GOLD Options History — March 2020 In March 2020, GOLD traded between $7.83 and $10.57. ATM implied volatility averaged 70.1%, placing in the 86.2% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 7.9% (HV 20d: 78.0%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.40.
Notable Days 2020-03-03 : Highest Volume — 201,812 contracts2020-03-31 : Largest IV spike — 30.7% change2020-03-05 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 27.4%Monthly Statistics Metric Avg Min Max Open Close Price $9.31 $7.83 $10.57 $9.94 $9.31 Max Pain $9.50 $9.00 $10.00 $9.00 $9.50 ATM IV 70.1% 45.2% 95.4% 46.6% 75.0% Expected Move 20.2% 13.4% 27.4% 13.9% 19.1% HV 20d 78.0% 48.7% 108.2% 48.7% 101.7% HV 60d 49.8% 33.2% 66.1% 33.2% 66.1% IV Rank 86.2% 45.6% 100.0% 87.9% 70.8% IV Percentile 98.6% 93.7% 100.0% 99.6% 96.4% Term Structure -0.0% -34.4% 46.3% 1.8% 29.9% VWIV 71.3% 49.3% 93.9% 49.8% 68.7% Skew 25d 3.9% -5.3% 62.5% 0.8% 62.5% Skew 10d -3.2% -41.9% 8.9% 0.9% -41.9% Call IV 25d 72.6% 46.2% 101.1% 46.2% 69.5% Put IV 25d 76.5% 44.9% 132.0% 47.0% 132.0% Bid-Ask Spread % 22.32 3.03 50.28 3.03 34.17 Gamma HHI 0.08 0.07 0.09 0.08 0.08 Net GEX 2.4M -875.6K 7.6M 3.7M 1.7M Net DEX -128.6M -342.4M 80.7M -196.1M -111.5M Net VEX -2.6M -3.0M -2.3M -2.4M -2.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.11 1.28 0.63 0.37 Total Volume 84,221.545 22,894 201,812 76,860 22,894 Total OI 1,438,281.909 1,212,328 1,532,244 1,381,860 1,367,034
Daily Data (22 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 2020-03-02 $9.94 $9.00 46.6% 13.9% 48.7% 87.9% 49.8% 0.8% 1.8% 3.7M -196.1M -2.4M 0.63 3.03 N/A N/A 47,266 29,594 721,234 660,626 2020-03-03 $10.34 $9.00 48.1% 15.4% 50.2% 93.8% 59.2% -1.4% -1.1% 5.2M -281.3M -2.4M 0.11 4.54 N/A N/A 181,548 20,264 739,976 669,706 2020-03-04 $10.22 $9.00 45.2% 13.4% 49.9% 81.9% 50.8% -3.0% -1.9% 5.8M -260.2M -2.4M 0.17 4.48 N/A N/A 79,752 13,496 804,508 678,490 2020-03-05 $10.57 $10.00 50.5% 13.6% 50.8% 100.0% 49.3% -2.1% -2.2% 7.6M -342.4M -2.5M 0.12 5.28 N/A N/A 148,530 17,710 821,134 684,556 2020-03-06 $10.56 $10.00 57.9% 15.3% 50.7% 100.0% 54.2% -1.0% -1.3% 6.6M -331.8M -2.6M 0.25 7.69 N/A N/A 104,660 26,356 820,388 692,466 2020-03-09 $10.10 $10.00 61.4% 16.8% 53.7% 100.0% 59.8% 1.2% -2.1% 3.7M -230.5M -2.6M 0.85 5.30 N/A N/A 45,042 38,330 786,748 685,586 2020-03-10 $9.85 $10.00 59.1% 16.3% 54.7% 93.6% 57.9% -1.0% -0.4% 3.1M -187.0M -2.6M 0.19 5.05 N/A N/A 64,010 12,066 800,410 692,502 2020-03-11 $9.40 $10.00 61.3% 17.0% 57.4% 99.9% 60.0% 3.5% -3.2% 1.7M -105.9M -2.6M 0.27 5.82 N/A N/A 45,556 12,488 816,856 692,808 2020-03-12 $8.44 $10.00 76.1% 21.5% 69.3% 100.0% 76.7% -5.3% -1.2% -359.0K 29.0M -2.5M 0.49 18.29 N/A N/A 59,532 29,188 827,720 693,496 2020-03-13 $7.83 $10.00 85.4% 23.8% 72.6% 100.0% 80.9% 5.6% -5.1% -715.8K 80.7M -2.3M 0.55 13.39 N/A N/A 48,328 26,774 841,512 689,244 2020-03-16 $8.18 $9.50 88.7% 25.3% 72.9% 100.0% 88.8% 1.8% -2.2% -158.4K 22.1M -2.5M 0.41 26.07 N/A N/A 70,342 28,676 824,184 684,012 2020-03-17 $8.91 $9.50 84.6% 24.1% 78.2% 93.5% 86.6% 3.3% -0.6% 895.5K -76.0M -2.7M 0.31 17.94 N/A N/A 59,936 18,382 830,860 685,684 2020-03-18 $7.84 $9.50 95.4% 27.4% 88.5% 100.0% 93.9% 3.7% -12.6% -875.6K 66.5M -2.4M 0.21 28.19 N/A N/A 48,564 10,138 823,460 697,132 2020-03-19 $8.46 $9.50 90.7% 26.2% 94.1% 93.2% 91.0% 4.9% -3.9% 72.2K -20.7M -2.5M 0.47 42.66 N/A N/A 44,338 20,944 834,842 697,402 2020-03-20 $7.96 $9.50 78.5% 22.2% 94.3% 75.7% 78.4% 4.9% 6.2% -274.3K 70.5M -2.3M 0.37 34.88 N/A N/A 34,532 12,772 836,208 689,010 2020-03-23 $8.67 $9.00 80.3% 22.7% 99.9% 78.4% 78.7% 4.0% -34.4% 1.2M -74.6M -2.5M 0.21 28.04 N/A N/A 52,078 11,112 661,560 550,768 2020-03-24 $9.65 $9.00 73.6% 22.3% 108.2% 68.8% 76.2% -1.6% 6.1% 2.7M -183.1M -2.7M 0.66 50.28 N/A N/A 83,284 55,026 680,144 556,414 2020-03-25 $9.68 $9.00 78.8% 23.0% 108.2% 76.2% 77.9% 0.9% -15.5% 2.8M -186.0M -2.8M 0.12 47.29 N/A N/A 64,916 8,092 709,354 601,776 2020-03-26 $9.73 $9.00 74.3% 22.4% 105.7% 69.8% 77.9% 2.9% -2.3% 3.3M -202.9M -2.9M 1.28 38.75 N/A N/A 38,244 49,034 732,142 605,598 2020-03-27 $9.56 $9.50 73.0% 22.2% 104.3% 67.9% 78.0% 1.6% -0.9% 2.8M -164.1M -3.0M 0.37 32.40 N/A N/A 28,012 10,292 750,944 647,940 2020-03-30 $9.60 $9.50 57.4% 20.8% 102.5% 45.6% 73.5% -0.0% 46.3% 2.0M -143.2M -3.0M 0.48 37.42 N/A N/A 20,786 9,990 714,240 641,528 2020-03-31 $9.31 $9.50 75.0% 19.1% 101.7% 70.8% 68.7% 62.5% 29.9% 1.7M -111.5M -2.9M 0.37 34.17 N/A N/A 16,668 6,226 720,816 646,218
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