GOLD Options History — November 2020 In November 2020, GOLD traded between $11.30 and $14.73. ATM implied volatility averaged 37.4%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 6.1% (HV 20d: 43.5%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.43.
Notable Days 2020-11-09 : Highest Volume — 236,336 contracts2020-11-04 : Largest IV drop — 8.6% change2020-11-02 : Highest IV Rank — 27.3%2020-11-02 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $12.74 $11.30 $14.73 $13.53 $11.54 Max Pain $13.57 $13.00 $14.00 $14.00 $13.00 ATM IV 37.4% 33.6% 44.6% 44.6% 37.3% Expected Move 11.0% 9.5% 13.8% 13.8% 11.0% HV 20d 43.5% 27.3% 49.6% 30.1% 47.3% HV 60d 37.8% 35.5% 43.1% 42.2% 36.6% IV Rank 17.0% 11.5% 27.3% 27.3% 16.8% IV Percentile 29.0% 24.2% 47.2% 47.2% 27.8% Term Structure -0.1% -1.2% 0.8% -0.5% -0.2% VWIV 39.4% 34.9% 48.6% 48.6% 40.3% Skew 25d -1.1% -3.0% 1.3% 1.3% -3.0% Skew 10d -2.6% -5.2% 1.0% 1.0% -4.6% Call IV 25d 38.9% 35.3% 45.1% 44.5% 39.4% Put IV 25d 37.8% 34.0% 45.8% 45.8% 36.4% Bid-Ask Spread % 3.56 2.17 14.09 14.09 3.41 Gamma HHI 0.10 0.08 0.14 0.10 0.08 Net GEX 1.5M -6.1M 17.9M 4.5M 1.8M Net DEX -160.7M -858.1M 139.9M -364.4M 51.1M Net VEX -3.9M -4.2M -3.6M -4.2M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.31 0.76 0.31 0.31 Total Volume 142,735.3 62,184 236,336 62,184 187,366 Total OI 2,600,732.1 2,435,496 2,827,034 2,435,496 2,685,422
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 2020-11-02 $13.53 $14.00 44.6% 13.8% 30.1% 27.3% 48.6% 1.3% -0.5% 4.5M -364.4M -4.2M 0.31 14.09 N/A N/A 47,432 14,752 1,230,850 1,204,646 2020-11-03 $13.88 $14.00 43.6% 13.6% 27.3% 25.9% 48.0% -0.0% 0.6% 7.0M -481.2M -4.2M 0.38 2.84 N/A N/A 61,028 23,344 1,230,850 1,204,646 2020-11-04 $13.69 $14.00 39.9% 12.0% 27.7% 20.5% 43.1% 0.0% -0.7% 7.1M -424.8M -4.1M 0.37 7.68 N/A N/A 55,956 20,660 1,264,814 1,214,676 2020-11-05 $14.73 $14.00 38.1% 10.9% 37.6% 18.0% 39.0% -0.6% 0.1% 17.9M -858.1M -4.0M 0.34 3.25 N/A N/A 170,140 58,008 1,282,166 1,218,064 2020-11-06 $14.45 $14.00 36.4% 10.7% 37.6% 15.6% 37.9% -0.4% 0.8% 17.4M -741.8M -4.0M 0.46 2.59 N/A N/A 68,518 31,770 1,299,500 1,224,698 2020-11-09 $13.43 $14.00 37.0% 10.7% 46.1% 16.3% 38.4% -0.1% 0.3% 763.9K -293.1M -3.8M 0.45 3.20 N/A N/A 163,216 73,120 1,250,636 1,205,662 2020-11-10 $13.03 $14.00 37.7% 11.2% 47.1% 17.4% 39.8% 0.2% 0.7% -998.8K -175.0M -3.9M 0.39 2.70 N/A N/A 91,796 35,576 1,316,378 1,224,094 2020-11-11 $12.88 $13.50 37.4% 10.7% 46.8% 16.9% 38.6% 1.0% 0.0% -2.6M -108.1M -3.9M 0.43 2.91 N/A N/A 87,082 37,880 1,347,582 1,243,320 2020-11-12 $12.94 $13.50 38.2% 11.0% 46.4% 18.1% 39.1% -0.4% -0.2% -2.2M -142.9M -4.0M 0.33 2.66 N/A N/A 53,662 17,668 1,379,166 1,259,492 2020-11-13 $12.97 $13.50 36.8% 10.6% 46.5% 16.1% 37.9% -1.3% 0.3% -6.1M -155.6M -3.9M 0.46 2.26 N/A N/A 66,396 30,552 1,387,792 1,264,302 2020-11-16 $12.95 $13.50 35.4% 10.2% 46.2% 14.0% 36.6% -1.1% -0.3% -4.0M -136.8M -3.8M 0.55 2.45 N/A N/A 66,448 36,522 1,360,200 1,255,662 2020-11-17 $12.69 $13.50 35.5% 10.2% 46.6% 14.3% 37.5% -2.6% -0.1% -3.7M -50.5M -3.7M 0.34 2.32 N/A N/A 125,924 43,422 1,374,698 1,263,112 2020-11-18 $12.26 $13.50 36.0% 10.3% 47.5% 14.9% 37.7% -1.8% -0.6% -1.1M 66.9M -3.7M 0.59 2.75 N/A N/A 141,754 83,924 1,439,892 1,272,264 2020-11-19 $12.04 $13.50 35.8% 10.3% 47.6% 14.7% 37.6% -2.5% -0.5% -838.3K 133.1M -3.7M 0.76 2.82 N/A N/A 77,874 59,542 1,482,146 1,305,268 2020-11-20 $12.12 $13.50 33.6% 9.5% 47.8% 11.5% 34.9% -1.2% 0.6% 1.4M 89.1M -3.8M 0.44 2.17 N/A N/A 91,410 40,502 1,513,534 1,313,500 2020-11-23 $11.62 $13.50 35.8% 10.5% 49.6% 14.7% 37.9% -1.9% -0.5% -523.1K 55.2M -3.7M 0.35 2.68 N/A N/A 149,156 51,768 1,346,432 1,174,010 2020-11-24 $11.38 $13.00 36.8% 10.8% 49.0% 16.1% 38.4% -2.2% -0.4% -1.3M 104.9M -3.6M 0.41 2.68 N/A N/A 146,912 60,798 1,392,710 1,201,730 2020-11-25 $11.40 $13.00 36.3% 10.6% 47.5% 15.4% 37.9% -2.6% -0.4% -126.8K 77.4M -3.7M 0.44 2.44 N/A N/A 97,816 43,360 1,457,940 1,224,980 2020-11-27 $11.30 $13.00 35.7% 10.6% 47.0% 14.6% 38.3% -2.5% -1.2% -4.1M 139.9M -3.8M 0.47 3.31 N/A N/A 96,360 45,292 1,451,502 1,246,306 2020-11-30 $11.54 $13.00 37.3% 11.0% 47.3% 16.8% 40.3% -3.0% -0.2% 1.8M 51.1M -4.0M 0.31 3.41 N/A N/A 142,920 44,446 1,446,472 1,238,950
« Oct 2020 | All History | Dec 2020 » Home GOLD History November 2020