GOLD Options History — May 2021 In May 2021, GOLD traded between $11.03 and $12.63. ATM implied volatility averaged 32.3%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 1.7% (HV 20d: 34.0%). Max pain ranged from $10.50 to $11.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.38.
Notable Days 2021-05-17 : Highest Volume — 304,484 contracts2021-05-04 : Largest IV spike — 37.4% change2021-05-04 : Highest IV Rank — 57.6%2021-05-04 : Largest Expected Move — 10.2%Monthly Statistics Metric Avg Min Max Open Close Price $11.99 $11.03 $12.63 $11.14 $12.06 Max Pain $11.03 $10.50 $11.75 $10.50 $11.75 ATM IV 32.3% 29.2% 45.0% 32.7% 29.5% Expected Move 9.1% 8.1% 10.2% 9.7% 8.1% HV 20d 34.0% 28.4% 37.0% 28.4% 36.5% HV 60d 32.3% 29.1% 34.2% 32.1% 29.4% IV Rank 8.7% 0.0% 57.6% 6.8% 1.2% IV Percentile 8.0% 0.0% 64.7% 7.1% 0.8% Term Structure -0.7% -11.1% 1.1% 0.0% 0.2% VWIV 32.8% 28.4% 36.1% 34.6% 29.6% Skew 25d -0.8% -4.1% 21.1% -3.9% -2.1% Skew 10d -5.8% -8.3% -2.1% -6.9% -5.3% Call IV 25d 34.0% 31.5% 37.3% 35.1% 31.5% Put IV 25d 33.2% 29.3% 57.0% 31.3% 29.4% Bid-Ask Spread % 4.24 2.27 21.37 9.60 2.72 Gamma HHI 0.16 0.10 0.37 0.11 0.15 Net GEX 20.9M 11.4M 36.1M 11.4M 19.9M Net DEX -627.8M -954.4M -262.6M -320.7M -453.1M Net VEX -6.0M -6.2M -5.6M -6.1M -5.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.19 0.80 0.19 0.33 Total Volume 140,622.1 68,714 304,484 127,370 103,658 Total OI 2,935,978.9 2,795,776 3,033,640 2,883,234 2,895,156
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 2021-05-03 $11.14 $10.50 32.7% 9.7% 28.4% 6.8% 34.6% -3.9% 0.0% 11.4M -320.7M -6.1M 0.19 9.60 N/A N/A 106,994 20,376 1,754,378 1,128,856 2021-05-04 $11.03 $10.50 45.0% 10.2% 28.7% 57.6% 36.1% 21.1% -11.1% 11.5M -262.6M -6.0M 0.46 21.37 N/A N/A 65,816 30,042 1,791,516 1,137,012 2021-05-05 $11.12 $10.75 30.9% 8.6% 28.4% 0.0% 30.7% -1.4% -0.6% 13.5M -305.1M -6.0M 0.36 2.88 N/A N/A 50,576 18,138 1,802,542 1,147,032 2021-05-06 $11.77 $11.00 32.6% 9.4% 33.8% 6.7% 33.2% -2.7% -0.7% 21.3M -633.9M -6.2M 0.22 3.04 N/A N/A 216,402 47,652 1,814,408 1,155,430 2021-05-07 $11.93 $11.00 30.3% 8.9% 33.9% 0.0% 31.6% -2.4% 0.5% 22.4M -699.7M -6.2M 0.33 3.14 N/A N/A 166,878 54,894 1,810,066 1,164,832 2021-05-10 $11.99 $11.00 32.0% 9.1% 33.4% 6.7% 32.7% -2.4% -0.2% 22.4M -677.3M -6.2M 0.30 3.14 N/A N/A 131,024 39,650 1,786,824 1,156,676 2021-05-11 $11.99 $11.00 32.9% 9.3% 33.5% 10.6% 33.5% -2.0% -0.3% 21.9M -667.6M -6.2M 0.53 2.83 N/A N/A 48,666 26,024 1,802,244 1,162,928 2021-05-12 $11.76 $11.00 34.3% 9.8% 34.7% 16.0% 35.4% -2.6% 0.1% 18.8M -531.0M -6.2M 0.38 3.06 N/A N/A 71,006 27,068 1,807,834 1,165,096 2021-05-13 $11.79 $11.00 33.5% 9.5% 31.5% 12.9% 34.9% -1.1% -0.1% 19.7M -544.6M -6.1M 0.38 2.43 N/A N/A 57,484 21,926 1,808,778 1,171,970 2021-05-14 $12.01 $11.00 30.9% 8.7% 32.0% 2.3% 31.9% -1.6% -0.8% 36.1M -670.8M -6.1M 0.37 2.30 N/A N/A 58,330 21,294 1,812,546 1,170,152 2021-05-17 $12.63 $11.00 34.2% 9.8% 35.8% 15.7% 34.6% -2.8% -1.2% 23.2M -954.4M -6.0M 0.24 2.37 N/A N/A 245,128 59,356 1,774,134 1,151,452 2021-05-18 $12.57 $11.00 32.7% 9.4% 35.9% 9.6% 33.6% -4.1% 0.1% 24.5M -930.2M -6.0M 0.33 2.49 N/A N/A 92,314 30,752 1,809,942 1,165,540 2021-05-19 $12.30 $11.00 33.9% 9.7% 37.0% 14.4% 35.5% -2.5% -0.9% 23.3M -783.5M -6.0M 0.24 2.74 N/A N/A 134,872 32,968 1,813,300 1,174,138 2021-05-20 $12.43 $11.00 31.4% 9.0% 36.5% 4.5% 33.1% -2.1% 0.1% 27.1M -852.1M -6.0M 0.31 2.49 N/A N/A 77,232 23,802 1,821,568 1,183,760 2021-05-21 $12.36 $11.00 31.1% 8.9% 36.3% 3.3% 32.1% -1.3% -0.7% 20.7M -804.3M -6.0M 0.54 2.27 N/A N/A 78,518 42,632 1,837,366 1,196,274 2021-05-24 $12.35 $11.00 29.3% 8.3% 36.2% 0.0% 31.1% -2.7% 1.1% 21.4M -713.5M -5.7M 0.35 2.41 N/A N/A 56,034 19,464 1,725,590 1,070,186 2021-05-25 $12.30 $11.00 29.8% 8.7% 35.1% 2.0% 30.7% -1.5% 0.3% 20.6M -688.3M -5.8M 0.80 2.89 N/A N/A 69,642 55,790 1,740,270 1,081,164 2021-05-26 $12.30 $11.50 29.2% 8.3% 35.1% 0.0% 28.4% -2.1% 0.6% 21.8M -695.9M -5.6M 0.21 2.81 N/A N/A 206,484 43,318 1,770,328 1,124,210 2021-05-27 $11.93 $11.50 30.1% 8.7% 36.6% 3.7% 32.1% 3.6% -0.7% 15.4M -367.3M -5.9M 0.71 7.82 N/A N/A 93,946 66,292 1,682,482 1,151,598 2021-05-28 $12.06 $11.75 29.5% 8.1% 36.5% 1.2% 29.6% -2.1% 0.2% 19.9M -453.1M -5.9M 0.33 2.72 N/A N/A 77,958 25,700 1,724,754 1,170,402
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