GOLD Options History — December 2020 In December 2020, GOLD traded between $11.21 and $12.01. ATM implied volatility averaged 37.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.6% (HV 20d: 32.5%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.38.
Notable Days 2020-12-31 : Highest Volume — 229,654 contracts2020-12-23 : Largest IV drop — 5.5% change2020-12-21 : Highest IV Rank — 18.6%2020-12-21 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $11.60 $11.21 $12.01 $11.95 $11.40 Max Pain $11.18 $11.00 $13.00 $13.00 $11.00 ATM IV 37.1% 35.1% 38.5% 36.4% 37.4% Expected Move 10.7% 10.0% 11.4% 10.8% 10.5% HV 20d 32.5% 24.2% 49.2% 49.2% 24.8% HV 60d 36.2% 34.8% 37.5% 37.5% 34.8% IV Rank 16.3% 12.9% 18.6% 15.5% 16.2% IV Percentile 24.7% 15.9% 30.2% 25.4% 23.8% Term Structure 0.4% -0.8% 1.4% 0.5% 0.3% VWIV 39.1% 36.0% 41.3% 40.1% 39.5% Skew 25d -2.9% -4.5% -1.7% -3.4% -1.8% Skew 10d -6.8% -12.0% -2.6% -5.1% -4.7% Call IV 25d 39.7% 36.7% 41.9% 39.5% 39.1% Put IV 25d 36.8% 34.7% 38.6% 36.1% 37.3% Bid-Ask Spread % 5.09 2.80 10.61 2.85 8.15 Gamma HHI 0.09 0.07 0.15 0.08 0.09 Net GEX 5.5M 237.8K 12.2M 6.4M 4.4M Net DEX -27.6M -124.0M 149.5M -105.4M -7.4M Net VEX -4.2M -4.3M -3.9M -4.3M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.17 1.12 0.23 1.12 Total Volume 124,264.091 56,746 229,654 179,628 229,654 Total OI 2,820,121.818 2,564,824 3,014,702 2,778,758 2,723,768
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 2020-12-01 $11.95 $13.00 36.4% 10.8% 49.2% 15.5% 40.1% -3.4% 0.5% 6.4M -105.4M -4.3M 0.23 2.85 N/A N/A 146,476 33,152 1,508,764 1,269,994 2020-12-02 $12.01 $13.00 37.6% 11.2% 47.9% 17.2% 39.8% -2.0% 0.8% 7.3M -124.0M -4.3M 0.30 2.80 N/A N/A 85,440 25,460 1,531,624 1,289,788 2020-12-03 $11.80 $11.00 37.5% 11.1% 48.0% 17.1% 39.4% -3.2% 1.4% 5.8M -44.5M -4.3M 0.25 4.70 N/A N/A 103,102 25,384 1,555,872 1,297,092 2020-12-04 $11.72 $11.00 36.8% 10.7% 37.4% 16.1% 38.3% -2.1% 1.1% 9.3M -21.9M -4.3M 0.36 4.07 N/A N/A 78,690 28,658 1,579,016 1,307,888 2020-12-07 $11.95 $11.00 38.3% 10.9% 38.8% 18.2% 39.7% -3.9% -0.2% 5.2M -97.6M -4.3M 0.25 4.21 N/A N/A 104,888 25,828 1,538,114 1,299,364 2020-12-08 $11.94 $11.00 37.5% 10.8% 30.6% 17.2% 39.0% -3.6% -0.3% 6.3M -105.8M -4.3M 0.45 5.09 N/A N/A 70,622 31,572 1,568,542 1,305,860 2020-12-09 $11.68 $11.00 37.4% 10.6% 29.9% 17.0% 39.2% -3.1% -0.8% 3.5M -2.8M -4.3M 0.39 4.59 N/A N/A 82,938 32,702 1,594,774 1,319,826 2020-12-10 $11.56 $11.00 37.5% 10.7% 29.8% 17.1% 40.1% -1.9% 0.1% 1.9M 47.1M -4.2M 0.28 4.20 N/A N/A 68,332 19,066 1,602,040 1,327,666 2020-12-11 $11.44 $11.00 37.2% 10.8% 29.6% 16.7% 41.3% -3.1% 0.4% 1.2M 78.1M -4.1M 0.25 3.78 N/A N/A 75,794 19,126 1,622,706 1,331,900 2020-12-14 $11.21 $11.00 36.3% 10.4% 29.9% 15.4% 40.0% -4.0% 1.1% 237.8K 149.5M -4.0M 0.37 3.82 N/A N/A 70,274 25,940 1,593,128 1,316,636 2020-12-15 $11.42 $11.00 37.8% 10.8% 31.3% 17.5% 40.4% -4.5% -0.3% 2.5M 57.8M -4.1M 0.35 3.78 N/A N/A 91,090 32,250 1,612,268 1,321,170 2020-12-16 $11.54 $11.00 37.7% 10.8% 31.3% 17.4% 39.6% -3.9% -0.2% 4.6M 10.8M -4.2M 0.24 3.67 N/A N/A 78,574 19,190 1,648,208 1,328,786 2020-12-17 $11.82 $11.00 37.6% 10.8% 30.9% 17.3% 39.4% -3.3% -0.5% 11.0M -107.4M -4.3M 0.24 4.08 N/A N/A 129,980 31,202 1,664,728 1,335,218 2020-12-18 $11.69 $11.00 36.6% 10.5% 30.5% 15.8% 38.7% -3.1% 0.5% 12.2M -41.9M -4.2M 0.38 4.08 N/A N/A 73,514 27,876 1,676,462 1,338,240 2020-12-21 $11.49 $11.00 38.5% 11.4% 30.8% 18.6% 40.5% -3.1% 0.7% 6.7M -68.0M -4.1M 0.17 10.61 N/A N/A 146,836 25,652 1,371,386 1,193,438 2020-12-22 $11.22 $11.00 38.1% 11.1% 28.2% 18.0% 40.4% -2.1% 0.9% 4.8M 25.9M -4.0M 0.28 4.19 N/A N/A 115,702 32,456 1,451,554 1,203,292 2020-12-23 $11.43 $11.00 36.0% 10.2% 28.2% 14.3% 36.4% -2.6% 0.4% 6.4M -46.7M -4.1M 0.51 7.23 N/A N/A 69,204 35,088 1,501,756 1,216,756 2020-12-24 $11.44 $11.00 35.1% 10.0% 28.2% 12.9% 36.0% -2.1% 0.9% 5.1M -43.5M -4.1M 0.45 7.45 N/A N/A 39,162 17,584 1,508,704 1,234,094 2020-12-28 $11.40 $11.00 36.0% 10.4% 28.0% 14.2% 37.7% -2.5% 0.8% 4.7M -32.0M -3.9M 0.38 3.40 N/A N/A 95,658 36,084 1,389,964 1,223,446 2020-12-29 $11.47 $11.00 36.2% 10.2% 27.1% 14.5% 37.1% -2.1% 0.7% 4.9M -36.1M -4.0M 0.39 7.33 N/A N/A 58,224 22,846 1,412,864 1,245,900 2020-12-30 $11.62 $11.00 36.5% 10.3% 24.2% 14.9% 37.2% -1.7% 0.2% 6.9M -90.6M -4.1M 0.73 7.95 N/A N/A 99,486 73,054 1,426,176 1,253,908 2020-12-31 $11.40 $11.00 37.4% 10.5% 24.8% 16.2% 39.5% -1.8% 0.3% 4.4M -7.4M -4.0M 1.12 8.15 N/A N/A 108,318 121,336 1,450,378 1,273,390
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