GOLD Options History — August 2021 In August 2021, GOLD traded between $9.57 and $10.85. ATM implied volatility averaged 30.2%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.2% (HV 20d: 26.0%). Max pain ranged from $10.50 to $10.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.39.
Notable Days 2021-08-10 : Highest Volume — 161,150 contracts2021-08-09 : Largest IV drop — 13.5% change2021-08-06 : Highest IV Rank — 32.3%2021-08-02 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $10.13 $9.57 $10.85 $10.78 $10.03 Max Pain $10.50 $10.50 $10.50 $10.50 $10.50 ATM IV 30.2% 28.0% 34.7% 31.4% 28.3% Expected Move 8.5% 7.7% 9.4% 9.4% 7.7% HV 20d 26.0% 21.3% 31.7% 24.2% 31.7% HV 60d 27.4% 26.4% 28.3% 27.6% 28.3% IV Rank 12.3% 2.6% 32.3% 17.2% 3.7% IV Percentile 12.0% 0.4% 37.7% 18.3% 1.2% Term Structure -0.0% -1.6% 0.8% -0.5% 0.2% VWIV 31.6% 27.7% 34.9% 34.1% 27.7% Skew 25d -0.5% -1.8% 0.7% -0.8% 0.1% Skew 10d -2.0% -4.3% 4.2% -3.8% -0.6% Call IV 25d 31.3% 28.4% 34.2% 34.0% 29.2% Put IV 25d 30.8% 28.4% 33.2% 33.2% 29.3% Bid-Ask Spread % 2.61 1.95 3.72 3.26 3.06 Gamma HHI 0.10 0.08 0.12 0.08 0.09 Net GEX 2.0M -4.6M 11.5M 9.8M 2.2M Net DEX 141.6M -159.0M 362.3M -122.7M 142.1M Net VEX -4.7M -5.5M -4.2M -5.5M -4.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.13 0.97 0.40 0.21 Total Volume 90,806.545 43,272 161,150 53,286 96,546 Total OI 2,997,416.636 2,881,918 3,121,514 2,881,918 3,008,688
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 2021-08-02 $10.78 $10.50 31.4% 9.4% 24.2% 17.2% 34.1% -0.8% -0.5% 9.8M -122.7M -5.5M 0.40 3.26 N/A N/A 38,092 15,194 1,716,058 1,165,860 2021-08-03 $10.85 $10.50 32.8% 9.1% 22.7% 23.2% 34.6% -0.6% -1.3% 11.2M -159.0M -5.4M 0.22 3.19 N/A N/A 35,460 7,812 1,745,648 1,175,516 2021-08-04 $10.83 $10.50 32.6% 9.4% 22.5% 22.7% 34.5% -1.5% -0.4% 11.5M -149.1M -5.4M 0.33 2.48 N/A N/A 81,910 27,048 1,759,774 1,182,488 2021-08-05 $10.63 $10.50 32.3% 9.0% 21.7% 21.1% 34.9% -1.5% -0.2% 8.2M -44.7M -5.3M 0.43 2.62 N/A N/A 51,456 22,124 1,774,608 1,184,878 2021-08-06 $10.41 $10.50 34.7% 9.0% 21.4% 32.3% 32.8% -0.9% -1.6% 5.2M 45.8M -5.1M 0.45 2.33 N/A N/A 90,002 40,056 1,784,178 1,181,402 2021-08-09 $10.28 $10.50 30.0% 8.6% 21.3% 11.8% 31.1% 0.7% 0.1% 2.7M 118.1M -4.9M 0.52 3.72 N/A N/A 94,554 49,124 1,760,540 1,179,958 2021-08-10 $9.93 $10.50 30.7% 8.7% 23.6% 15.1% 34.2% -0.7% -0.3% -1.6M 248.2M -4.5M 0.33 2.27 N/A N/A 121,400 39,750 1,790,892 1,197,066 2021-08-11 $10.15 $10.50 29.8% 8.5% 24.9% 11.0% 32.2% -0.5% -0.0% 1.6M 159.1M -4.8M 0.37 2.42 N/A N/A 73,400 27,332 1,809,784 1,199,964 2021-08-12 $9.99 $10.50 29.1% 8.3% 25.4% 7.6% 30.2% -0.5% -0.1% -876.2K 224.7M -4.6M 0.25 2.16 N/A N/A 52,300 12,914 1,836,594 1,216,354 2021-08-13 $10.15 $10.50 28.5% 8.2% 25.0% 4.6% 30.7% 0.3% 0.3% 2.2M 168.1M -4.7M 0.38 2.23 N/A N/A 53,184 20,462 1,843,694 1,222,258 2021-08-16 $10.10 $10.50 28.8% 8.2% 24.5% 6.4% 31.0% -0.3% 0.3% 1.0M 186.4M -4.6M 0.36 2.30 N/A N/A 43,558 15,848 1,810,740 1,207,240 2021-08-17 $9.96 $10.50 29.3% 8.4% 24.5% 8.6% 30.5% 0.1% 0.2% -1.9M 249.6M -4.5M 0.22 1.95 N/A N/A 52,696 11,820 1,821,408 1,217,146 2021-08-18 $9.73 $10.50 29.8% 8.6% 25.2% 11.1% 31.4% -0.8% 0.4% -3.7M 315.4M -4.4M 0.53 2.13 N/A N/A 79,408 42,064 1,841,898 1,222,332 2021-08-19 $9.57 $10.50 31.4% 9.0% 25.6% 18.5% 33.0% -0.2% -0.7% -4.6M 362.3M -4.2M 0.97 2.30 N/A N/A 56,382 54,924 1,852,672 1,227,014 2021-08-20 $9.61 $10.50 30.3% 8.7% 25.7% 13.3% 32.4% -0.6% 0.3% -3.3M 354.3M -4.2M 0.58 2.18 N/A N/A 50,502 29,180 1,881,034 1,240,480 2021-08-23 $10.06 $10.50 30.2% 8.5% 30.9% 12.9% 32.1% -1.3% 0.4% 578.5K 147.1M -4.7M 0.13 2.98 N/A N/A 129,056 16,168 1,721,576 1,196,712 2021-08-24 $10.07 $10.50 29.5% 8.3% 30.7% 9.5% 30.1% -1.1% 0.5% 1.8M 137.3M -4.6M 0.27 2.93 N/A N/A 45,170 12,228 1,740,706 1,202,066 2021-08-25 $9.93 $10.50 29.0% 8.1% 30.2% 7.0% 28.8% -0.7% 0.5% 424.6K 199.1M -4.5M 0.51 3.05 N/A N/A 30,162 15,310 1,781,962 1,206,842 2021-08-26 $9.87 $10.50 28.9% 7.9% 28.5% 6.6% 29.6% 0.5% 0.8% -797.5K 225.8M -4.5M 0.38 2.44 N/A N/A 48,550 18,670 1,799,870 1,213,010 2021-08-27 $10.11 $10.50 28.3% 7.7% 30.3% 3.8% 28.8% -1.8% 0.5% 3.1M 114.4M -4.7M 0.23 2.79 N/A N/A 93,932 21,666 1,810,988 1,221,250 2021-08-30 $9.87 $10.50 28.0% 7.7% 31.1% 2.6% 30.1% 0.3% -0.4% -87.3K 193.1M -4.6M 0.58 2.70 N/A N/A 50,910 29,420 1,785,354 1,204,664 2021-08-31 $10.03 $10.50 28.3% 7.7% 31.7% 3.7% 27.7% 0.1% 0.2% 2.2M 142.1M -4.7M 0.21 3.06 N/A N/A 79,588 16,958 1,797,434 1,211,254
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