GOLD Options History — July 2021 In July 2021, GOLD traded between $10.23 and $10.90. ATM implied volatility averaged 30.9%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 4.5% (HV 20d: 26.4%). Max pain ranged from $10.50 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.35.
Notable Days 2021-07-29 : Highest Volume — 150,532 contracts2021-07-19 : Largest IV spike — 9.4% change2021-07-19 : Highest IV Rank — 25.4%2021-07-19 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $10.51 $10.23 $10.90 $10.31 $10.88 Max Pain $10.55 $10.50 $11.00 $11.00 $10.50 ATM IV 30.9% 27.5% 33.5% 28.4% 32.7% Expected Move 8.8% 7.1% 9.5% 7.4% 9.3% HV 20d 26.4% 21.9% 31.9% 28.1% 24.0% HV 60d 31.2% 29.8% 32.3% 31.4% 30.1% IV Rank 14.4% 0.0% 25.4% 1.2% 23.1% IV Percentile 14.8% 0.0% 29.0% 0.8% 28.2% Term Structure 0.3% -1.1% 2.4% 0.2% -0.6% VWIV 32.1% 26.0% 36.1% 28.4% 33.8% Skew 25d -0.8% -2.6% 0.4% -0.9% -1.8% Skew 10d -2.1% -8.0% 0.1% -3.0% -5.4% Call IV 25d 32.1% 29.0% 35.2% 30.0% 34.0% Put IV 25d 31.3% 28.0% 34.2% 29.0% 32.2% Bid-Ask Spread % 3.31 2.13 5.44 2.33 3.62 Gamma HHI 0.09 0.08 0.11 0.09 0.08 Net GEX 6.1M 2.1M 11.8M 3.3M 10.6M Net DEX 3.7M -186.2M 92.0M 91.4M -180.3M Net VEX -5.4M -5.6M -5.1M -5.4M -5.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.15 0.85 0.19 0.29 Total Volume 80,801.048 43,278 150,532 68,738 79,604 Total OI 2,828,630.19 2,728,660 2,940,298 2,776,666 2,897,586
Daily Data (21 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 2021-07-01 $10.31 $11.00 28.4% 7.4% 28.1% 1.2% 28.4% -0.9% 0.2% 3.3M 91.4M -5.4M 0.19 2.33 N/A N/A 57,972 10,766 1,637,396 1,139,270 2021-07-02 $10.40 $11.00 27.5% 7.1% 28.1% 0.0% 26.0% -1.1% 0.9% 4.3M 59.5M -5.5M 0.43 2.13 N/A N/A 40,196 17,270 1,667,658 1,142,784 2021-07-06 $10.67 $10.50 30.0% 9.0% 30.2% 10.8% 32.6% 0.4% 1.5% 7.1M -51.8M -5.6M 0.36 3.17 N/A N/A 97,934 34,828 1,634,992 1,127,318 2021-07-07 $10.58 $10.50 29.4% 9.0% 30.1% 8.1% 32.9% -1.0% 2.4% 6.9M -10.4M -5.5M 0.29 2.84 N/A N/A 42,664 12,522 1,664,106 1,145,096 2021-07-08 $10.32 $10.50 30.3% 9.1% 30.9% 11.9% 33.2% -0.6% 2.1% 3.4M 92.0M -5.3M 0.26 2.79 N/A N/A 67,466 17,546 1,669,814 1,143,650 2021-07-09 $10.57 $10.50 28.8% 8.8% 30.9% 5.5% 31.5% -0.2% 2.1% 6.5M -20.3M -5.5M 0.56 3.00 N/A N/A 54,124 30,410 1,699,622 1,150,084 2021-07-12 $10.42 $10.50 30.4% 8.6% 30.9% 12.3% 31.4% -0.5% -1.1% 4.3M 59.1M -5.3M 0.31 2.74 N/A N/A 46,308 14,130 1,687,904 1,159,306 2021-07-13 $10.57 $10.50 30.6% 8.8% 31.7% 13.1% 32.3% -1.1% -0.2% 6.9M -6.7M -5.5M 0.28 2.77 N/A N/A 92,518 26,082 1,707,286 1,166,748 2021-07-14 $10.68 $10.50 31.1% 8.8% 31.9% 15.4% 32.5% -0.9% -0.3% 8.7M -49.7M -5.5M 0.15 2.93 N/A N/A 80,640 12,032 1,726,306 1,174,000 2021-07-15 $10.64 $10.50 31.3% 8.7% 31.6% 16.1% 32.2% -0.2% -1.0% 10.8M -32.3M -5.5M 0.23 2.66 N/A N/A 52,008 11,764 1,759,988 1,176,844 2021-07-16 $10.39 $10.50 30.6% 8.7% 22.2% 13.2% 31.3% -0.7% -0.1% 2.1M 90.5M -5.2M 0.48 4.03 N/A N/A 70,672 34,262 1,765,720 1,174,578 2021-07-19 $10.23 $10.50 33.5% 9.5% 22.5% 25.4% 34.7% -0.1% 1.8% 3.2M 83.6M -5.1M 0.36 3.73 N/A N/A 65,282 23,446 1,621,740 1,106,920 2021-07-20 $10.34 $10.50 31.8% 9.1% 21.9% 18.2% 32.5% -0.2% 0.9% 4.5M 51.0M -5.2M 0.38 5.44 N/A N/A 55,550 20,858 1,645,080 1,118,072 2021-07-21 $10.45 $10.50 31.2% 9.0% 22.3% 15.9% 31.8% 0.0% -0.5% 6.1M 10.7M -5.2M 0.69 4.53 N/A N/A 39,762 27,546 1,666,618 1,126,802 2021-07-22 $10.37 $10.50 30.8% 8.8% 22.3% 14.0% 31.2% -0.8% 0.0% 5.1M 41.0M -5.2M 0.35 3.27 N/A N/A 31,960 11,318 1,679,820 1,145,382 2021-07-23 $10.31 $10.50 30.5% 8.7% 22.4% 12.7% 31.2% -0.4% 0.5% 3.7M 69.4M -5.1M 0.25 4.01 N/A N/A 44,014 11,194 1,689,242 1,148,176 2021-07-26 $10.40 $10.50 31.3% 9.0% 22.6% 16.3% 31.9% -1.1% -0.4% 4.8M 28.6M -5.2M 0.25 2.92 N/A N/A 44,094 10,890 1,644,564 1,136,080 2021-07-27 $10.49 $10.50 32.9% 9.4% 22.5% 23.0% 34.0% -0.5% -0.8% 5.9M 4.9M -5.2M 0.85 3.56 N/A N/A 35,720 30,434 1,653,408 1,140,064 2021-07-28 $10.66 $10.50 33.0% 9.4% 22.8% 23.3% 36.1% -2.1% -1.0% 8.8M -67.0M -5.3M 0.19 3.65 N/A N/A 76,220 14,284 1,666,538 1,145,954 2021-07-29 $10.90 $10.50 32.7% 9.2% 23.9% 22.9% 33.4% -2.6% 0.4% 11.8M -186.2M -5.5M 0.16 3.38 N/A N/A 130,288 20,244 1,679,196 1,169,522 2021-07-30 $10.88 $10.50 32.7% 9.3% 24.0% 23.1% 33.8% -1.8% -0.6% 10.6M -180.3M -5.5M 0.29 3.62 N/A N/A 61,594 18,010 1,722,420 1,175,166
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