GOLD Options History — January 2020 In January 2020, GOLD traded between $8.76 and $9.35. ATM implied volatility averaged 28.8%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.2% (HV 20d: 22.5%). Max pain ranged from $7.50 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.51.
Notable Days 2020-01-08 : Highest Volume — 114,222 contracts2020-01-27 : Largest IV spike — 7.9% change2020-01-31 : Highest IV Rank — 35.8%2020-01-31 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $9.09 $8.76 $9.35 $9.23 $9.23 Max Pain $8.83 $7.50 $9.00 $7.50 $9.00 ATM IV 28.8% 26.2% 31.9% 27.4% 31.9% Expected Move 8.3% 7.3% 9.3% 7.7% 9.3% HV 20d 22.5% 19.8% 24.6% 22.4% 23.1% HV 60d 24.4% 22.5% 26.7% 26.7% 22.5% IV Rank 19.0% 5.0% 35.8% 11.5% 35.8% IV Percentile 25.2% 2.0% 59.1% 7.9% 59.1% Term Structure 0.2% -1.3% 2.5% 0.5% -0.5% VWIV 29.2% 25.7% 32.5% 27.0% 32.2% Skew 25d -0.9% -1.7% -0.1% -0.3% -0.5% Skew 10d -2.3% -4.3% -0.5% -1.3% -2.7% Call IV 25d 29.7% 27.7% 32.8% 28.0% 32.8% Put IV 25d 28.8% 26.6% 32.3% 27.6% 32.3% Bid-Ask Spread % 5.10 2.12 16.12 6.70 4.75 Gamma HHI 0.22 0.12 0.67 0.18 0.31 Net GEX 9.0M 3.5M 27.8M 10.3M 13.5M Net DEX -290.6M -462.6M -120.3M -462.6M -181.1M Net VEX -1.7M -1.8M -1.7M -1.7M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.19 1.78 0.19 0.72 Total Volume 59,013.238 24,038 114,222 30,784 89,672 Total OI 1,649,706.571 1,091,194 2,113,884 1,950,668 1,219,316
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 2020-01-02 $9.23 $7.50 27.4% 7.7% 22.4% 11.5% 27.0% -0.3% 0.5% 10.3M -462.6M -1.7M 0.19 6.70 N/A N/A 25,902 4,882 1,050,578 900,090 2020-01-03 $9.26 $7.50 28.5% 8.0% 21.7% 17.4% 28.3% -0.8% 0.6% 12.8M -462.3M -1.8M 0.39 10.76 N/A N/A 35,582 13,940 1,050,572 902,328 2020-01-06 $9.20 $8.50 27.9% 8.4% 22.0% 14.6% 29.4% -1.3% 1.9% 9.0M -446.8M -1.7M 0.90 6.04 N/A N/A 48,106 43,222 1,045,244 905,764 2020-01-07 $9.20 $9.00 27.1% 8.3% 20.8% 10.1% 29.0% -1.1% 1.2% 8.5M -438.8M -1.7M 0.56 4.78 N/A N/A 30,214 17,002 1,055,060 921,574 2020-01-08 $8.90 $9.00 27.3% 8.3% 24.6% 11.3% 29.6% -0.4% 2.1% 7.7M -333.9M -1.7M 0.28 6.33 N/A N/A 89,488 24,734 1,063,714 930,038 2020-01-09 $8.80 $9.00 27.6% 8.2% 24.6% 12.7% 29.3% -0.8% 2.2% 9.0M -315.5M -1.8M 0.25 6.63 N/A N/A 43,826 10,914 1,100,198 932,966 2020-01-10 $8.90 $9.00 27.8% 8.2% 22.6% 14.1% 28.7% -0.5% 2.5% 9.1M -353.8M -1.7M 0.72 5.32 N/A N/A 18,264 13,080 1,113,730 933,526 2020-01-13 $8.76 $9.00 29.0% 8.3% 23.3% 20.1% 29.0% -1.1% -1.0% 9.4M -303.1M -1.7M 0.29 16.12 N/A N/A 30,162 8,660 1,098,424 932,856 2020-01-14 $8.77 $9.00 29.2% 8.4% 23.3% 21.5% 29.2% -1.1% -0.2% 9.4M -304.4M -1.7M 0.51 7.17 N/A N/A 29,366 14,936 1,105,566 939,252 2020-01-15 $8.95 $9.00 29.5% 8.2% 23.9% 22.9% 28.9% -0.1% -0.5% 10.0M -372.2M -1.7M 1.78 6.70 N/A N/A 27,396 48,896 1,117,458 947,452 2020-01-16 $9.04 $9.00 27.7% 7.7% 24.1% 13.4% 26.9% -0.5% -1.3% 11.9M -409.9M -1.7M 0.43 2.12 N/A N/A 34,618 14,968 1,119,914 988,144 2020-01-17 $8.98 $9.00 26.2% 7.3% 22.2% 5.0% 25.7% -1.1% -1.1% 27.8M -381.3M -1.7M 0.21 2.29 N/A N/A 94,658 19,436 1,119,794 994,090 2020-01-21 $9.15 $9.00 27.3% 7.8% 22.7% 11.2% 27.1% -1.5% 0.1% 5.1M -158.8M -1.7M 0.52 2.24 N/A N/A 28,836 14,958 565,098 526,096 2020-01-22 $9.15 $9.00 27.4% 7.9% 21.9% 11.8% 27.8% -1.2% 0.1% 5.3M -158.9M -1.7M 0.84 2.68 N/A N/A 14,942 12,578 575,598 534,926 2020-01-23 $9.23 $9.00 27.9% 8.0% 21.4% 14.4% 28.1% -1.3% 0.3% 5.6M -177.5M -1.7M 0.21 2.96 N/A N/A 39,030 8,352 580,038 541,616 2020-01-24 $9.35 $9.00 29.0% 8.3% 19.8% 20.2% 29.2% -1.7% 0.1% 5.3M -202.9M -1.7M 0.49 2.34 N/A N/A 27,678 13,638 589,668 545,998 2020-01-27 $9.31 $9.00 31.3% 9.0% 19.8% 32.4% 31.9% -0.6% -0.3% 5.2M -188.6M -1.7M 0.49 3.06 N/A N/A 46,382 22,742 584,156 547,570 2020-01-28 $9.03 $9.00 31.4% 9.0% 22.8% 32.9% 32.5% -1.6% -0.8% 3.5M -120.3M -1.7M 0.22 2.74 N/A N/A 41,850 9,272 600,116 570,204 2020-01-29 $9.17 $9.00 31.2% 9.0% 23.1% 31.6% 31.3% -0.8% -0.4% 5.1M -158.3M -1.7M 0.20 2.54 N/A N/A 20,056 3,982 618,660 574,348 2020-01-30 $9.22 $9.00 31.5% 9.1% 23.2% 33.5% 32.0% -0.6% -0.2% 6.0M -171.9M -1.8M 0.43 2.85 N/A N/A 72,100 30,958 626,486 575,612 2020-01-31 $9.23 $9.00 31.9% 9.3% 23.1% 35.8% 32.2% -0.5% -0.5% 13.5M -181.1M -1.8M 0.72 4.75 N/A N/A 52,082 37,590 651,522 567,794
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