GOLD Options History — September 2021 In September 2021, GOLD traded between $8.80 and $10.18. ATM implied volatility averaged 29.4%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.8% (HV 20d: 28.6%). Max pain ranged from $9.75 to $10.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.36.
Notable Days 2021-09-03 : Highest Volume — 197,728 contracts2021-09-20 : Largest IV spike — 15.8% change2021-09-20 : Highest IV Rank — 34.5%2021-09-20 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $9.47 $8.80 $10.18 $9.92 $9.03 Max Pain $10.01 $9.75 $10.50 $10.50 $9.75 ATM IV 29.4% 27.3% 34.5% 27.8% 31.8% Expected Move 8.5% 7.6% 9.9% 7.6% 9.3% HV 20d 28.6% 23.4% 32.9% 31.8% 25.9% HV 60d 26.9% 24.8% 28.5% 28.3% 26.9% IV Rank 10.0% 0.0% 34.5% 1.7% 21.7% IV Percentile 13.8% 0.0% 49.2% 0.4% 36.1% Term Structure 0.3% -1.2% 1.6% 0.4% 1.6% VWIV 30.6% 27.0% 35.5% 27.0% 33.9% Skew 25d -0.2% -0.9% 0.4% 0.3% -0.0% Skew 10d -1.0% -4.5% 1.2% -0.2% 0.2% Call IV 25d 30.5% 28.1% 35.7% 28.7% 32.9% Put IV 25d 30.3% 28.0% 35.9% 29.0% 32.9% Bid-Ask Spread % 2.58 2.26 3.22 2.55 2.78 Gamma HHI 0.11 0.08 0.19 0.09 0.08 Net GEX -700.5K -5.0M 6.5M 730.9K 249.0K Net DEX 273.2M 52.5M 434.9M 181.1M 312.3M Net VEX -4.2M -4.9M -3.8M -4.6M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.36 0.14 0.66 0.49 0.28 Total Volume 105,839.81 57,320 197,728 69,012 122,846 Total OI 3,003,102.19 2,672,562 3,221,492 3,044,252 2,955,264
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 2021-09-01 $9.92 $10.50 27.8% 7.6% 31.8% 1.7% 27.0% 0.3% 0.4% 730.9K 181.1M -4.6M 0.49 2.55 N/A N/A 46,420 22,592 1,822,862 1,221,390 2021-09-02 $9.95 $10.00 27.4% 8.0% 31.4% 0.0% 28.5% 0.3% 0.2% 1.7M 171.8M -4.6M 0.14 2.77 N/A N/A 62,594 8,840 1,857,274 1,227,814 2021-09-03 $10.18 $10.00 27.8% 8.3% 32.0% 1.8% 30.6% 0.2% 0.5% 6.5M 52.5M -4.9M 0.20 2.79 N/A N/A 165,100 32,628 1,873,180 1,238,426 2021-09-07 $9.92 $10.00 28.5% 8.3% 32.9% 5.3% 30.3% -0.7% 0.5% 378.3K 166.4M -4.6M 0.38 2.54 N/A N/A 72,106 27,648 1,841,780 1,220,134 2021-09-08 $9.93 $10.00 29.0% 8.4% 30.6% 7.9% 30.2% -0.9% 0.2% -177.5K 172.9M -4.6M 0.66 2.26 N/A N/A 47,740 31,390 1,873,072 1,234,734 2021-09-09 $9.85 $10.00 28.8% 8.3% 29.5% 6.8% 29.7% -0.2% -0.1% -2.0M 206.0M -4.6M 0.41 2.32 N/A N/A 40,592 16,728 1,897,992 1,248,162 2021-09-10 $9.70 $10.00 28.4% 8.1% 29.5% 4.8% 29.1% -0.8% -0.3% -4.7M 282.9M -4.4M 0.55 2.36 N/A N/A 57,294 31,660 1,910,202 1,259,776 2021-09-13 $9.72 $10.00 28.6% 8.2% 28.9% 5.9% 30.3% -0.4% -0.1% -4.0M 261.2M -4.3M 0.26 2.43 N/A N/A 60,862 15,568 1,887,872 1,245,490 2021-09-14 $9.76 $10.00 28.9% 8.3% 29.0% 7.2% 29.5% -0.1% -1.2% -3.3M 244.0M -4.4M 0.56 2.35 N/A N/A 61,374 34,206 1,909,254 1,254,312 2021-09-15 $9.70 $10.00 27.3% 7.8% 28.7% 0.0% 28.0% -0.1% -0.1% -4.7M 284.4M -4.2M 0.28 2.39 N/A N/A 60,446 17,088 1,923,102 1,256,764 2021-09-16 $9.29 $10.00 29.2% 8.4% 31.5% 9.1% 30.2% -0.6% -1.0% -5.0M 401.6M -4.0M 0.40 2.62 N/A N/A 123,142 49,632 1,942,434 1,259,576 2021-09-17 $9.16 $10.00 29.8% 8.5% 31.4% 12.0% 30.9% -0.8% 0.4% -2.1M 434.9M -3.9M 0.51 2.30 N/A N/A 104,656 53,408 1,957,136 1,264,356 2021-09-20 $9.28 $10.00 34.5% 9.9% 31.7% 34.5% 35.5% 0.3% -0.6% -104.7K 258.3M -4.2M 0.26 2.75 N/A N/A 99,084 25,926 1,581,936 1,090,626 2021-09-21 $9.27 $10.00 32.1% 9.2% 26.3% 23.1% 33.6% 0.1% 0.4% 718.0K 265.1M -4.1M 0.42 3.22 N/A N/A 61,190 25,538 1,627,322 1,113,814 2021-09-22 $9.22 $10.00 30.5% 8.7% 26.3% 15.2% 31.6% -0.8% 0.1% 837.2K 290.1M -4.0M 0.36 2.94 N/A N/A 76,842 27,662 1,654,416 1,132,140 2021-09-23 $9.11 $10.00 28.6% 8.3% 26.2% 6.1% 29.8% -0.3% 1.3% 1.1M 330.0M -3.9M 0.26 2.62 N/A N/A 95,006 24,318 1,679,196 1,144,282 2021-09-24 $9.04 $10.00 27.7% 8.1% 26.2% 1.7% 29.2% -0.7% 0.1% 4.5M 342.6M -3.9M 0.27 2.67 N/A N/A 62,880 16,888 1,707,462 1,159,738 2021-09-27 $8.98 $10.00 28.9% 8.3% 24.0% 7.8% 30.2% -0.2% 1.1% -2.1M 361.0M -3.9M 0.20 2.32 N/A N/A 68,278 13,816 1,671,562 1,152,402 2021-09-28 $9.04 $10.00 31.1% 9.1% 23.4% 18.3% 32.3% 0.2% 1.3% -1.2M 328.1M -4.0M 0.37 2.69 N/A N/A 106,400 39,394 1,704,340 1,161,794 2021-09-29 $8.80 $10.00 31.3% 9.0% 23.4% 19.0% 32.4% 0.4% 1.6% -1.9M 389.8M -3.8M 0.39 2.61 N/A N/A 81,466 31,388 1,734,140 1,167,618 2021-09-30 $9.03 $9.75 31.8% 9.3% 25.9% 21.7% 33.9% -0.0% 1.6% 249.0K 312.3M -4.1M 0.28 2.78 N/A N/A 95,970 26,876 1,778,072 1,177,192
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