GOLD Options History — February 2021

In February 2021, GOLD traded between $9.35 and $11.26. ATM implied volatility averaged 40.7%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 9.3% (HV 20d: 31.4%). Max pain ranged from $11.50 to $12.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.32.

Notable Days

2021-02-17: Highest Volume — 362,576 contracts
2021-02-18: Largest IV drop — 12.0% change
2021-02-01: Highest IV Rank — 30.9%
2021-02-01: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.64	$9.35	$11.26	$11.26	$9.35
Max Pain	$12.09	$11.50	$12.50	$11.75	$11.50
ATM IV	40.7%	37.4%	48.1%	48.1%	42.4%
Expected Move	11.7%	10.7%	14.0%	14.0%	12.9%
HV 20d	31.4%	28.4%	44.2%	44.2%	31.0%
HV 60d	34.7%	33.3%	39.9%	39.9%	35.1%
IV Rank	17.2%	10.0%	30.9%	30.9%	14.3%
IV Percentile	29.1%	13.1%	64.7%	64.7%	33.7%
Term Structure	-0.0%	-2.8%	2.2%	-0.2%	1.9%
VWIV	44.1%	40.6%	50.5%	50.5%	48.0%
Skew 25d	-2.2%	-3.6%	1.8%	-3.6%	-1.0%
Skew 10d	-7.4%	-22.4%	-2.4%	-9.9%	-5.1%
Call IV 25d	43.3%	40.7%	51.5%	51.5%	46.6%
Put IV 25d	41.1%	37.8%	47.9%	47.9%	45.6%
Bid-Ask Spread %	5.38	2.35	24.39	24.39	2.96
Gamma HHI	0.10	0.07	0.23	0.08	0.07
Net GEX	1.3M	-5.6M	6.9M	566.6K	755.7K
Net DEX	155.4M	44.5M	350.8M	44.5M	324.2M
Net VEX	-4.6M	-4.7M	-4.3M	-4.7M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.16	0.64	0.22	0.64
Total Volume	170,778.316	65,986	362,576	193,592	268,214
Total OI	2,435,730.737	2,165,462	2,743,780	2,165,462	2,743,780

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
2021-02-01	$11.26	$11.75	48.1%	14.0%	44.2%	30.9%	50.5%	-3.6%	-0.2%	566.6K	44.5M	-4.7M	0.22	24.39	N/A	N/A	159,292	34,300	1,183,188	982,274
2021-02-02	$11.14	$11.75	43.6%	12.5%	31.1%	24.3%	46.2%	-2.4%	-1.1%	1.3M	90.4M	-4.6M	0.19	13.47	N/A	N/A	109,150	20,296	1,272,302	1,010,112
2021-02-03	$11.18	$11.75	41.9%	11.9%	30.7%	21.8%	44.0%	-1.3%	-0.8%	2.1M	83.6M	-4.7M	0.17	15.95	N/A	N/A	56,558	9,428	1,311,076	1,017,988
2021-02-04	$10.98	$12.50	39.7%	11.5%	30.8%	18.6%	46.1%	-2.2%	0.5%	-1.3M	144.2M	-4.5M	0.51	3.50	N/A	N/A	87,942	45,274	1,335,926	1,023,098
2021-02-05	$11.14	$12.50	39.6%	11.4%	30.8%	18.5%	42.3%	-1.6%	-0.6%	678.1K	103.0M	-4.6M	0.55	2.93	N/A	N/A	71,634	39,100	1,361,264	1,037,234
2021-02-08	$11.22	$12.50	39.0%	11.1%	29.0%	17.5%	42.1%	-2.2%	-0.2%	1.8M	64.5M	-4.7M	0.23	2.94	N/A	N/A	84,142	19,486	1,285,196	964,922
2021-02-09	$11.21	$12.50	38.9%	11.2%	28.6%	17.4%	42.7%	-1.3%	0.0%	2.2M	70.4M	-4.6M	0.21	3.27	N/A	N/A	74,688	15,824	1,319,318	975,726
2021-02-10	$11.23	$12.50	39.7%	11.2%	28.6%	18.6%	42.5%	-2.2%	-0.7%	2.8M	54.0M	-4.7M	0.36	2.89	N/A	N/A	71,466	25,622	1,339,468	983,768
2021-02-11	$11.10	$12.50	39.2%	11.1%	28.6%	17.8%	43.1%	-2.3%	-0.1%	-501.3K	85.0M	-4.7M	0.16	3.58	N/A	N/A	122,328	20,102	1,357,542	997,318
2021-02-12	$11.04	$12.50	39.1%	11.4%	28.6%	16.4%	42.8%	-2.9%	0.8%	-5.6M	107.2M	-4.7M	0.38	2.74	N/A	N/A	95,748	36,224	1,413,902	1,006,152
2021-02-16	$10.84	$12.50	40.1%	11.5%	28.4%	17.9%	42.9%	-3.0%	0.2%	-867.7K	164.7M	-4.5M	0.34	2.35	N/A	N/A	102,528	35,062	1,354,902	990,044
2021-02-17	$10.39	$12.50	42.5%	12.2%	30.9%	19.9%	45.5%	-3.0%	0.8%	-928.9K	252.6M	-4.3M	0.25	3.08	N/A	N/A	290,192	72,384	1,400,262	1,003,496
2021-02-18	$10.13	$12.00	37.4%	10.7%	30.0%	12.1%	40.6%	-3.6%	1.7%	1.6M	300.7M	-4.3M	0.34	2.77	N/A	N/A	184,344	63,602	1,577,608	1,041,464
2021-02-19	$9.90	$12.00	38.3%	10.8%	30.5%	12.6%	41.4%	-3.3%	2.2%	811.9K	350.8M	-4.3M	0.46	2.42	N/A	N/A	203,058	94,070	1,634,060	1,061,086
2021-02-22	$10.28	$12.00	40.7%	11.5%	34.6%	13.0%	41.8%	-2.8%	-0.3%	4.6M	133.8M	-4.6M	0.17	3.24	N/A	N/A	224,242	39,090	1,460,038	972,662
2021-02-23	$10.05	$11.50	41.1%	11.8%	35.0%	12.3%	44.2%	-2.3%	-2.8%	5.9M	165.9M	-4.6M	0.17	3.30	N/A	N/A	119,384	20,310	1,566,142	995,916
2021-02-24	$10.06	$11.50	39.8%	11.5%	35.0%	10.0%	42.4%	-2.0%	-0.4%	6.9M	161.0M	-4.7M	0.37	2.90	N/A	N/A	114,742	42,552	1,622,508	1,006,976
2021-02-25	$9.71	$11.50	41.9%	12.3%	30.8%	13.5%	48.2%	1.8%	-1.6%	2.7M	252.7M	-4.6M	0.40	3.57	N/A	N/A	123,460	48,950	1,632,542	1,037,624
2021-02-26	$9.35	$11.50	42.4%	12.9%	31.0%	14.3%	48.0%	-1.0%	1.9%	755.7K	324.2M	-4.4M	0.64	2.96	N/A	N/A	163,872	104,342	1,675,042	1,068,738