GOLD Options History — May 2020 In May 2020, GOLD traded between $11.91 and $14.06. ATM implied volatility averaged 49.7%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 0.2% (HV 20d: 49.8%). Max pain ranged from $10.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.50.
Notable Days 2020-05-27 : Highest Volume — 136,478 contracts2020-05-05 : Largest IV drop — 4.7% change2020-05-04 : Highest IV Rank — 40.5%2020-05-01 : Largest Expected Move — 16.7%Monthly Statistics Metric Avg Min Max Open Close Price $13.22 $11.91 $14.06 $13.47 $11.99 Max Pain $11.61 $10.50 $12.50 $10.50 $12.00 ATM IV 49.7% 46.8% 53.8% 52.8% 47.7% Expected Move 14.4% 13.4% 16.7% 16.7% 13.6% HV 20d 49.8% 44.5% 57.7% 54.3% 52.5% HV 60d 74.6% 73.5% 75.5% 73.5% 74.0% IV Rank 34.5% 30.4% 40.5% 39.1% 31.7% IV Percentile 81.1% 76.6% 86.1% 85.7% 76.6% Term Structure -0.3% -3.2% 2.1% -0.6% -1.3% VWIV 51.0% 47.2% 60.2% 60.2% 49.3% Skew 25d 1.1% -0.3% 3.9% 3.9% 1.0% Skew 10d 2.0% -3.4% 6.3% -3.4% 5.0% Call IV 25d 49.9% 47.0% 53.7% 52.4% 49.0% Put IV 25d 51.1% 47.6% 56.3% 56.3% 50.0% Bid-Ask Spread % 5.04 3.22 13.55 3.86 13.55 Gamma HHI 0.12 0.08 0.42 0.23 0.09 Net GEX 6.1M 1.7M 15.5M 12.2M 3.9M Net DEX -564.4M -783.1M -284.7M -643.7M -311.9M Net VEX -3.4M -3.6M -3.1M -3.2M -3.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.20 1.61 0.75 0.35 Total Volume 89,413.8 43,950 136,478 102,564 57,162 Total OI 1,789,985.2 1,662,666 1,915,310 1,676,942 1,915,310
Daily Data (20 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 2020-05-01 $13.47 $10.50 52.8% 16.7% 54.3% 39.1% 60.2% 3.9% -0.6% 12.2M -643.7M -3.2M 0.75 3.86 N/A N/A 58,708 43,856 848,624 828,318 2020-05-04 $13.69 $10.50 53.8% 15.4% 53.3% 40.5% 53.9% 1.1% -1.3% 6.4M -667.2M -3.1M 0.52 5.90 N/A N/A 70,004 36,552 819,948 842,718 2020-05-05 $14.01 $11.00 51.3% 14.9% 52.9% 36.9% 52.5% 2.9% -0.7% 7.3M -725.3M -3.2M 0.72 5.16 N/A N/A 65,352 46,842 846,076 863,878 2020-05-06 $13.24 $11.50 51.6% 15.0% 57.4% 37.3% 52.9% 1.9% 0.5% 5.4M -583.9M -3.3M 0.33 3.87 N/A N/A 68,830 22,906 874,646 897,034 2020-05-07 $13.68 $11.50 50.8% 14.6% 57.7% 36.1% 51.8% 2.4% 0.2% 8.0M -666.9M -3.4M 0.20 4.76 N/A N/A 57,966 11,688 888,550 909,382 2020-05-08 $13.67 $11.50 49.0% 14.1% 51.0% 33.5% 50.0% 0.7% 0.1% 9.2M -677.5M -3.3M 0.41 3.32 N/A N/A 40,528 16,780 916,116 911,198 2020-05-11 $13.09 $11.50 50.2% 14.3% 44.5% 35.2% 50.1% 0.9% 0.1% 4.8M -549.2M -3.3M 0.62 4.39 N/A N/A 63,300 39,278 879,192 902,986 2020-05-12 $12.98 $11.00 50.5% 14.1% 44.7% 35.7% 49.7% -0.3% -1.9% 5.0M -542.4M -3.3M 0.20 5.05 N/A N/A 36,668 7,282 903,182 893,132 2020-05-13 $13.10 $11.00 48.8% 14.5% 44.7% 33.2% 50.1% 1.7% 2.1% 5.1M -563.8M -3.3M 0.29 6.07 N/A N/A 70,158 20,656 910,944 896,134 2020-05-14 $13.57 $11.00 50.9% 14.8% 46.0% 36.3% 51.5% 1.6% 0.8% 9.9M -672.3M -3.4M 0.22 4.86 N/A N/A 56,746 12,318 941,980 911,358 2020-05-15 $14.01 $11.00 49.8% 14.3% 46.1% 34.7% 51.4% 1.4% -0.2% 15.5M -783.1M -3.3M 0.39 3.22 N/A N/A 83,528 32,814 946,008 914,214 2020-05-18 $13.62 $12.00 47.9% 13.7% 47.1% 32.0% 48.7% 0.4% 0.9% 5.2M -599.2M -3.4M 0.38 4.79 N/A N/A 55,912 21,482 843,094 841,578 2020-05-19 $14.06 $12.00 48.7% 13.9% 47.9% 33.2% 50.6% 0.0% -0.6% 6.5M -689.6M -3.4M 0.79 4.14 N/A N/A 43,750 34,368 865,144 856,378 2020-05-20 $13.65 $12.50 49.0% 14.1% 45.0% 33.6% 49.7% 0.3% -0.8% 5.0M -605.2M -3.4M 1.61 4.29 N/A N/A 41,424 66,620 881,404 881,742 2020-05-21 $13.18 $12.50 47.9% 13.7% 46.7% 32.0% 48.4% -0.3% -0.1% 2.8M -510.1M -3.5M 0.52 5.09 N/A N/A 87,452 45,652 896,344 879,356 2020-05-22 $13.19 $12.50 46.8% 13.4% 46.6% 30.4% 47.2% 0.6% -0.3% 3.6M -535.9M -3.5M 0.26 4.45 N/A N/A 35,644 9,202 934,750 874,412 2020-05-26 $12.33 $12.50 47.6% 13.8% 52.2% 31.5% 49.1% 0.3% -3.2% 2.0M -366.2M -3.4M 0.55 4.63 N/A N/A 75,532 41,434 905,296 909,982 2020-05-27 $11.91 $12.25 49.2% 14.2% 53.2% 33.8% 51.1% 0.9% -0.1% 1.7M -284.7M -3.5M 0.52 4.33 N/A N/A 89,512 46,966 939,428 933,570 2020-05-28 $12.01 $12.00 48.8% 14.0% 53.3% 33.3% 52.0% 1.7% 0.4% 3.2M -310.5M -3.6M 0.31 5.12 N/A N/A 56,140 17,264 969,026 927,272 2020-05-29 $11.99 $12.00 47.7% 13.6% 52.5% 31.7% 49.3% 1.0% -1.3% 3.9M -311.9M -3.6M 0.35 13.55 N/A N/A 42,478 14,684 980,914 934,396
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