GOLD Options History — March 2021 In March 2021, GOLD traded between $9.47 and $10.59. ATM implied volatility averaged 37.2%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 1.2% (HV 20d: 35.9%). Max pain ranged from $9.50 to $11.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.37.
Notable Days 2021-03-02 : Highest Volume — 250,662 contracts2021-03-25 : Largest IV spike — 6.8% change2021-03-04 : Highest IV Rank — 15.6%2021-03-03 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $10.06 $9.47 $10.59 $9.47 $9.91 Max Pain $9.96 $9.50 $11.50 $11.50 $10.00 ATM IV 37.2% 32.2% 43.2% 40.3% 33.8% Expected Move 10.6% 9.0% 12.3% 11.6% 9.3% HV 20d 35.9% 25.8% 41.1% 32.0% 25.8% HV 60d 36.0% 32.2% 36.6% 34.3% 32.2% IV Rank 6.8% 0.0% 15.6% 10.9% 3.6% IV Percentile 13.9% 0.0% 38.5% 25.8% 2.4% Term Structure 0.2% -2.7% 5.4% -1.4% 2.3% VWIV 38.3% 32.1% 45.0% 43.5% 33.3% Skew 25d -0.8% -2.2% 1.4% -0.1% 1.4% Skew 10d -2.3% -5.0% 2.3% -1.2% 0.0% Call IV 25d 39.0% 33.2% 45.1% 42.5% 33.6% Put IV 25d 38.3% 33.4% 45.0% 42.5% 35.0% Bid-Ask Spread % 2.98 2.26 3.49 2.71 3.49 Gamma HHI 0.09 0.06 0.23 0.06 0.08 Net GEX 6.3M 966.7K 14.3M 2.2M 3.2M Net DEX 80.8M -100.8M 281.9M 281.9M 95.1M Net VEX -5.1M -5.4M -4.6M -4.6M -5.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.15 0.67 0.37 0.40 Total Volume 128,693.217 69,548 250,662 134,110 86,052 Total OI 2,792,307.478 2,370,042 3,049,390 2,746,230 2,626,918
Daily Data (23 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 2021-03-01 $9.47 $11.50 40.3% 11.6% 32.0% 10.9% 43.5% -0.1% -1.4% 2.2M 281.9M -4.6M 0.37 2.71 N/A N/A 98,064 36,046 1,657,542 1,088,688 2021-03-02 $9.98 $11.00 39.6% 11.6% 38.0% 9.8% 42.9% -1.9% 0.3% 6.1M 130.4M -5.1M 0.15 2.71 N/A N/A 217,682 32,980 1,693,460 1,102,488 2021-03-03 $9.73 $11.50 41.2% 12.3% 38.6% 12.3% 45.0% -1.2% -2.7% 5.2M 204.6M -4.9M 0.35 2.90 N/A N/A 89,434 31,274 1,742,754 1,119,924 2021-03-04 $9.79 $9.50 43.2% 12.2% 38.8% 15.6% 43.5% -0.1% -0.6% 6.6M 175.0M -5.0M 0.23 3.27 N/A N/A 146,240 33,136 1,776,076 1,138,268 2021-03-05 $9.91 $9.50 41.8% 11.9% 39.0% 13.3% 42.1% 0.1% -1.0% 8.1M 126.7M -5.1M 0.39 3.24 N/A N/A 87,870 34,256 1,807,630 1,144,038 2021-03-08 $9.78 $9.50 41.5% 12.0% 38.4% 12.8% 43.2% -1.3% 0.5% 4.6M 187.0M -4.9M 0.51 3.39 N/A N/A 78,712 40,032 1,746,440 1,134,426 2021-03-09 $10.03 $9.50 40.1% 11.4% 39.7% 10.6% 40.7% -1.3% -0.3% 6.9M 103.4M -5.2M 0.29 2.89 N/A N/A 100,016 29,506 1,776,086 1,155,744 2021-03-10 $10.06 $9.50 39.9% 11.3% 39.8% 10.3% 41.1% -2.2% -0.7% 7.9M 80.7M -5.2M 0.56 2.78 N/A N/A 74,872 42,212 1,802,968 1,167,818 2021-03-11 $10.17 $9.50 38.6% 11.0% 40.2% 8.1% 39.9% -1.0% 0.2% 8.7M 55.4M -5.3M 0.30 2.26 N/A N/A 96,230 28,594 1,821,078 1,184,954 2021-03-12 $10.18 $9.50 38.7% 11.1% 40.2% 8.3% 40.6% -0.9% 0.1% 9.2M 52.9M -5.3M 0.32 3.02 N/A N/A 71,074 22,598 1,845,050 1,199,834 2021-03-15 $10.39 $9.50 37.9% 10.9% 41.1% 7.0% 38.9% -1.1% -0.2% 7.8M 1.2M -5.4M 0.39 2.57 N/A N/A 77,060 30,258 1,798,134 1,177,652 2021-03-16 $10.39 $9.50 36.9% 10.6% 40.7% 5.4% 37.5% -1.2% -0.3% 8.3M -732.6K -5.3M 0.31 2.72 N/A N/A 73,012 22,358 1,818,402 1,190,408 2021-03-17 $10.59 $9.50 37.0% 10.6% 38.4% 5.7% 37.8% -2.1% -1.1% 9.7M -100.8M -5.4M 0.35 2.57 N/A N/A 106,214 37,292 1,833,724 1,183,824 2021-03-18 $10.43 $10.00 37.0% 10.6% 37.6% 5.5% 37.5% -1.9% 0.2% 9.9M -22.4M -5.3M 0.40 3.12 N/A N/A 76,664 30,666 1,840,792 1,195,262 2021-03-19 $10.46 $10.00 34.9% 9.9% 36.5% 2.4% 35.8% -1.6% 0.0% 14.3M -8.4M -5.3M 0.30 2.95 N/A N/A 91,590 27,572 1,850,646 1,198,744 2021-03-22 $10.31 $10.00 33.0% 9.4% 34.6% 0.0% 33.9% -1.3% 0.8% 6.2M -40.7M -5.1M 0.50 3.00 N/A N/A 68,696 34,186 1,377,664 992,378 2021-03-23 $10.12 $10.00 32.4% 9.0% 34.4% 0.0% 32.1% 0.4% -1.6% 4.6M 46.3M -4.9M 0.67 3.23 N/A N/A 92,916 62,392 1,410,798 1,014,002 2021-03-24 $10.05 $10.00 32.2% 9.2% 34.4% 0.0% 33.0% -0.5% 0.4% 3.9M 63.3M -4.9M 0.48 3.21 N/A N/A 47,138 22,410 1,427,804 1,033,290 2021-03-25 $9.85 $10.00 34.4% 9.5% 32.8% 4.7% 34.6% -0.6% 2.6% 966.7K 137.1M -4.8M 0.31 3.44 N/A N/A 136,396 42,558 1,434,286 1,044,120 2021-03-26 $9.97 $10.00 33.6% 9.5% 29.6% 3.1% 33.8% 0.1% 1.3% 4.0M 89.6M -5.1M 0.21 3.37 N/A N/A 121,516 25,462 1,506,156 1,064,378 2021-03-29 $10.08 $10.00 33.4% 9.6% 29.5% 2.8% 35.0% 0.3% 5.4% 4.6M 39.5M -5.2M 0.34 2.83 N/A N/A 94,962 31,920 1,483,340 1,042,058 2021-03-30 $9.72 $10.00 33.9% 9.7% 26.5% 3.8% 35.5% 0.5% 0.5% 1.2M 161.6M -4.8M 0.48 2.76 N/A N/A 87,758 42,068 1,514,856 1,058,170 2021-03-31 $9.91 $10.00 33.8% 9.3% 25.8% 3.6% 33.3% 1.4% 2.3% 3.2M 95.1M -5.0M 0.40 3.49 N/A N/A 61,660 24,392 1,550,658 1,076,260
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