GOLD Options History — January 2021

In January 2021, GOLD traded between $10.97 and $12.40. ATM implied volatility averaged 40.2%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 0.1% (HV 20d: 40.3%). Max pain ranged from $11.50 to $12.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.38.

Notable Days

2021-01-04: Highest Volume — 330,602 contracts
2021-01-27: Largest IV spike — 14.6% change
2021-01-29: Highest IV Rank — 30.5%
2021-01-29: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.78	$10.97	$12.40	$12.39	$11.14
Max Pain	$11.76	$11.50	$12.00	$11.50	$11.75
ATM IV	40.2%	36.9%	47.9%	40.0%	47.9%
Expected Move	11.8%	10.6%	13.9%	11.9%	13.9%
HV 20d	40.3%	38.2%	44.8%	38.8%	44.5%
HV 60d	39.4%	38.5%	40.3%	39.0%	40.2%
IV Rank	19.9%	15.1%	30.5%	20.0%	30.5%
IV Percentile	31.9%	17.5%	62.7%	30.6%	62.7%
Term Structure	0.5%	-2.1%	1.8%	1.1%	-2.1%
VWIV	42.0%	37.5%	51.5%	41.9%	51.5%
Skew 25d	-1.3%	-3.5%	14.3%	-2.2%	-3.0%
Skew 10d	-4.8%	-7.7%	-0.7%	-4.5%	-1.7%
Call IV 25d	42.4%	37.9%	51.7%	42.2%	51.7%
Put IV 25d	41.1%	36.6%	63.7%	40.0%	48.7%
Bid-Ask Spread %	4.64	2.34	16.95	8.57	16.95
Gamma HHI	0.10	0.09	0.16	0.13	0.09
Net GEX	5.7M	-1.3M	17.6M	13.8M	1.0M
Net DEX	-108.7M	-394.4M	146.9M	-388.6M	85.0M
Net VEX	-4.4M	-4.7M	-4.3M	-4.4M	-4.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.20	0.78	0.22	0.44
Total Volume	143,552.421	88,900	330,602	330,602	144,452
Total OI	2,450,615.263	1,851,586	2,955,236	2,707,926	2,216,714

Daily Data (19 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
2021-01-04	$12.39	$11.50	40.0%	11.9%	38.8%	20.0%	41.9%	-2.2%	1.1%	13.8M	-388.6M	-4.4M	0.22	8.57	N/A	N/A	270,446	60,156	1,422,476	1,285,450
2021-01-05	$12.13	$11.50	41.8%	12.2%	39.6%	22.5%	43.3%	-2.4%	0.8%	11.9M	-279.6M	-4.3M	0.26	2.34	N/A	N/A	143,334	37,382	1,426,472	1,305,420
2021-01-06	$12.22	$11.50	39.2%	11.5%	39.2%	18.8%	40.7%	-2.7%	1.8%	13.8M	-313.6M	-4.4M	0.20	3.17	N/A	N/A	129,032	26,016	1,460,622	1,325,438
2021-01-07	$12.40	$11.50	37.7%	11.2%	39.4%	16.6%	40.3%	-2.6%	1.2%	17.6M	-394.4M	-4.4M	0.50	3.10	N/A	N/A	111,666	55,922	1,479,868	1,336,210
2021-01-08	$11.97	$11.50	39.4%	11.9%	40.7%	19.2%	42.2%	-2.8%	0.3%	10.1M	-192.3M	-4.4M	0.44	2.48	N/A	N/A	126,444	55,984	1,487,754	1,371,788
2021-01-11	$11.79	$11.50	39.4%	11.8%	41.0%	19.1%	42.1%	-3.5%	1.6%	5.4M	-127.1M	-4.4M	0.22	2.83	N/A	N/A	82,286	18,314	1,472,274	1,352,262
2021-01-12	$11.76	$11.50	39.6%	11.6%	40.8%	19.5%	40.6%	-1.9%	0.8%	5.3M	-123.0M	-4.4M	0.38	3.06	N/A	N/A	81,900	30,724	1,504,958	1,359,372
2021-01-13	$11.83	$11.50	38.2%	11.2%	39.9%	17.4%	39.5%	-2.5%	0.9%	6.0M	-155.8M	-4.4M	0.35	3.26	N/A	N/A	70,130	24,482	1,525,444	1,373,468
2021-01-14	$11.85	$12.00	38.6%	11.3%	39.5%	17.9%	40.2%	-2.7%	1.1%	4.4M	-153.1M	-4.4M	0.23	2.86	N/A	N/A	100,482	23,160	1,534,186	1,385,302
2021-01-15	$11.59	$12.00	37.1%	10.8%	40.2%	15.9%	39.8%	-2.4%	1.1%	1.1M	-61.2M	-4.3M	0.47	2.81	N/A	N/A	102,202	48,548	1,567,080	1,388,156
2021-01-19	$11.73	$12.00	36.9%	10.6%	39.4%	15.5%	37.5%	-0.2%	0.7%	1.8M	-16.4M	-4.3M	0.31	2.70	N/A	N/A	110,320	34,222	1,002,730	848,856
2021-01-20	$11.96	$12.00	38.0%	10.9%	39.9%	16.1%	38.6%	-1.1%	-0.0%	5.4M	-94.3M	-4.4M	0.36	2.82	N/A	N/A	74,654	26,558	1,062,370	868,074
2021-01-21	$11.83	$12.00	37.3%	10.7%	39.6%	15.1%	37.5%	-1.2%	0.1%	5.0M	-51.1M	-4.4M	0.39	3.15	N/A	N/A	64,132	24,768	1,086,486	885,044
2021-01-22	$11.76	$12.00	38.2%	10.9%	38.5%	16.4%	38.5%	-1.4%	0.2%	5.2M	-28.1M	-4.4M	0.43	2.97	N/A	N/A	80,462	34,622	1,112,858	898,618
2021-01-25	$11.65	$12.00	39.4%	11.6%	38.2%	18.2%	42.3%	-2.1%	-0.3%	1.6M	-138.3K	-4.4M	0.78	2.85	N/A	N/A	58,228	45,184	1,082,854	886,400
2021-01-26	$11.66	$12.00	41.0%	11.8%	38.2%	20.5%	41.6%	-1.8%	-0.5%	1.7M	948.1K	-4.5M	0.40	2.77	N/A	N/A	68,354	27,388	1,096,436	918,808
2021-01-27	$10.97	$12.00	47.0%	13.9%	44.0%	29.2%	50.2%	-3.4%	-0.4%	-1.3M	146.9M	-4.3M	0.55	3.15	N/A	N/A	125,518	69,518	1,131,860	936,916
2021-01-28	$11.21	$11.75	47.4%	13.6%	44.8%	29.8%	50.6%	14.3%	0.5%	-278.7K	79.9M	-4.6M	0.25	16.25	N/A	N/A	112,222	28,284	1,193,194	969,472
2021-01-29	$11.14	$11.75	47.9%	13.9%	44.5%	30.5%	51.5%	-3.0%	-2.1%	1.0M	85.0M	-4.7M	0.44	16.95	N/A	N/A	100,240	44,212	1,227,956	988,758