GOLD Options History — June 2021 In June 2021, GOLD traded between $10.26 and $12.11. ATM implied volatility averaged 29.7%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 0.7% (HV 20d: 30.5%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.36.
Notable Days 2021-06-17 : Highest Volume — 283,296 contracts2021-06-23 : Largest IV drop — 6.7% change2021-06-21 : Highest IV Rank — 16.6%2021-06-18 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $11.11 $10.26 $12.11 $12.11 $10.33 Max Pain $11.61 $11.00 $12.50 $11.75 $11.00 ATM IV 29.7% 28.2% 32.1% 30.6% 28.9% Expected Move 8.3% 7.9% 9.1% 8.6% 7.9% HV 20d 30.5% 22.8% 36.2% 33.4% 30.2% HV 60d 31.1% 29.2% 33.2% 29.4% 31.4% IV Rank 4.8% 0.0% 16.6% 5.6% 3.0% IV Percentile 3.2% 0.0% 13.5% 2.4% 2.8% Term Structure 0.3% -1.0% 1.9% -0.5% 1.2% VWIV 30.6% 28.9% 32.9% 31.4% 29.6% Skew 25d -2.0% -3.0% -1.0% -2.8% -1.2% Skew 10d -4.2% -6.5% -1.1% -5.8% -2.9% Call IV 25d 32.1% 30.1% 35.0% 33.2% 30.9% Put IV 25d 30.1% 28.1% 33.3% 30.4% 29.7% Bid-Ask Spread % 4.50 2.22 21.64 2.68 2.32 Gamma HHI 0.12 0.08 0.20 0.14 0.09 Net GEX 9.7M -1.5M 23.4M 21.6M 3.0M Net DEX -108.2M -495.1M 236.5M -495.1M 90.0M Net VEX -5.6M -5.9M -5.1M -5.9M -5.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.36 0.16 0.61 0.26 0.26 Total Volume 117,734.455 60,760 283,296 104,776 60,760 Total OI 2,899,760.636 2,520,962 3,269,626 2,840,380 2,747,064
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 2021-06-01 $12.11 $11.75 30.6% 8.6% 33.4% 5.6% 31.4% -2.8% -0.5% 21.6M -495.1M -5.9M 0.26 2.68 N/A N/A 82,938 21,838 1,697,334 1,143,046 2021-06-02 $12.08 $11.75 30.2% 8.2% 33.0% 3.9% 29.8% -2.3% -0.5% 23.0M -490.5M -5.9M 0.50 5.05 N/A N/A 47,568 23,628 1,725,722 1,156,100 2021-06-03 $11.63 $12.50 31.5% 8.7% 36.2% 9.2% 31.0% -3.0% -0.6% 12.3M -248.0M -5.8M 0.35 2.79 N/A N/A 138,082 48,806 1,743,454 1,164,122 2021-06-04 $11.72 $12.00 31.0% 8.5% 30.1% 7.1% 31.0% -2.7% -0.4% 15.7M -306.0M -5.9M 0.21 2.98 N/A N/A 145,014 30,398 1,783,296 1,185,112 2021-06-07 $11.71 $12.00 30.2% 8.4% 29.7% 4.2% 30.9% -1.9% -0.6% 18.1M -313.2M -5.8M 0.44 2.75 N/A N/A 58,216 25,372 1,784,024 1,171,232 2021-06-08 $11.58 $12.00 29.7% 8.4% 29.8% 2.2% 30.4% -2.3% -0.3% 15.0M -228.5M -5.8M 0.25 2.53 N/A N/A 65,236 16,202 1,802,214 1,183,856 2021-06-09 $11.54 $12.00 29.4% 8.4% 29.8% 1.1% 31.4% -2.5% -0.0% 14.5M -218.9M -5.8M 0.52 2.22 N/A N/A 46,682 24,428 1,831,144 1,192,926 2021-06-10 $11.81 $12.00 29.8% 8.5% 30.4% 2.6% 30.0% -2.0% -0.5% 23.4M -374.8M -5.8M 0.17 8.57 N/A N/A 99,724 17,264 1,847,250 1,201,498 2021-06-11 $11.63 $12.00 28.3% 8.0% 30.8% 0.0% 29.3% -2.4% -0.4% 17.3M -275.3M -5.8M 0.46 4.62 N/A N/A 76,064 35,072 1,877,870 1,205,818 2021-06-14 $11.56 $12.00 28.5% 8.2% 30.1% 1.0% 29.8% -1.5% 1.8% 14.3M -235.9M -5.7M 0.61 3.41 N/A N/A 71,202 43,422 1,851,610 1,205,362 2021-06-15 $11.40 $12.00 28.6% 8.2% 22.8% 1.3% 29.7% -1.6% 1.0% 6.5M -126.5M -5.6M 0.55 4.99 N/A N/A 58,752 32,452 1,877,116 1,217,950 2021-06-16 $11.24 $12.00 28.7% 8.2% 23.1% 1.8% 29.9% -1.0% 1.9% 3.6M -60.6M -5.6M 0.40 6.96 N/A N/A 82,386 33,352 1,893,698 1,236,358 2021-06-17 $10.51 $12.00 29.4% 8.4% 31.4% 4.8% 31.7% -3.0% 0.6% -1.5M 225.5M -5.1M 0.40 3.38 N/A N/A 202,678 80,618 1,912,852 1,244,070 2021-06-18 $10.39 $11.50 30.9% 9.1% 30.7% 11.4% 32.8% -1.6% -1.0% -488.7K 236.5M -5.3M 0.47 21.64 N/A N/A 108,644 51,144 1,994,106 1,275,520 2021-06-21 $10.57 $11.00 32.1% 8.9% 32.0% 16.6% 32.3% -1.7% 0.9% 3.4M 31.8M -5.4M 0.19 6.53 N/A N/A 145,240 26,938 1,464,138 1,056,824 2021-06-22 $10.56 $11.00 31.9% 8.9% 32.0% 15.8% 32.9% -1.9% 0.7% 5.8M 16.3M -5.5M 0.16 2.93 N/A N/A 109,982 17,970 1,543,286 1,076,388 2021-06-23 $10.48 $11.00 29.8% 8.2% 32.0% 6.5% 30.4% -1.9% 1.0% 5.3M 46.6M -5.4M 0.38 2.54 N/A N/A 101,848 38,612 1,591,536 1,089,072 2021-06-24 $10.49 $11.00 29.1% 8.0% 32.0% 3.4% 29.6% -1.8% 0.6% 4.2M 52.6M -5.5M 0.34 2.72 N/A N/A 47,384 16,058 1,590,764 1,107,550 2021-06-25 $10.44 $11.00 28.2% 7.9% 30.8% 0.0% 28.9% -1.9% 0.7% 3.4M 75.7M -5.4M 0.32 2.58 N/A N/A 65,166 20,908 1,603,586 1,119,864 2021-06-28 $10.34 $11.00 28.6% 8.0% 30.1% 1.9% 29.7% -1.8% 0.9% 2.4M 99.5M -5.3M 0.20 2.47 N/A N/A 71,900 14,734 1,571,048 1,111,872 2021-06-29 $10.26 $11.00 28.6% 8.0% 29.8% 1.8% 29.7% -1.4% -0.2% 2.4M 117.5M -5.3M 0.43 2.23 N/A N/A 59,906 25,570 1,596,110 1,120,972 2021-06-30 $10.33 $11.00 28.9% 7.9% 30.2% 3.0% 29.6% -1.2% 1.2% 3.0M 90.0M -5.4M 0.26 2.32 N/A N/A 48,186 12,574 1,614,806 1,132,258
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