GOLD Options History — September 2020 In September 2020, GOLD traded between $13.53 and $15.23. ATM implied volatility averaged 44.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 2.5% (HV 20d: 41.5%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.56.
Notable Days 2020-09-10 : Highest Volume — 166,708 contracts2020-09-23 : Largest IV spike — 8.7% change2020-09-03 : Highest IV Rank — 33.1%2020-09-03 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $14.47 $13.53 $15.23 $14.63 $14.04 Max Pain $14.55 $14.00 $15.00 $14.00 $14.50 ATM IV 44.0% 40.7% 48.7% 47.6% 41.5% Expected Move 12.4% 11.2% 13.9% 13.2% 11.2% HV 20d 41.5% 28.2% 60.4% 60.2% 31.7% HV 60d 43.2% 42.0% 44.3% 43.5% 43.9% IV Rank 26.4% 21.7% 33.1% 31.6% 22.8% IV Percentile 50.0% 41.7% 68.3% 62.7% 42.1% Term Structure 0.8% -1.8% 4.5% -0.2% 2.5% VWIV 43.8% 39.7% 48.7% 47.1% 39.7% Skew 25d -0.5% -2.8% 2.1% -2.8% 0.3% Skew 10d -0.9% -9.1% 6.7% -9.1% 1.6% Call IV 25d 45.3% 41.5% 51.1% 49.7% 41.5% Put IV 25d 44.8% 41.8% 49.0% 46.9% 41.8% Bid-Ask Spread % 4.70 2.54 9.20 3.27 4.68 Gamma HHI 0.12 0.09 0.25 0.11 0.09 Net GEX 6.2M -10.1M 16.3M 8.3M 4.4M Net DEX -562.4M -845.0M -238.4M -623.2M -430.7M Net VEX -4.6M -4.7M -4.4M -4.7M -4.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.25 1.26 0.55 0.44 Total Volume 116,431.333 60,608 166,708 96,568 60,608 Total OI 2,419,915.333 2,189,970 2,636,140 2,385,686 2,354,046
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 2020-09-01 $14.63 $14.00 47.6% 13.2% 60.2% 31.6% 47.1% -2.8% -0.2% 8.3M -623.2M -4.7M 0.55 3.27 N/A N/A 62,424 34,144 1,163,494 1,222,192 2020-09-02 $14.80 $14.00 47.1% 13.0% 60.4% 30.8% 46.3% -0.9% 0.5% 10.3M -684.7M -4.7M 0.35 2.93 N/A N/A 76,342 26,380 1,175,986 1,242,372 2020-09-03 $14.56 $14.50 48.7% 13.9% 60.4% 33.1% 48.7% -2.2% 1.0% 7.5M -603.3M -4.7M 0.89 8.21 N/A N/A 78,928 70,540 1,188,326 1,249,808 2020-09-04 $14.57 $14.50 48.1% 13.5% 60.0% 32.3% 47.6% -2.8% -0.6% 6.6M -602.3M -4.7M 0.44 9.20 N/A N/A 107,858 47,702 1,205,528 1,262,752 2020-09-08 $14.66 $14.50 48.6% 13.6% 60.0% 33.0% 48.2% -1.5% -1.8% 7.7M -638.1M -4.7M 0.38 9.01 N/A N/A 74,342 28,336 1,171,238 1,247,872 2020-09-09 $15.23 $14.50 46.3% 13.2% 49.6% 29.7% 46.8% -2.0% -0.2% 14.9M -845.0M -4.6M 0.41 2.54 N/A N/A 116,256 47,244 1,193,156 1,258,818 2020-09-10 $15.05 $14.50 45.0% 12.9% 50.1% 27.8% 45.2% -1.0% -0.7% 14.6M -789.9M -4.4M 1.26 3.11 N/A N/A 73,802 92,906 1,205,902 1,270,708 2020-09-11 $14.90 $14.50 43.4% 12.4% 49.3% 25.5% 43.3% -0.0% -0.5% 12.0M -715.5M -4.5M 0.38 3.01 N/A N/A 95,338 36,554 1,213,092 1,308,268 2020-09-14 $14.97 $14.50 43.2% 12.4% 49.1% 25.3% 44.0% -1.6% 0.5% 12.9M -735.8M -4.5M 0.39 7.34 N/A N/A 70,790 27,312 1,210,894 1,274,386 2020-09-15 $14.95 $14.50 42.0% 12.0% 31.2% 23.5% 42.5% -1.0% 0.3% 14.3M -748.1M -4.5M 0.43 4.28 N/A N/A 65,316 27,926 1,233,532 1,300,604 2020-09-16 $15.04 $15.00 42.1% 12.1% 31.2% 23.7% 42.5% -0.9% 0.7% 16.3M -771.3M -4.4M 0.41 3.32 N/A N/A 64,586 26,614 1,238,124 1,313,516 2020-09-17 $14.48 $15.00 42.4% 12.1% 31.1% 24.1% 42.9% 0.7% 0.5% 3.3M -553.0M -4.4M 0.69 3.25 N/A N/A 89,498 62,124 1,253,928 1,326,044 2020-09-18 $14.47 $15.00 41.5% 11.8% 28.2% 22.8% 42.1% -0.4% 2.0% -10.1M -531.9M -4.5M 1.01 4.67 N/A N/A 70,152 70,884 1,286,952 1,349,188 2020-09-21 $14.10 $15.00 42.8% 12.2% 28.3% 24.7% 42.7% 0.2% -0.2% 1.2M -383.0M -4.5M 0.55 2.94 N/A N/A 76,500 41,726 1,032,350 1,157,620 2020-09-22 $14.20 $14.50 40.7% 11.3% 28.4% 21.7% 39.9% 0.4% 0.5% 1.8M -405.9M -4.5M 0.27 6.43 N/A N/A 123,250 32,796 1,056,762 1,175,642 2020-09-23 $13.53 $14.50 44.2% 12.7% 33.0% 26.7% 44.5% 0.5% 1.3% -2.4M -238.4M -4.6M 0.50 6.55 N/A N/A 89,994 44,616 1,114,878 1,196,048 2020-09-24 $13.81 $14.50 43.9% 12.4% 33.0% 26.3% 43.4% 2.0% 0.6% -852.5K -325.5M -4.7M 0.66 5.08 N/A N/A 49,230 32,368 1,144,228 1,209,834 2020-09-25 $13.86 $14.50 43.1% 11.7% 32.4% 25.2% 41.1% 2.1% 2.7% 66.9K -350.5M -4.6M 1.09 3.33 N/A N/A 46,228 50,344 1,154,198 1,217,724 2020-09-28 $13.86 $14.50 41.4% 11.3% 31.6% 22.6% 40.1% 0.1% 4.5% 1.8M -370.5M -4.5M 0.25 2.64 N/A N/A 58,916 14,688 1,114,732 1,191,032 2020-09-29 $14.14 $14.50 40.8% 11.2% 32.0% 21.9% 40.5% 1.1% 4.0% 5.3M -463.3M -4.5M 0.48 2.83 N/A N/A 53,826 25,670 1,135,684 1,196,764 2020-09-30 $14.04 $14.50 41.5% 11.2% 31.7% 22.8% 39.7% 0.3% 2.5% 4.4M -430.7M -4.5M 0.44 4.68 N/A N/A 42,154 18,454 1,144,096 1,209,950
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