GOLD Options History — February 2023 In February 2023, GOLD traded between $15.96 and $20.11. ATM implied volatility averaged 35.6%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 1.6% (HV 20d: 34.0%). Max pain ranged from $17.00 to $18.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.44.
Notable Days 2023-02-03 : Highest Volume — 86,762 contracts2023-02-15 : Largest IV drop — 8.9% change2023-02-09 : Highest IV Rank — 41.4%2023-02-09 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $17.47 $15.96 $20.11 $20.11 $16.12 Max Pain $17.08 $17.00 $18.50 $18.50 $17.00 ATM IV 35.6% 32.9% 38.8% 34.7% 32.9% Expected Move 10.2% 9.4% 11.0% 10.5% 9.6% HV 20d 34.0% 31.1% 36.7% 33.4% 32.1% HV 60d 39.6% 37.3% 43.5% 43.0% 37.3% IV Rank 24.2% 9.4% 41.4% 19.1% 9.4% IV Percentile 26.2% 3.6% 57.9% 12.7% 3.6% Term Structure -0.2% -1.2% 0.7% -0.3% -0.4% VWIV 36.4% 33.3% 39.9% 37.0% 33.3% Skew 25d 2.8% 1.8% 4.0% 2.8% 2.3% Skew 10d 5.1% 3.5% 6.5% 4.8% 4.1% Call IV 25d 34.9% 32.3% 38.0% 33.8% 32.3% Put IV 25d 37.7% 34.6% 41.8% 36.6% 34.6% Bid-Ask Spread % 2.60 2.09 3.35 2.89 3.35 Gamma HHI 0.12 0.11 0.14 0.13 0.11 Net GEX 4.0M 565.1K 12.0M 12.0M 3.7M Net DEX -125.1M -444.1M 7.9M -444.1M -71.3M Net VEX -2.7M -2.9M -2.6M -2.9M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.20 0.92 0.27 0.43 Total Volume 49,332.579 24,945 86,762 41,723 29,990 Total OI 957,383.789 854,487 1,043,139 854,487 1,023,151
Daily Data (19 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 2023-02-01 $20.11 $18.50 34.7% 10.5% 33.4% 19.1% 37.0% 2.8% -0.3% 12.0M -444.1M -2.9M 0.27 2.89 N/A N/A 32,755 8,968 542,920 311,567 2023-02-02 $19.32 $17.00 35.2% 10.0% 31.1% 22.1% 35.8% 2.8% -0.9% 9.7M -333.0M -2.9M 0.39 2.16 N/A N/A 30,675 11,857 556,341 316,983 2023-02-03 $18.31 $17.00 36.5% 10.6% 36.7% 29.1% 37.5% 4.0% -1.2% 5.4M -184.0M -2.8M 0.45 2.45 N/A N/A 59,708 27,054 564,012 321,290 2023-02-06 $18.34 $17.00 38.0% 10.7% 36.0% 37.1% 37.8% 2.4% 0.0% 6.1M -205.6M -2.8M 0.23 2.93 N/A N/A 33,079 7,694 573,237 326,326 2023-02-07 $18.49 $17.00 37.8% 10.8% 36.2% 36.2% 39.1% 3.5% 0.1% 7.1M -231.7M -2.8M 0.31 2.59 N/A N/A 18,990 5,955 585,163 328,003 2023-02-08 $18.30 $17.00 38.0% 10.9% 35.5% 37.0% 38.2% 3.3% -0.1% 6.2M -202.4M -2.8M 0.50 2.44 N/A N/A 20,229 10,087 588,642 329,854 2023-02-09 $17.73 $17.00 38.8% 11.0% 36.7% 41.4% 39.2% 3.5% -0.9% 3.5M -120.7M -2.7M 0.41 2.52 N/A N/A 35,124 14,517 596,180 336,655 2023-02-10 $17.95 $17.00 37.7% 10.9% 36.5% 35.7% 39.9% 3.1% 0.6% 3.8M -153.0M -2.8M 0.76 2.81 N/A N/A 32,432 24,699 608,935 341,266 2023-02-13 $17.91 $17.00 38.1% 10.8% 36.2% 37.5% 39.3% 3.8% -0.0% 4.1M -156.3M -2.9M 0.92 2.71 N/A N/A 20,202 18,612 610,798 344,370 2023-02-14 $17.82 $17.00 36.3% 10.4% 32.6% 27.8% 37.8% 2.9% 0.6% 3.4M -136.1M -2.8M 0.75 2.60 N/A N/A 32,104 24,149 617,803 358,555 2023-02-15 $17.13 $17.00 33.0% 9.5% 34.9% 10.4% 34.2% 1.9% 0.7% 1.7M -33.8M -2.7M 0.55 2.79 N/A N/A 42,394 23,500 629,561 370,476 2023-02-16 $16.96 $17.00 32.9% 9.4% 34.1% 9.8% 33.8% 2.2% 0.5% 1.4M -26.9M -2.6M 0.58 2.13 N/A N/A 29,979 17,413 646,237 375,137 2023-02-17 $16.71 $17.00 33.8% 9.6% 33.9% 14.4% 34.1% 3.0% 0.4% 1.4M 7.9M -2.6M 0.50 2.09 N/A N/A 44,020 22,143 659,109 384,030 2023-02-21 $16.61 $17.00 35.5% 10.1% 33.1% 23.8% 35.4% 2.6% -0.6% 1.6M -50.2M -2.6M 0.22 2.42 N/A N/A 49,686 10,838 595,418 326,907 2023-02-22 $16.14 $17.00 35.5% 10.1% 33.3% 23.5% 35.6% 2.5% -0.4% 998.1K -6.6M -2.6M 0.37 2.80 N/A N/A 59,328 22,173 625,193 335,485 2023-02-23 $16.09 $17.00 34.2% 9.8% 31.5% 16.6% 34.7% 1.8% -0.5% 1.3M -13.3M -2.7M 0.20 2.84 N/A N/A 29,616 6,067 660,380 353,015 2023-02-24 $15.96 $17.00 34.1% 9.7% 31.5% 16.1% 34.3% 2.9% -0.7% 565.1K 1.8M -2.6M 0.31 2.67 N/A N/A 36,765 11,308 672,993 354,837 2023-02-27 $15.98 $17.00 33.5% 9.6% 31.4% 12.7% 34.3% 2.4% -0.5% 2.5M -17.2M -2.8M 0.22 2.15 N/A N/A 27,218 5,991 663,283 356,180 2023-02-28 $16.12 $17.00 32.9% 9.6% 32.1% 9.4% 33.3% 2.3% -0.4% 3.7M -71.3M -2.8M 0.43 3.35 N/A N/A 20,899 9,091 678,781 344,370
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