GOLD Options History — December 2021 In December 2021, GOLD traded between $8.82 and $9.54. ATM implied volatility averaged 31.4%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.3% (HV 20d: 25.1%). Max pain ranged from $10.00 to $10.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.43.
Notable Days 2021-12-15 : Highest Volume — 133,692 contracts2021-12-07 : Largest IV drop — 6.5% change2021-12-03 : Highest IV Rank — 44.3%2021-12-03 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $9.18 $8.82 $9.54 $9.26 $9.54 Max Pain $10.07 $10.00 $10.50 $10.50 $10.00 ATM IV 31.4% 28.1% 36.5% 34.9% 28.4% Expected Move 9.0% 7.9% 10.8% 10.4% 8.0% HV 20d 25.1% 20.9% 31.3% 31.1% 22.8% HV 60d 25.7% 24.8% 26.5% 25.8% 25.5% IV Rank 19.7% 3.9% 44.3% 36.7% 5.1% IV Percentile 39.3% 2.8% 73.0% 69.8% 5.2% Term Structure 0.1% -1.4% 1.6% 0.3% 0.8% VWIV 32.7% 28.5% 38.6% 38.0% 28.5% Skew 25d 0.0% -1.5% 2.0% 0.2% -0.5% Skew 10d -0.1% -3.9% 4.7% -2.6% -1.0% Call IV 25d 32.5% 29.3% 37.6% 36.0% 29.9% Put IV 25d 32.5% 28.3% 37.5% 36.2% 29.4% Bid-Ask Spread % 2.59 2.16 3.18 3.18 2.21 Gamma HHI 0.11 0.09 0.14 0.10 0.14 Net GEX 3.1M -180.8K 9.6M 2.6M 9.6M Net DEX 228.1M 65.2M 369.6M 226.5M 65.2M Net VEX -4.2M -4.6M -3.9M -4.5M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.18 0.86 0.34 0.36 Total Volume 92,268.636 53,050 133,692 98,296 98,672 Total OI 3,217,095.091 2,960,086 3,444,206 3,294,478 3,014,350
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 2021-12-01 $9.26 $10.50 34.9% 10.4% 31.1% 36.7% 38.0% 0.2% 0.3% 2.6M 226.5M -4.5M 0.34 3.18 N/A N/A 73,336 24,960 2,096,034 1,198,444 2021-12-02 $9.11 $10.50 35.0% 10.4% 31.3% 36.8% 36.6% 2.0% -0.4% 797.7K 273.5M -4.4M 0.59 3.02 N/A N/A 70,138 41,584 2,105,084 1,203,490 2021-12-03 $9.09 $10.50 36.5% 10.8% 31.2% 44.3% 38.6% -0.0% 0.1% 2.0M 270.7M -4.5M 0.63 2.58 N/A N/A 64,306 40,426 2,130,580 1,225,862 2021-12-06 $9.24 $10.00 34.7% 9.9% 27.5% 35.5% 36.8% 0.8% -1.4% 2.9M 230.7M -4.5M 0.53 2.19 N/A N/A 66,812 35,436 2,113,858 1,216,458 2021-12-07 $9.29 $10.00 32.5% 9.3% 27.5% 24.8% 37.3% 0.1% 0.1% 3.5M 218.8M -4.6M 0.50 2.66 N/A N/A 56,062 28,304 2,138,646 1,223,460 2021-12-08 $9.30 $10.00 30.9% 8.9% 27.2% 17.0% 32.6% 0.6% 0.7% 3.0M 227.8M -4.5M 0.40 2.57 N/A N/A 47,414 19,160 2,146,840 1,225,994 2021-12-09 $9.09 $10.00 31.5% 9.2% 22.1% 20.2% 33.3% 0.2% 0.4% 1.1M 301.5M -4.2M 0.44 2.52 N/A N/A 72,908 32,386 2,148,124 1,226,134 2021-12-10 $8.97 $10.00 30.8% 8.9% 21.4% 16.9% 32.8% -1.0% 0.4% 135.5K 331.5M -4.1M 0.41 2.19 N/A N/A 86,284 35,472 2,187,404 1,235,972 2021-12-13 $9.02 $10.00 31.5% 9.0% 21.4% 20.1% 32.8% 0.2% -0.1% 128.9K 314.8M -4.1M 0.52 2.53 N/A N/A 60,520 31,224 2,167,432 1,234,664 2021-12-14 $8.95 $10.00 32.1% 9.1% 20.9% 23.1% 33.1% 0.9% 0.4% 712.7K 333.7M -4.0M 0.18 2.36 N/A N/A 103,744 19,026 2,178,930 1,223,468 2021-12-15 $8.82 $10.00 32.8% 9.3% 21.0% 26.1% 33.1% 0.5% -0.3% -180.8K 369.6M -3.9M 0.70 3.12 N/A N/A 78,768 54,924 2,167,006 1,231,158 2021-12-16 $9.20 $10.00 32.5% 9.1% 26.0% 24.7% 32.7% -1.5% -0.6% 4.0M 237.2M -4.2M 0.45 2.74 N/A N/A 81,504 36,774 2,195,376 1,229,902 2021-12-17 $9.21 $10.00 31.9% 8.9% 25.5% 21.9% 32.8% -0.4% -1.3% 7.2M 232.3M -4.2M 0.41 2.32 N/A N/A 74,168 30,186 2,206,342 1,237,864 2021-12-20 $9.15 $10.00 32.4% 9.1% 25.3% 24.4% 33.0% 0.5% 0.8% 2.6M 191.1M -4.1M 0.86 2.83 N/A N/A 33,436 28,656 1,843,394 1,116,692 2021-12-21 $9.21 $10.00 30.3% 8.7% 24.8% 14.5% 31.1% 0.3% 0.6% 2.8M 188.2M -4.1M 0.28 2.16 N/A N/A 57,462 15,994 1,850,356 1,129,758 2021-12-22 $9.26 $10.00 29.4% 8.4% 24.2% 10.1% 30.6% 0.1% -0.1% 3.8M 179.7M -4.1M 0.42 2.47 N/A N/A 49,500 20,550 1,856,316 1,132,112 2021-12-23 $9.29 $10.00 28.1% 8.0% 24.3% 3.9% 28.9% -0.6% 1.6% 7.1M 164.1M -4.1M 0.20 2.91 N/A N/A 62,102 12,234 1,872,132 1,142,104 2021-12-27 $9.21 $10.00 29.4% 8.3% 24.4% 10.0% 30.6% -0.5% 0.0% 2.7M 195.3M -4.0M 0.27 2.17 N/A N/A 57,908 15,810 1,846,324 1,128,054 2021-12-28 $9.19 $10.00 28.6% 8.1% 24.3% 6.4% 29.5% -0.2% 0.4% 2.7M 184.7M -3.9M 0.37 2.53 N/A N/A 38,730 14,320 1,861,830 1,120,496 2021-12-29 $9.20 $10.00 28.5% 7.9% 24.3% 5.6% 28.9% -1.4% 0.2% 3.1M 174.2M -3.9M 0.32 3.11 N/A N/A 51,940 16,460 1,862,486 1,116,858 2021-12-30 $9.43 $10.00 28.3% 7.9% 23.4% 5.0% 28.9% -0.1% 0.4% 6.3M 107.7M -4.0M 0.22 2.64 N/A N/A 74,212 16,098 1,868,684 1,119,620 2021-12-31 $9.54 $10.00 28.4% 8.0% 22.8% 5.1% 28.5% -0.5% 0.8% 9.6M 65.2M -4.1M 0.36 2.21 N/A N/A 72,738 25,934 1,888,448 1,125,902
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