1% 8.8% 22.7% 17.6% 31.2% 0.6% 0.5% 6.6M -259.4M -2.0M 0.53 9.61 N/A N/A 55,004 29,156 1,084,878 910,622 2019-12-03 $8.63 $8.00 30.7% 9.4% 22.9% 24.8% 32.8% -0.4% 0.4% 8.4M -329.7M -2.0M 0.47 8.21 N/A N/A 94,114 44,378 1,107,656 914,632 2019-12-04 $8.54 $8.00 29.3% 8.7% 23.1% 18.2% 30.7% -0.9% 0.5% 7.7M -296.4M -2.0M 0.62 9.08 N/A N/A 16,542 10,234 1,117,496 938,458 2019-12-05 $8.59 $7.50 28.3% 8.4% 22.0% 14.1% 29.7% -0.7% 0.9% 8.3M -311.1M -2.0M 0.30 7.89 N/A N/A 24,158 7,354 1,111,578 941,344 2019-12-06 $8.45 $7.50 27.1% 8.1% 19.8% 8.6% 28.8% -0.6% 0.8% 6.7M -266.0M -2.0M 0.73 9.92 N/A N/A 20,692 15,192 1,132,648 943,036 2019-12-09 $8.44 $7.50 28.4% 8.3% 19.8% 14.5% 29.4% -0.4% 0.4% 6.2M -258.7M -2.0M 0.49 7.25 N/A N/A 42,472 20,844 1,110,004 935,990 2019-12-10 $8.56 $7.50 28.4% 8.3% 20.4% 14.4% 29.8% -0.3% 0.6% 8.0M -307.7M -2.0M 0.30 5.23 N/A N/A 15,114 4,508 1,135,738 944,464 2019-12-11 $8.81 $7.50 28.7% 8.5% 22.5% 18.8% 31.4% -1.0% 1.1% 10.6M -402.6M -1.9M 0.28 7.71 N/A N/A 58,910 16,236 1,135,984 945,156 2019-12-12 $8.78 $7.50 28.2% 8.3% 22.1% 16.2% 29.4% -1.2% 0.9% 10.7M -385.8M -1.9M 0.24 8.93 N/A N/A 42,204 10,024 1,143,578 956,568 2019-12-13 $8.81 $7.50 26.8% 7.9% 22.0% 8.4% 27.5% -0.8% 0.8% 9.8M -392.5M -1.9M 0.24 5.83 N/A N/A 59,478 14,088 1,143,584 959,446 2019-12-16 $8.70 $7.50 26.5% 7.6% 22.5% 6.8% 27.4% -1.1% 0.4% 9.3M -348.8M -1.9M 0.23 9.32 N/A N/A 40,268 9,198 1,116,698 956,984 2019-12-17 $8.71 $7.50 27.6% 7.9% 21.6% 12.6% 28.7% -1.1% 0.1% 8.9M -348.7M -1.9M 0.11 6.24 N/A N/A 55,478 6,128 1,138,126 960,568 2019-12-18 $8.96 $7.50 27.8% 8.0% 23.3% 13.7% 28.1% -0.9% 0.2% 13.6M -461.8M -1.9M 0.70 5.95 N/A N/A 29,120 20,246 1,176,424 964,490 2019-12-19 $8.86 $7.50 27.5% 7.9% 23.7% 12.2% 27.1% -1.8% 1.3% 12.7M -418.9M -1.9M 0.20 16.94 N/A N/A 53,248 10,456 1,177,782 978,746 2019-12-20 $8.73 $7.50 26.1% 7.5% 23.0% 5.0% 26.7% -0.9% -0.2% 10.8M -373.9M -1.9M 0.57 12.21 N/A N/A 28,362 16,148 1,197,400 978,538 2019-12-23 $8.88 $7.50 25.5% 7.3% 23.3% 1.8% 25.4% -0.0% 0.6% 10.6M -374.1M -1.8M 0.31 8.61 N/A N/A 43,072 13,272 1,039,514 881,564 2019-12-24 $9.12 $7.50 26.2% 7.5% 24.3% 5.4% 26.3% -0.7% 0.8% 11.9M -452.8M -1.8M 0.13 11.34 N/A N/A 82,128 10,464 1,050,144 888,830 2019-12-26 $9.18 $7.50 26.6% 7.7% 23.2% 7.5% 27.0% -1.1% 0.3% 10.4M -456.5M -1.8M 0.24 8.87 N/A N/A 48,166 11,450 1,028,238 894,084 2019-12-27 $9.18 $7.50 26.6% 7.7% 22.8% 7.4% 27.1% -0.8% 0.7% 9.3M -451.8M -1.8M 0.38 7.34 N/A N/A 25,782 9,710 1,030,778 900,546 2019-12-30 $9.29 $7.50 27.3% 7.7% 22.9% 11.3% 27.7% -1.0% 0.5% 9.5M -470.6M -1.7M 0.30 5.85 N/A N/A 29,444 8,784 1,021,844 894,066 2019-12-31 $9.30 $7.50 27.2% 7.7% 22.9% 10.5% 28.4% -0.2% 0.5% 10.1M -473.4M -1.8M 0.20 4.24 N/A N/A 50,648 9,934 1,031,794 897,252
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