GOLD Options History — January 2023 In January 2023, GOLD traded between $17.81 and $19.77. ATM implied volatility averaged 35.9%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 4.4% (HV 20d: 40.4%). Max pain ranged from $17.00 to $18.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.42.
Notable Days 2023-01-04 : Highest Volume — 101,479 contracts2023-01-17 : Largest IV spike — 5.5% change2023-01-03 : Highest IV Rank — 44.0%2023-01-05 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $19.14 $17.81 $19.77 $17.81 $19.57 Max Pain $17.50 $17.00 $18.50 $18.00 $18.50 ATM IV 35.9% 34.4% 37.8% 37.7% 35.1% Expected Move 10.5% 9.9% 11.1% 10.5% 10.8% HV 20d 40.4% 34.3% 44.2% 41.4% 34.6% HV 60d 48.9% 47.9% 49.6% 48.9% 47.9% IV Rank 29.7% 17.5% 44.0% 44.0% 21.5% IV Percentile 28.2% 8.3% 48.4% 48.4% 19.4% Term Structure 0.0% -1.1% 2.1% -0.0% -0.8% VWIV 37.3% 35.3% 39.5% 38.9% 39.5% Skew 25d 2.1% 0.8% 3.1% 1.4% 2.6% Skew 10d 4.7% 1.6% 8.3% 3.0% 5.9% Call IV 25d 35.4% 33.3% 38.3% 37.7% 34.4% Put IV 25d 37.4% 35.0% 39.2% 39.1% 37.0% Bid-Ask Spread % 3.16 2.49 7.99 2.58 2.74 Gamma HHI 0.15 0.12 0.34 0.13 0.12 Net GEX 10.5M 8.1M 17.3M 9.1M 10.4M Net DEX -397.5M -542.5M -258.3M -258.3M -370.0M Net VEX -2.9M -3.1M -2.7M -3.0M -2.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.23 0.80 0.35 0.80 Total Volume 50,405.55 26,729 101,479 48,180 29,015 Total OI 1,158,015.7 758,111 1,389,302 1,311,591 843,346
Daily Data (20 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 2023-01-03 $17.81 $18.00 37.7% 10.5% 41.4% 44.0% 38.9% 1.4% -0.0% 9.1M -258.3M -3.0M 0.35 2.58 N/A N/A 35,757 12,423 910,857 400,734 2023-01-04 $18.88 $18.00 37.7% 10.7% 44.1% 42.8% 38.3% 0.9% -1.1% 11.1M -450.5M -3.1M 0.36 2.51 N/A N/A 74,618 26,861 921,775 406,908 2023-01-05 $18.77 $17.00 37.8% 11.1% 44.2% 43.1% 39.2% 1.2% -0.1% 10.4M -412.3M -3.1M 0.51 3.37 N/A N/A 29,039 14,715 920,764 420,923 2023-01-06 $19.12 $17.00 37.3% 10.9% 43.8% 40.4% 38.7% 1.3% -0.1% 11.8M -479.1M -3.1M 0.47 2.84 N/A N/A 38,655 18,140 925,119 426,819 2023-01-09 $19.05 $17.00 37.1% 10.8% 43.7% 38.8% 38.4% 1.4% 0.6% 10.8M -447.7M -3.0M 0.28 2.72 N/A N/A 44,029 12,140 913,218 423,086 2023-01-10 $19.41 $17.00 36.7% 11.1% 43.6% 37.2% 39.0% 1.8% 2.1% 10.8M -510.6M -3.0M 0.33 2.73 N/A N/A 33,463 11,075 907,752 425,735 2023-01-11 $19.14 $17.00 36.4% 10.7% 44.2% 34.6% 37.3% 1.4% 1.3% 10.5M -442.0M -3.0M 0.37 2.49 N/A N/A 19,490 7,239 914,832 437,804 2023-01-12 $19.45 $17.00 35.3% 10.5% 42.2% 29.3% 36.5% 1.1% 1.4% 11.8M -516.5M -2.9M 0.29 2.71 N/A N/A 48,171 14,105 916,328 439,206 2023-01-13 $19.63 $17.00 34.4% 10.0% 42.0% 24.6% 35.8% 0.8% 0.7% 11.7M -542.5M -2.9M 0.23 2.85 N/A N/A 45,969 10,620 912,058 439,699 2023-01-17 $18.74 $17.00 36.3% 10.4% 42.7% 33.7% 37.0% 3.0% -0.2% 9.2M -339.2M -2.7M 0.42 3.03 N/A N/A 43,318 18,020 904,133 436,245 2023-01-18 $18.45 $17.00 36.4% 10.4% 43.0% 32.6% 37.1% 2.8% -1.1% 8.1M -275.3M -2.7M 0.50 3.27 N/A N/A 29,466 14,613 911,399 443,510 2023-01-19 $18.77 $17.00 35.9% 10.3% 41.0% 26.0% 36.5% 2.5% -0.4% 9.6M -336.9M -2.7M 0.42 2.89 N/A N/A 42,087 17,716 917,898 452,246 2023-01-20 $18.91 $17.00 34.8% 9.9% 37.5% 20.0% 35.8% 2.9% 0.5% 17.3M -353.1M -2.7M 0.32 2.77 N/A N/A 54,010 17,234 927,516 461,786 2023-01-23 $19.18 $17.00 35.2% 10.1% 37.7% 22.0% 35.5% 3.1% 0.1% 8.7M -328.4M -2.8M 0.63 3.29 N/A N/A 22,713 14,246 492,694 265,417 2023-01-24 $19.37 $18.00 34.4% 10.0% 37.3% 17.5% 35.4% 3.0% -0.2% 9.5M -352.7M -2.8M 0.32 3.22 N/A N/A 22,139 6,991 502,473 274,728 2023-01-25 $19.77 $18.00 34.7% 10.3% 37.6% 19.4% 37.3% 2.5% -0.2% 11.0M -404.4M -2.8M 0.79 3.26 N/A N/A 33,867 26,916 509,920 277,106 2023-01-26 $19.64 $18.50 34.8% 10.1% 37.3% 20.0% 35.5% 2.9% -0.6% 10.3M -383.9M -2.8M 0.49 3.31 N/A N/A 21,864 10,785 520,721 297,161 2023-01-27 $19.70 $18.50 34.5% 10.1% 34.3% 18.1% 35.3% 1.8% -0.4% 9.4M -392.5M -2.9M 0.37 2.60 N/A N/A 33,637 12,568 528,490 302,424 2023-01-30 $19.45 $18.50 36.2% 11.0% 35.0% 27.6% 38.1% 3.0% -1.1% 9.2M -354.2M -2.9M 0.25 7.99 N/A N/A 32,282 8,115 530,370 297,114 2023-01-31 $19.57 $18.50 35.1% 10.8% 34.6% 21.5% 39.5% 2.6% -0.8% 10.4M -370.0M -2.9M 0.80 2.74 N/A N/A 16,155 12,860 541,114 302,232
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