GOLD Options History — October 2021 In October 2021, GOLD traded between $8.98 and $9.78. ATM implied volatility averaged 30.9%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 7.4% (HV 20d: 23.5%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.38.
Notable Days 2021-10-14 : Highest Volume — 180,386 contracts2021-10-07 : Largest IV drop — 15.0% change2021-10-06 : Highest IV Rank — 47.7%2021-10-04 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $9.46 $8.98 $9.78 $8.98 $9.21 Max Pain $9.98 $9.50 $10.00 $9.50 $10.00 ATM IV 30.9% 28.8% 37.2% 32.1% 28.9% Expected Move 8.8% 8.3% 9.5% 8.8% 8.8% HV 20d 23.5% 19.6% 27.0% 25.7% 23.1% HV 60d 26.4% 25.6% 26.9% 26.5% 26.9% IV Rank 17.2% 7.3% 47.7% 22.9% 7.8% IV Percentile 27.4% 9.9% 65.5% 37.3% 11.5% Term Structure -0.4% -2.9% 1.1% 0.9% 0.4% VWIV 31.6% 29.9% 34.1% 31.7% 31.5% Skew 25d -0.7% -2.5% 0.9% 0.7% -1.9% Skew 10d -1.3% -3.8% 1.6% 1.6% -3.3% Call IV 25d 31.7% 29.5% 35.6% 31.5% 30.1% Put IV 25d 30.9% 28.2% 34.8% 32.1% 28.2% Bid-Ask Spread % 2.55 2.02 3.15 2.56 2.72 Gamma HHI 0.11 0.08 0.33 0.08 0.10 Net GEX 3.8M -936.7K 18.9M 1.6M -936.7K Net DEX 170.1M 34.7M 329.1M 329.1M 272.4M Net VEX -4.4M -4.7M -4.0M -4.0M -4.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.17 1.03 0.21 0.31 Total Volume 87,881.048 46,390 180,386 68,856 136,124 Total OI 2,985,696 2,882,752 3,054,114 2,964,848 3,047,650
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 2021-10-01 $8.98 $9.50 32.1% 8.8% 25.7% 22.9% 31.7% 0.7% 0.9% 1.6M 329.1M -4.0M 0.21 2.56 N/A N/A 57,064 11,792 1,807,620 1,157,228 2021-10-04 $9.12 $10.00 33.8% 9.5% 24.7% 31.3% 34.1% 0.1% -2.0% 485.6K 280.6M -4.2M 0.17 2.55 N/A N/A 98,202 16,492 1,788,822 1,146,218 2021-10-05 $9.08 $10.00 33.0% 9.3% 23.6% 27.4% 33.1% 0.9% -1.6% 382.0K 297.5M -4.1M 0.33 2.44 N/A N/A 66,952 22,148 1,812,028 1,150,134 2021-10-06 $9.20 $10.00 37.2% 9.3% 24.3% 47.7% 32.9% -1.6% -2.9% 1.5M 255.1M -4.2M 0.32 2.96 N/A N/A 41,188 13,344 1,827,452 1,155,226 2021-10-07 $9.29 $10.00 31.7% 9.0% 24.7% 20.9% 32.6% 0.1% -0.2% 2.4M 224.8M -4.3M 0.33 2.48 N/A N/A 49,052 16,426 1,849,516 1,151,386 2021-10-08 $9.27 $10.00 31.5% 8.9% 24.2% 20.2% 31.6% 0.1% -0.7% 5.7M 225.1M -4.3M 0.49 2.18 N/A N/A 60,218 29,602 1,863,634 1,159,574 2021-10-11 $9.23 $10.00 31.0% 8.8% 24.1% 17.8% 31.6% -0.4% 0.0% 6.6K 257.6M -4.2M 0.45 2.26 N/A N/A 32,636 14,580 1,821,774 1,157,400 2021-10-12 $9.32 $10.00 31.2% 8.9% 24.4% 18.8% 31.8% -0.3% 0.3% 478.7K 237.9M -4.3M 0.41 2.15 N/A N/A 58,210 24,068 1,834,812 1,170,520 2021-10-13 $9.61 $10.00 30.7% 8.8% 27.0% 16.4% 31.5% -0.9% -0.4% 3.6M 118.5M -4.4M 0.27 2.72 N/A N/A 108,832 29,294 1,847,270 1,174,498 2021-10-14 $9.78 $10.00 29.7% 8.5% 22.3% 11.6% 30.3% -0.8% 0.0% 7.3M 34.7M -4.6M 0.32 2.35 N/A N/A 136,650 43,736 1,854,902 1,183,352 2021-10-15 $9.54 $10.00 28.8% 8.3% 23.7% 7.3% 29.9% 0.1% 0.7% -603.2K 142.5M -4.4M 0.61 2.10 N/A N/A 76,422 46,642 1,860,836 1,193,278 2021-10-18 $9.53 $10.00 29.4% 8.4% 23.4% 10.2% 30.4% -1.0% -1.4% 2.9M 151.3M -4.4M 0.41 2.42 N/A N/A 33,702 13,684 1,762,474 1,120,278 2021-10-19 $9.63 $10.00 29.6% 8.5% 23.6% 11.1% 30.1% -0.1% -0.6% 4.8M 114.4M -4.6M 0.30 3.11 N/A N/A 44,370 13,330 1,778,388 1,132,380 2021-10-20 $9.69 $10.00 30.1% 8.6% 23.4% 13.5% 31.1% -1.2% -1.8% 5.7M 82.3M -4.7M 0.31 2.76 N/A N/A 63,536 19,776 1,813,614 1,146,508 2021-10-21 $9.67 $10.00 29.4% 8.5% 22.9% 10.2% 30.1% -0.8% -2.2% 6.3M 91.2M -4.6M 0.44 3.02 N/A N/A 32,120 14,270 1,832,650 1,149,722 2021-10-22 $9.76 $10.00 30.2% 8.7% 22.7% 14.0% 31.3% -0.5% 0.8% 18.9M 53.2M -4.7M 0.25 2.36 N/A N/A 97,660 24,074 1,832,360 1,151,678 2021-10-25 $9.78 $10.00 29.8% 9.0% 22.3% 11.9% 31.9% -1.7% 1.1% 5.8M 56.9M -4.7M 0.29 2.02 N/A N/A 73,110 21,010 1,811,648 1,138,798 2021-10-26 $9.75 $10.00 29.4% 8.8% 22.4% 10.3% 31.7% -1.7% 0.5% 6.1M 70.7M -4.7M 0.33 2.55 N/A N/A 40,456 13,408 1,842,374 1,147,818 2021-10-27 $9.71 $10.00 30.3% 8.8% 19.6% 14.2% 32.0% -2.5% 0.3% 5.6M 90.7M -4.6M 1.03 2.67 N/A N/A 32,010 32,940 1,847,116 1,151,900 2021-10-28 $9.46 $10.00 30.4% 8.9% 20.8% 14.9% 32.1% -1.8% 0.7% 1.5M 185.7M -4.4M 0.37 3.15 N/A N/A 63,240 23,132 1,856,786 1,167,994 2021-10-29 $9.21 $10.00 28.9% 8.8% 23.1% 7.8% 31.5% -1.9% 0.4% -936.7K 272.4M -4.2M 0.31 2.72 N/A N/A 103,950 32,174 1,870,430 1,177,220
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