GOLD Options History — October 2020 In October 2020, GOLD traded between $12.97 and $14.18. ATM implied volatility averaged 43.1%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 12.7% (HV 20d: 30.5%). Max pain ranged from $14.00 to $14.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.42.
Notable Days 2020-10-28 : Highest Volume — 153,222 contracts2020-10-28 : Largest IV spike — 12.5% change2020-10-28 : Highest IV Rank — 30.3%2020-10-28 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $13.67 $12.97 $14.18 $14.12 $13.36 Max Pain $14.05 $14.00 $14.50 $14.50 $14.00 ATM IV 43.1% 40.6% 46.7% 41.1% 44.8% Expected Move 12.4% 11.1% 14.0% 11.1% 13.5% HV 20d 30.5% 25.4% 34.9% 31.4% 30.2% HV 60d 43.0% 41.8% 44.0% 43.6% 42.2% IV Rank 25.2% 21.6% 30.3% 22.3% 27.5% IV Percentile 42.8% 33.7% 54.8% 41.3% 47.6% Term Structure 0.2% -1.5% 8.2% 4.3% -0.8% VWIV 43.4% 39.1% 48.5% 39.1% 47.0% Skew 25d 0.1% -1.8% 1.9% 0.0% 1.3% Skew 10d -0.5% -4.5% 5.1% 1.1% 2.0% Call IV 25d 43.7% 40.7% 46.1% 41.4% 44.2% Put IV 25d 43.8% 41.4% 48.1% 41.4% 45.5% Bid-Ask Spread % 3.49 2.59 6.58 3.21 3.21 Gamma HHI 0.11 0.09 0.18 0.09 0.09 Net GEX 3.5M -3.1M 13.6M 6.4M 3.2M Net DEX -352.0M -543.1M -157.7M -456.8M -293.5M Net VEX -4.3M -4.5M -4.1M -4.5M -4.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.18 0.87 0.36 0.48 Total Volume 91,824 53,084 153,222 63,512 99,790 Total OI 2,414,565.455 2,304,502 2,536,972 2,364,394 2,469,042
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 2020-10-01 $14.12 $14.50 41.1% 11.1% 31.4% 22.3% 39.1% 0.0% 4.3% 6.4M -456.8M -4.5M 0.36 3.21 N/A N/A 46,640 16,872 1,152,956 1,211,438 2020-10-02 $13.98 $14.50 43.5% 11.2% 31.1% 25.8% 39.3% 0.1% 8.2% 1.7M -409.9M -4.5M 0.35 3.27 N/A N/A 50,968 18,080 1,161,696 1,218,584 2020-10-05 $14.18 $14.00 43.3% 12.6% 31.6% 25.5% 44.4% 0.6% -1.4% 4.9M -476.3M -4.4M 0.31 4.75 N/A N/A 57,384 17,688 1,114,230 1,190,272 2020-10-06 $13.57 $14.00 43.5% 12.8% 34.9% 25.7% 45.3% 0.4% 1.1% -570.1K -284.9M -4.3M 0.41 3.81 N/A N/A 83,752 34,542 1,126,652 1,194,532 2020-10-07 $13.46 $14.00 44.1% 12.6% 31.1% 26.6% 45.1% -1.7% 1.6% -3.1M -243.2M -4.3M 0.37 2.73 N/A N/A 62,524 23,228 1,154,334 1,214,706 2020-10-08 $13.66 $14.00 42.5% 12.2% 31.8% 24.2% 43.3% -0.5% 0.0% -738.0K -313.3M -4.3M 0.43 3.05 N/A N/A 48,750 21,080 1,183,758 1,225,354 2020-10-09 $14.01 $14.00 41.9% 11.9% 33.5% 23.4% 42.9% -1.8% -0.3% 12.3M -447.5M -4.3M 0.48 3.86 N/A N/A 67,662 32,144 1,191,308 1,233,114 2020-10-12 $14.01 $14.00 44.0% 12.1% 33.4% 26.4% 42.7% -0.8% -1.4% 5.0M -453.1M -4.3M 0.18 3.37 N/A N/A 123,242 22,440 1,159,850 1,206,976 2020-10-13 $13.98 $14.00 43.9% 12.4% 33.4% 26.3% 43.3% -1.3% -1.0% 8.3M -458.6M -4.3M 0.32 2.96 N/A N/A 73,214 23,446 1,231,008 1,216,454 2020-10-14 $14.18 $14.00 44.0% 12.4% 33.8% 26.4% 43.4% -1.8% -0.8% 13.6M -543.1M -4.3M 0.33 3.22 N/A N/A 63,890 21,306 1,254,020 1,227,530 2020-10-15 $13.88 $14.00 43.5% 12.3% 32.1% 25.7% 43.2% -0.5% -1.0% 5.8M -416.0M -4.3M 0.23 2.75 N/A N/A 85,576 19,796 1,275,444 1,232,046 2020-10-16 $13.79 $14.00 42.9% 12.2% 32.1% 24.9% 43.1% 0.3% -0.2% 4.4M -392.6M -4.3M 0.49 3.37 N/A N/A 60,904 29,696 1,307,994 1,228,978 2020-10-19 $13.55 $14.00 42.4% 12.1% 31.3% 24.2% 42.4% -0.4% -0.5% 3.3M -345.2M -4.1M 0.56 2.75 N/A N/A 71,312 39,698 1,181,274 1,150,114 2020-10-20 $13.52 $14.00 43.6% 12.5% 31.1% 25.9% 43.7% 0.1% -1.5% 2.5M -326.6M -4.2M 0.39 6.12 N/A N/A 52,144 20,468 1,205,254 1,179,560 2020-10-21 $13.67 $14.00 42.3% 12.1% 26.2% 24.0% 42.4% 0.9% -0.4% 4.5M -376.7M -4.2M 0.46 2.79 N/A N/A 47,974 22,296 1,229,586 1,193,880 2020-10-22 $13.45 $14.00 41.9% 12.0% 25.7% 23.4% 42.4% 0.4% -0.6% 1.1M -285.6M -4.3M 0.45 2.96 N/A N/A 55,906 25,060 1,244,992 1,208,446 2020-10-23 $13.40 $14.00 40.6% 11.7% 25.7% 21.6% 41.2% 0.8% -0.6% 692.1K -272.6M -4.3M 0.59 3.22 N/A N/A 63,700 37,532 1,258,818 1,221,398 2020-10-26 $13.30 $14.00 42.7% 12.7% 25.7% 24.5% 44.4% 0.3% -0.9% 207.2K -240.5M -4.2M 0.87 6.58 N/A N/A 51,838 44,968 1,179,080 1,218,296 2020-10-27 $13.53 $14.00 41.5% 12.3% 25.4% 22.8% 42.5% 1.4% 0.4% 3.2M -336.9M -4.1M 0.35 2.59 N/A N/A 39,274 13,810 1,196,302 1,205,334 2020-10-28 $12.97 $14.00 46.7% 14.0% 29.0% 30.3% 48.5% 1.9% 0.5% -345.6K -157.7M -4.1M 0.44 3.20 N/A N/A 106,192 47,030 1,203,336 1,210,988 2020-10-29 $13.14 $14.00 44.1% 13.1% 29.5% 26.5% 45.3% 1.5% -1.1% 989.8K -213.4M -4.1M 0.40 3.12 N/A N/A 54,626 21,686 1,232,224 1,219,282 2020-10-30 $13.36 $14.00 44.8% 13.5% 30.2% 27.5% 47.0% 1.3% -0.8% 3.2M -293.5M -4.2M 0.48 3.21 N/A N/A 67,434 32,356 1,241,752 1,227,290
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