GOLD Options History — April 2020 In April 2020, GOLD traded between $9.46 and $13.51. ATM implied volatility averaged 58.7%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 20.8% (HV 20d: 79.4%). Max pain ranged from $9.00 to $10.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.53.
Notable Days 2020-04-23 : Highest Volume — 176,422 contracts2020-04-13 : Largest IV spike — 16.2% change2020-04-03 : Highest IV Rank — 64.2%2020-04-01 : Largest Expected Move — 18.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.96 $9.46 $13.51 $9.46 $12.88 Max Pain $9.76 $9.00 $10.50 $9.50 $10.50 ATM IV 58.7% 50.8% 70.4% 58.8% 51.5% Expected Move 16.8% 14.7% 18.7% 18.7% 15.6% HV 20d 79.4% 53.9% 104.4% 102.0% 56.5% HV 60d 70.9% 66.2% 73.1% 66.2% 73.1% IV Rank 47.4% 36.2% 64.2% 47.5% 37.1% IV Percentile 90.8% 85.3% 94.8% 93.7% 85.3% Term Structure 0.2% -18.7% 18.5% -18.7% -0.6% VWIV 60.2% 51.9% 65.8% 65.2% 55.9% Skew 25d 4.5% -2.0% 32.8% -0.8% -1.4% Skew 10d -3.8% -72.2% 27.2% -10.8% 2.1% Call IV 25d 58.4% 48.3% 70.9% 70.9% 52.2% Put IV 25d 62.9% 48.4% 92.0% 70.2% 50.8% Bid-Ask Spread % 10.10 3.59 36.26 36.26 5.20 Gamma HHI 0.09 0.08 0.15 0.08 0.08 Net GEX 5.2M 1.9M 7.9M 1.9M 6.2M Net DEX -467.6M -702.6M -129.1M -129.1M -541.5M Net VEX -3.0M -3.2M -2.9M -2.9M -3.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.09 1.87 1.09 0.49 Total Volume 86,756.667 35,082 176,422 58,438 54,736 Total OI 1,514,718.19 1,373,732 1,665,292 1,373,732 1,665,292
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 2020-04-01 $9.46 $9.50 58.8% 18.7% 102.0% 47.5% 65.2% -0.8% -18.7% 1.9M -129.1M -2.9M 1.09 36.26 N/A N/A 27,926 30,512 723,674 650,058 2020-04-02 $10.12 $9.00 66.4% 18.0% 104.3% 58.5% 65.8% 17.9% 18.5% 3.6M -225.8M -2.9M 0.81 24.75 N/A N/A 41,196 33,430 728,438 673,534 2020-04-03 $9.97 $9.50 70.4% 17.1% 104.4% 64.2% 62.8% 32.8% 3.1% 4.4M -196.7M -3.0M 0.56 20.24 N/A N/A 22,510 12,572 732,130 685,280 2020-04-06 $10.31 $9.50 64.4% 17.1% 103.9% 55.6% 63.0% 24.8% -6.9% 3.2M -245.1M -3.0M 0.56 18.00 N/A N/A 36,504 20,528 709,360 678,366 2020-04-07 $10.09 $9.50 54.1% 16.6% 103.8% 40.9% 59.2% -0.9% 12.0% 2.8M -206.0M -2.9M 0.34 17.53 N/A N/A 28,402 9,744 718,476 691,996 2020-04-08 $10.23 $9.50 59.9% 16.7% 102.3% 49.2% 59.4% 9.8% 14.0% 3.5M -234.7M -3.0M 1.87 14.85 N/A N/A 14,504 27,114 734,822 696,040 2020-04-09 $11.17 $9.50 53.4% 16.5% 97.3% 39.9% 60.9% -2.0% 0.6% 4.4M -384.8M -3.0M 0.27 11.13 N/A N/A 97,148 25,898 740,838 715,782 2020-04-13 $12.24 $9.50 62.1% 17.8% 94.9% 52.3% 63.3% -0.2% -0.1% 4.4M -522.4M -3.0M 0.47 4.25 N/A N/A 104,134 48,966 732,124 724,126 2020-04-14 $12.27 $9.50 60.5% 17.2% 94.8% 50.1% 61.8% 0.3% -1.8% 4.7M -525.8M -3.0M 0.30 5.53 N/A N/A 76,822 22,764 752,518 755,416 2020-04-15 $12.30 $9.50 58.8% 16.9% 91.7% 47.6% 59.5% 0.1% -1.1% 5.1M -533.1M -3.1M 0.51 5.12 N/A N/A 34,022 17,450 774,780 762,218 2020-04-16 $12.48 $9.50 58.4% 16.7% 74.3% 47.0% 60.2% 2.8% -0.3% 5.7M -561.0M -3.0M 0.56 4.30 N/A N/A 50,788 28,552 784,464 771,054 2020-04-17 $12.24 $9.50 56.6% 16.2% 73.1% 44.5% 56.5% 1.4% 0.7% 4.9M -525.5M -3.1M 1.05 3.59 N/A N/A 44,554 46,970 791,728 779,124 2020-04-20 $12.57 $9.50 61.3% 17.1% 67.0% 51.1% 60.2% 3.6% -3.8% 4.8M -520.7M -3.0M 0.34 6.15 N/A N/A 48,918 16,440 736,080 764,856 2020-04-21 $12.49 $10.00 61.5% 18.1% 63.5% 51.4% 63.7% 1.8% -2.0% 4.9M -513.3M -3.1M 0.09 5.59 N/A N/A 113,392 10,436 749,900 759,928 2020-04-22 $13.26 $10.00 59.0% 16.8% 56.5% 47.9% 59.4% 1.0% -0.5% 7.9M -670.7M -3.0M 0.34 5.25 N/A N/A 130,078 44,388 792,396 760,072 2020-04-23 $13.40 $10.00 59.3% 17.3% 56.3% 48.3% 61.7% -0.0% -1.1% 7.4M -683.4M -3.1M 0.23 4.99 N/A N/A 143,614 32,808 804,774 784,734 2020-04-24 $13.51 $10.00 57.7% 17.0% 56.3% 46.0% 59.6% -0.7% -1.4% 7.6M -702.6M -3.1M 0.43 4.81 N/A N/A 75,744 32,300 837,422 796,172 2020-04-27 $13.44 $10.50 54.0% 16.2% 55.4% 40.8% 58.5% -0.1% 0.4% 6.9M -645.1M -3.0M 0.30 4.87 N/A N/A 52,606 15,952 807,338 796,368 2020-04-28 $13.46 $10.50 52.6% 15.5% 55.5% 38.8% 55.0% 2.0% -2.6% 7.4M -643.3M -3.2M 0.19 4.75 N/A N/A 49,894 9,600 821,582 803,926 2020-04-29 $13.28 $10.50 50.8% 14.7% 53.9% 36.2% 51.9% 2.1% -4.5% 7.2M -609.9M -3.0M 0.35 4.88 N/A N/A 65,156 22,818 815,126 806,770 2020-04-30 $12.88 $10.50 51.5% 15.6% 56.5% 37.1% 55.9% -1.4% -0.6% 6.2M -541.5M -3.2M 0.49 5.20 N/A N/A 36,690 18,046 844,210 821,082
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