GOLD Options History — June 2020 In June 2020, GOLD traded between $11.58 and $13.49. ATM implied volatility averaged 49.6%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 7.1% (HV 20d: 42.6%). Max pain ranged from $12.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.42.
Notable Days 2020-06-12 : Highest Volume — 151,356 contracts2020-06-11 : Largest IV spike — 11.5% change2020-06-12 : Highest IV Rank — 42.4%2020-06-11 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $12.34 $11.58 $13.49 $12.36 $13.49 Max Pain $12.14 $12.00 $12.50 $12.25 $12.50 ATM IV 49.6% 47.1% 55.1% 48.5% 47.3% Expected Move 14.3% 13.3% 15.9% 13.8% 13.4% HV 20d 42.6% 31.5% 51.0% 50.8% 31.5% HV 60d 59.4% 47.7% 74.2% 73.9% 47.8% IV Rank 34.5% 30.8% 42.4% 32.9% 31.1% IV Percentile 78.0% 67.9% 86.9% 77.8% 67.9% Term Structure -0.1% -2.1% 3.3% -2.1% 3.2% VWIV 50.6% 47.1% 55.9% 49.2% 48.3% Skew 25d 0.6% -1.0% 1.9% 1.1% 0.6% Skew 10d 1.6% -1.0% 5.6% 2.8% 1.5% Call IV 25d 50.8% 47.9% 56.8% 49.3% 48.3% Put IV 25d 51.3% 48.7% 58.6% 50.4% 48.9% Bid-Ask Spread % 5.48 4.11 8.01 4.59 4.79 Gamma HHI 0.10 0.07 0.28 0.09 0.09 Net GEX 6.0M 1.5M 13.8M 3.4M 8.6M Net DEX -410.7M -602.0M -243.3M -393.1M -602.0M Net VEX -3.7M -3.8M -3.6M -3.6M -3.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.20 0.84 0.27 0.57 Total Volume 88,781 49,780 151,356 54,494 123,608 Total OI 1,897,481.818 1,637,414 2,107,964 1,864,946 1,699,220
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 2020-06-01 $12.36 $12.25 48.5% 13.8% 50.8% 32.9% 49.2% 1.1% -2.1% 3.4M -393.1M -3.6M 0.27 4.59 N/A N/A 42,928 11,566 948,064 916,882 2020-06-02 $11.99 $12.25 47.3% 13.8% 51.0% 31.1% 49.1% 0.4% -1.2% 2.9M -325.4M -3.6M 0.32 4.43 N/A N/A 50,994 16,418 965,192 922,006 2020-06-03 $11.63 $12.00 47.5% 14.0% 50.5% 31.4% 50.2% 0.8% -1.1% 2.4M -247.6M -3.6M 0.30 8.01 N/A N/A 70,772 21,014 989,596 931,786 2020-06-04 $11.61 $12.00 47.1% 13.3% 47.3% 30.8% 47.1% 0.8% -0.8% 2.4M -248.8M -3.6M 0.56 4.77 N/A N/A 45,806 25,742 1,006,108 937,098 2020-06-05 $11.58 $12.00 47.7% 13.4% 45.1% 31.7% 47.3% 1.9% -1.1% 1.5M -243.3M -3.6M 0.42 4.11 N/A N/A 81,958 34,802 1,018,626 939,886 2020-06-08 $11.77 $12.00 48.3% 13.5% 45.9% 32.6% 48.3% 0.9% -1.0% 3.8M -306.5M -3.6M 0.26 4.58 N/A N/A 44,754 11,412 1,011,912 930,226 2020-06-09 $12.15 $12.00 49.5% 14.2% 45.9% 34.3% 50.0% 0.7% 0.9% 4.7M -402.0M -3.7M 0.27 5.01 N/A N/A 94,292 25,624 1,027,688 937,570 2020-06-10 $12.45 $12.00 49.2% 14.3% 46.9% 33.9% 50.4% -0.1% 0.8% 6.2M -489.3M -3.7M 0.43 6.10 N/A N/A 74,898 32,382 1,050,200 952,160 2020-06-11 $12.03 $12.00 54.9% 15.9% 48.1% 41.9% 55.9% 1.1% 0.4% 5.5M -380.4M -3.8M 0.45 7.79 N/A N/A 102,378 45,854 1,068,588 965,822 2020-06-12 $12.09 $12.00 55.1% 15.9% 45.9% 42.4% 55.9% 1.8% 0.7% 4.6M -385.2M -3.8M 0.73 6.85 N/A N/A 87,372 63,984 1,081,406 984,576 2020-06-15 $12.38 $12.00 53.2% 15.3% 45.2% 39.6% 54.2% 0.4% -0.9% 4.8M -457.7M -3.8M 0.29 5.56 N/A N/A 70,486 20,788 1,071,216 958,608 2020-06-16 $12.17 $12.00 51.5% 14.8% 44.6% 37.2% 52.1% 0.1% -0.5% 5.1M -404.9M -3.7M 0.64 5.63 N/A N/A 32,270 20,532 1,094,270 969,678 2020-06-17 $12.10 $12.00 50.9% 14.6% 42.3% 36.3% 52.0% -1.0% -0.2% 4.6M -377.9M -3.8M 0.20 4.48 N/A N/A 43,186 8,712 1,099,734 976,544 2020-06-18 $12.03 $12.00 49.2% 14.1% 41.6% 33.8% 50.0% -0.6% -0.2% 4.9M -353.2M -3.7M 0.84 5.28 N/A N/A 32,314 27,004 1,118,630 980,796 2020-06-19 $12.24 $12.00 49.4% 14.2% 40.9% 34.2% 50.1% 0.9% -0.1% 10.6M -404.2M -3.7M 0.62 6.06 N/A N/A 69,666 43,114 1,123,136 984,828 2020-06-22 $12.72 $12.00 50.4% 14.5% 43.6% 35.6% 50.6% 0.0% -1.4% 7.8M -478.3M -3.7M 0.29 5.30 N/A N/A 82,844 24,034 904,230 733,184 2020-06-23 $12.86 $12.00 49.2% 14.0% 36.1% 33.9% 49.7% 0.1% -0.6% 8.9M -500.5M -3.7M 0.27 4.90 N/A N/A 89,510 23,946 919,988 743,110 2020-06-24 $12.92 $12.50 49.5% 14.6% 33.4% 34.3% 51.8% 0.4% 3.3% 9.4M -515.0M -3.7M 0.30 5.79 N/A N/A 63,266 18,722 935,346 752,550 2020-06-25 $12.82 $12.50 48.5% 14.0% 33.7% 32.8% 49.8% 0.7% 0.0% 10.0M -491.9M -3.8M 0.34 6.50 N/A N/A 37,510 12,710 944,384 760,564 2020-06-26 $12.94 $12.50 49.1% 14.5% 33.7% 33.7% 51.1% 0.4% -0.6% 13.8M -514.4M -3.7M 0.48 4.89 N/A N/A 50,048 24,182 945,624 768,596 2020-06-29 $13.07 $12.50 48.5% 14.0% 32.4% 32.8% 49.7% 1.0% -0.0% 7.0M -513.5M -3.7M 0.49 5.10 N/A N/A 33,404 16,376 907,360 767,612 2020-06-30 $13.49 $12.50 47.3% 13.4% 31.5% 31.1% 48.3% 0.6% 3.2% 8.6M -602.0M -3.7M 0.57 4.79 N/A N/A 78,668 44,940 920,180 779,040
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