GOLD Options History — November 2021 In November 2021, GOLD traded between $9.23 and $10.50. ATM implied volatility averaged 31.3%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.8% (HV 20d: 27.5%). Max pain ranged from $9.75 to $10.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.32.
Notable Days 2021-11-10 : Highest Volume — 296,436 contracts2021-11-26 : Largest IV spike — 11.3% change2021-11-26 : Highest IV Rank — 32.9%2021-11-30 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $9.87 $9.23 $10.50 $9.26 $9.55 Max Pain $10.42 $9.75 $10.50 $10.00 $10.50 ATM IV 31.3% 30.1% 34.2% 31.2% 33.5% Expected Move 9.1% 8.5% 10.0% 9.3% 10.0% HV 20d 27.5% 22.3% 31.7% 22.6% 28.8% HV 60d 26.5% 25.3% 28.0% 26.6% 25.5% IV Rank 19.3% 13.2% 32.9% 18.6% 29.7% IV Percentile 38.5% 23.4% 65.9% 35.3% 62.3% Term Structure 0.0% -1.1% 1.3% -0.6% 0.2% VWIV 33.1% 30.8% 36.4% 33.1% 36.0% Skew 25d -1.4% -2.2% -0.2% -1.6% -0.5% Skew 10d -4.5% -8.3% -1.8% -4.1% -2.8% Call IV 25d 33.0% 30.7% 36.0% 32.7% 35.0% Put IV 25d 31.6% 29.8% 34.8% 31.1% 34.5% Bid-Ask Spread % 2.77 1.85 4.13 3.01 2.65 Gamma HHI 0.11 0.10 0.14 0.10 0.10 Net GEX 7.6M -17.8K 15.6M 738.9K 5.3M Net DEX -5.6M -290.3M 253.6M 232.1M 124.9M Net VEX -4.9M -5.3M -4.4M -4.4M -4.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.32 0.16 0.69 0.61 0.23 Total Volume 121,172.476 55,670 296,436 89,266 144,660 Total OI 3,189,135.81 3,042,766 3,327,508 3,042,766 3,247,640
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 2021-11-01 $9.26 $10.00 31.2% 9.3% 22.6% 18.6% 33.1% -1.6% -0.6% 738.9K 232.1M -4.4M 0.61 3.01 N/A N/A 55,608 33,658 1,865,160 1,177,606 2021-11-02 $9.23 $10.00 31.6% 9.4% 22.5% 20.9% 33.5% -1.1% -0.5% -17.8K 253.6M -4.4M 0.25 3.26 N/A N/A 44,400 11,270 1,884,694 1,192,188 2021-11-03 $9.35 $9.75 30.7% 9.3% 22.5% 16.5% 33.7% -1.5% 1.1% 1.3M 220.8M -4.4M 0.25 3.76 N/A N/A 80,022 20,146 1,904,490 1,194,112 2021-11-04 $9.38 $10.50 31.3% 8.7% 22.3% 19.4% 30.8% -1.1% 0.1% 1.9M 207.7M -4.5M 0.32 1.85 N/A N/A 60,042 19,136 1,919,808 1,201,258 2021-11-05 $9.79 $10.50 30.7% 8.8% 26.8% 16.1% 31.4% -2.0% -1.1% 7.4M 35.1M -4.8M 0.18 2.39 N/A N/A 157,842 28,542 1,929,756 1,203,222 2021-11-08 $9.71 $10.50 30.1% 8.7% 27.0% 13.3% 31.2% -0.9% 0.8% 5.4M 84.5M -4.7M 0.31 2.40 N/A N/A 94,444 29,200 1,914,638 1,193,976 2021-11-09 $9.79 $10.50 30.1% 8.9% 27.0% 13.2% 31.7% -0.9% 0.8% 7.8M 34.0M -4.8M 0.32 2.41 N/A N/A 53,320 16,910 1,953,168 1,203,558 2021-11-10 $10.22 $10.50 32.4% 9.1% 29.1% 24.3% 33.2% -2.1% -0.6% 11.8M -172.5M -5.1M 0.30 3.06 N/A N/A 228,634 67,802 1,964,160 1,207,982 2021-11-11 $10.33 $10.50 31.0% 9.1% 28.7% 17.9% 33.1% -1.4% 0.7% 13.7M -228.6M -5.2M 0.29 2.39 N/A N/A 109,052 32,000 1,999,082 1,219,680 2021-11-12 $10.39 $10.50 31.9% 9.1% 26.9% 21.8% 32.8% -2.2% -0.3% 15.6M -271.0M -5.3M 0.39 2.82 N/A N/A 100,404 39,042 2,030,276 1,224,110 2021-11-15 $10.44 $10.50 31.5% 9.0% 26.8% 20.3% 33.5% -1.1% -0.3% 13.8M -261.0M -5.2M 0.32 2.43 N/A N/A 74,378 23,932 2,003,602 1,205,998 2021-11-16 $10.32 $10.50 31.3% 9.0% 27.3% 18.9% 32.1% -1.6% -0.6% 12.1M -197.7M -5.1M 0.34 2.19 N/A N/A 69,782 23,926 2,007,668 1,214,320 2021-11-17 $10.50 $10.50 30.8% 8.8% 27.7% 16.6% 32.0% -1.9% 0.1% 14.7M -290.3M -5.2M 0.69 2.93 N/A N/A 70,604 48,866 2,015,902 1,220,130 2021-11-18 $10.27 $10.50 30.7% 8.9% 29.3% 16.4% 33.9% -2.2% -0.7% 10.1M -155.1M -5.1M 0.16 2.54 N/A N/A 102,304 16,668 2,017,592 1,246,510 2021-11-19 $10.13 $10.50 30.2% 8.5% 29.7% 13.9% 33.9% -1.8% 1.3% 8.1M -101.2M -5.1M 0.25 2.57 N/A N/A 110,706 27,410 2,079,762 1,247,746 2021-11-22 $9.91 $10.50 30.8% 8.8% 30.9% 16.7% 33.5% -1.8% 0.2% 6.4M 11.5M -4.9M 0.21 2.76 N/A N/A 159,720 33,582 1,976,036 1,170,762 2021-11-23 $9.72 $10.50 31.0% 8.8% 31.7% 17.6% 33.1% -0.9% -0.0% 5.6M 86.8M -4.7M 0.35 2.99 N/A N/A 87,588 30,426 2,026,118 1,177,570 2021-11-24 $9.71 $10.50 30.7% 8.8% 31.6% 16.3% 32.2% -1.6% 0.0% 5.5M 89.6M -4.7M 0.39 2.91 N/A N/A 48,308 18,982 2,052,862 1,185,490 2021-11-26 $9.70 $10.50 34.2% 9.7% 30.2% 32.9% 36.4% -1.2% -0.3% 6.3M 82.1M -4.8M 0.23 4.13 N/A N/A 68,882 15,834 2,073,026 1,201,482 2021-11-29 $9.60 $10.50 32.6% 9.6% 28.7% 25.2% 34.8% -0.2% 0.4% 5.8M 97.4M -4.9M 0.23 2.74 N/A N/A 70,372 16,218 2,030,940 1,187,772 2021-11-30 $9.55 $10.50 33.5% 10.0% 28.8% 29.7% 36.0% -0.5% 0.2% 5.3M 124.9M -4.8M 0.23 2.65 N/A N/A 117,818 26,842 2,057,044 1,190,596
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