GOLD Options History — July 2020 In July 2020, GOLD traded between $13.11 and $14.91. ATM implied volatility averaged 47.6%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 17.6% (HV 20d: 30.0%). Max pain ranged from $12.50 to $13.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.40.
Notable Days 2020-07-27 : Highest Volume — 148,998 contracts2020-07-06 : Largest IV spike — 8.8% change2020-07-28 : Highest IV Rank — 36.6%2020-07-27 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $13.86 $13.11 $14.91 $13.40 $14.39 Max Pain $12.75 $12.50 $13.50 $12.50 $13.50 ATM IV 47.6% 44.1% 51.1% 45.4% 46.9% Expected Move 13.6% 11.8% 14.4% 12.9% 13.6% HV 20d 30.0% 26.1% 34.6% 28.8% 34.2% HV 60d 41.4% 38.3% 47.5% 47.5% 38.3% IV Rank 31.5% 26.6% 36.6% 28.4% 30.6% IV Percentile 68.5% 61.5% 81.7% 66.3% 61.5% Term Structure 0.1% -1.6% 2.8% -0.2% -0.1% VWIV 48.2% 42.0% 51.2% 45.3% 48.3% Skew 25d -1.0% -3.3% 1.8% 0.3% 0.1% Skew 10d -1.3% -12.4% 4.8% 0.9% -2.2% Call IV 25d 48.9% 44.7% 53.4% 46.5% 47.8% Put IV 25d 47.9% 44.8% 51.4% 46.8% 47.8% Bid-Ask Spread % 5.69 3.72 15.94 15.94 5.69 Gamma HHI 0.11 0.09 0.18 0.10 0.12 Net GEX 9.2M 6.9M 11.7M 10.2M 9.3M Net DEX -638.4M -812.5M -485.9M -585.8M -720.0M Net VEX -3.5M -3.7M -3.3M -3.6M -3.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.21 0.79 0.43 0.29 Total Volume 76,116.273 41,296 148,998 78,836 94,960 Total OI 1,791,167.455 1,695,966 1,929,504 1,711,960 1,929,504
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 2020-07-01 $13.40 $12.50 45.4% 12.9% 28.8% 28.4% 45.3% 0.3% -0.2% 10.2M -585.8M -3.6M 0.43 15.94 N/A N/A 55,134 23,702 930,256 781,704 2020-07-02 $13.19 $12.50 44.1% 11.8% 29.8% 26.6% 42.0% 0.1% 0.7% 9.9M -544.6M -3.6M 0.41 4.91 N/A N/A 38,674 15,794 949,262 816,300 2020-07-06 $13.27 $12.50 48.0% 13.4% 29.6% 32.1% 47.0% -1.7% 2.2% 7.9M -541.7M -3.6M 0.46 4.46 N/A N/A 34,878 15,936 925,516 812,556 2020-07-07 $13.53 $12.50 47.0% 13.5% 29.8% 30.6% 47.5% 1.8% -1.6% 9.4M -603.0M -3.6M 0.21 4.38 N/A N/A 45,438 9,586 933,518 816,100 2020-07-08 $13.86 $12.50 49.2% 13.8% 29.0% 33.8% 48.9% -2.6% 0.1% 10.8M -681.8M -3.5M 0.25 8.24 N/A N/A 94,712 23,814 942,042 819,678 2020-07-09 $13.79 $12.50 48.8% 14.0% 28.5% 33.2% 49.7% -3.3% 0.5% 10.8M -656.8M -3.6M 0.56 4.50 N/A N/A 47,860 26,900 948,610 830,268 2020-07-10 $13.53 $12.50 47.0% 14.0% 26.1% 30.8% 49.7% 0.1% 2.8% 11.7M -595.9M -3.6M 0.41 3.84 N/A N/A 34,748 14,420 959,342 850,134 2020-07-13 $13.11 $12.50 49.6% 14.3% 29.3% 34.4% 50.5% -0.8% -0.2% 6.9M -485.9M -3.7M 0.46 4.79 N/A N/A 41,036 19,060 934,606 839,778 2020-07-14 $13.46 $12.50 48.8% 14.2% 29.6% 33.2% 50.9% -1.1% 0.6% 8.5M -561.6M -3.6M 0.47 4.05 N/A N/A 34,530 16,340 945,204 849,288 2020-07-15 $13.54 $12.50 48.6% 14.1% 28.5% 33.0% 49.7% -0.8% 0.3% 9.5M -583.4M -3.5M 0.79 3.84 N/A N/A 23,108 18,188 951,986 860,466 2020-07-16 $13.34 $12.50 47.3% 13.7% 29.1% 31.1% 48.5% -2.0% 0.4% 8.6M -539.1M -3.4M 0.31 4.59 N/A N/A 36,516 11,264 955,174 861,848 2020-07-17 $13.69 $12.50 45.5% 13.0% 29.7% 28.6% 46.3% 0.0% -0.2% 11.2M -626.6M -3.4M 0.42 4.71 N/A N/A 43,676 18,176 953,226 868,992 2020-07-20 $14.06 $12.50 45.6% 13.1% 30.4% 28.7% 46.3% -0.4% 0.6% 7.6M -656.5M -3.4M 0.51 3.72 N/A N/A 46,612 23,540 879,970 815,996 2020-07-21 $14.13 $13.00 46.0% 13.1% 27.9% 29.2% 46.5% -0.6% -1.1% 8.2M -668.3M -3.4M 0.40 4.62 N/A N/A 67,866 27,440 892,974 829,030 2020-07-22 $14.26 $13.00 48.3% 13.8% 27.9% 32.5% 48.8% -1.3% -0.5% 8.9M -697.8M -3.3M 0.33 4.58 N/A N/A 50,272 16,418 908,964 843,058 2020-07-23 $14.03 $13.00 46.8% 13.4% 29.0% 30.4% 48.1% -1.7% 0.6% 9.9M -647.5M -3.4M 0.45 4.78 N/A N/A 72,960 32,956 926,260 854,174 2020-07-24 $14.19 $13.00 46.4% 13.3% 28.7% 29.9% 47.5% -0.6% -0.2% 9.1M -678.2M -3.4M 0.32 4.19 N/A N/A 50,320 16,324 937,874 869,150 2020-07-27 $14.91 $13.00 50.3% 14.4% 32.8% 35.5% 50.6% -2.3% -0.7% 8.4M -812.5M -3.4M 0.30 7.56 N/A N/A 114,756 34,242 926,724 859,886 2020-07-28 $14.81 $13.00 51.1% 14.4% 33.1% 36.6% 51.2% -2.0% -1.5% 9.3M -796.1M -3.5M 0.35 10.65 N/A N/A 63,620 21,992 958,354 869,030 2020-07-29 $14.40 $13.00 48.4% 13.6% 33.8% 32.6% 48.8% -2.9% -0.5% 8.8M -713.7M -3.5M 0.31 5.97 N/A N/A 82,420 25,876 983,206 879,312 2020-07-30 $14.14 $13.50 47.5% 13.7% 34.6% 31.4% 49.6% -0.6% 1.3% 7.7M -648.2M -3.6M 0.34 5.06 N/A N/A 66,202 22,292 1,012,782 893,582 2020-07-31 $14.39 $13.50 46.9% 13.6% 34.2% 30.6% 48.3% 0.1% -0.1% 9.3M -720.0M -3.5M 0.29 5.69 N/A N/A 73,756 21,204 1,024,614 904,890
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