GOLD Options History — March 2023 In March 2023, GOLD traded between $15.52 and $18.71. ATM implied volatility averaged 35.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.2% (HV 20d: 33.8%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.39.
Notable Days 2023-03-17 : Highest Volume — 171,797 contracts2023-03-17 : Largest IV spike — 10.8% change2023-03-23 : Highest IV Rank — 38.6%2023-03-23 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $17.35 $15.52 $18.71 $16.37 $18.52 Max Pain $16.48 $16.00 $17.00 $17.00 $17.00 ATM IV 35.0% 31.7% 38.3% 33.1% 34.4% Expected Move 10.0% 8.8% 11.0% 9.5% 9.4% HV 20d 33.8% 23.1% 39.5% 32.8% 38.3% HV 60d 36.7% 33.7% 38.5% 36.5% 33.7% IV Rank 21.2% 3.0% 38.6% 10.4% 17.8% IV Percentile 25.7% 1.2% 59.9% 4.8% 12.7% Term Structure 0.3% -0.7% 2.5% -0.7% 2.1% VWIV 36.1% 31.4% 41.1% 33.6% 34.1% Skew 25d 0.8% -1.7% 3.3% 1.1% -0.4% Skew 10d 1.0% -3.8% 5.3% 1.0% -1.1% Call IV 25d 35.7% 31.0% 40.4% 33.0% 34.7% Put IV 25d 36.4% 33.3% 39.4% 34.1% 34.3% Bid-Ask Spread % 4.25 2.18 11.13 2.77 3.22 Gamma HHI 0.12 0.09 0.26 0.12 0.19 Net GEX 9.0M -1.7M 26.2M 4.2M 22.8M Net DEX -254.8M -461.4M 34.2M -96.9M -435.8M Net VEX -3.5M -4.1M -2.7M -2.8M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.13 1.12 0.29 0.19 Total Volume 66,181.739 29,595 171,797 30,922 41,766 Total OI 1,122,885.826 1,029,607 1,250,647 1,029,607 1,199,247
Daily Data (23 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 2023-03-01 $16.37 $17.00 33.1% 9.5% 32.8% 10.4% 33.6% 1.1% -0.7% 4.2M -96.9M -2.8M 0.29 2.77 N/A N/A 23,989 6,933 681,236 348,371 2023-03-02 $16.34 $17.00 32.4% 9.3% 30.1% 6.6% 33.1% 2.1% -0.1% 4.4M -100.8M -2.9M 0.50 2.76 N/A N/A 19,969 9,968 688,696 350,496 2023-03-03 $16.49 $17.00 31.7% 8.8% 28.7% 3.0% 31.4% 2.3% -0.3% 6.3M -116.9M -2.8M 0.78 2.18 N/A N/A 35,284 27,553 693,037 356,231 2023-03-06 $16.30 $16.00 31.8% 9.3% 23.1% 3.4% 32.3% 3.3% 0.0% 2.3M -69.4M -2.8M 0.24 2.55 N/A N/A 24,196 5,710 680,540 369,003 2023-03-07 $15.79 $16.00 32.2% 9.3% 24.7% 5.8% 32.6% 2.6% -0.1% -445.4K 2.3M -2.7M 0.35 3.21 N/A N/A 50,349 17,737 692,381 371,803 2023-03-08 $15.64 $16.00 32.7% 9.2% 24.0% 8.6% 34.6% 2.5% -0.4% -1.5M 14.0M -2.8M 0.63 2.80 N/A N/A 24,354 15,287 717,946 382,196 2023-03-09 $15.52 $16.00 33.9% 9.6% 24.0% 14.9% 39.5% 2.3% -0.4% -1.7M 34.2M -2.8M 1.12 4.23 N/A N/A 14,449 16,135 723,113 389,269 2023-03-10 $15.89 $16.00 35.7% 10.2% 24.8% 24.7% 35.7% 2.0% -0.4% 13.9K -25.1M -2.9M 0.34 3.12 N/A N/A 37,026 12,568 726,836 397,854 2023-03-13 $17.09 $16.00 38.0% 10.7% 36.9% 37.1% 37.8% 0.9% -0.4% 7.2M -232.2M -3.3M 0.24 11.13 N/A N/A 91,331 22,112 715,103 385,882 2023-03-14 $17.05 $16.00 35.1% 10.1% 36.9% 21.6% 36.8% 1.6% -0.1% 7.3M -215.8M -3.2M 0.48 10.20 N/A N/A 26,649 12,700 735,303 396,890 2023-03-15 $17.44 $16.00 36.6% 10.4% 38.0% 29.4% 37.5% 0.4% -0.4% 10.2M -295.8M -3.3M 0.47 10.51 N/A N/A 65,252 30,693 739,228 398,142 2023-03-16 $17.37 $16.00 34.5% 9.8% 35.2% 18.3% 34.6% 2.6% -0.5% 9.3M -275.4M -3.3M 0.93 3.59 N/A N/A 65,165 60,683 751,814 410,084 2023-03-17 $18.18 $16.00 38.3% 10.9% 38.3% 38.5% 38.9% -0.5% -0.3% 9.7M -447.9M -3.8M 0.23 3.64 N/A N/A 139,279 32,518 783,962 466,685 2023-03-20 $18.23 $16.00 37.6% 10.7% 37.7% 34.9% 41.1% -1.3% 1.2% 8.9M -355.8M -3.8M 0.13 3.26 N/A N/A 100,102 12,918 651,150 385,436 2023-03-21 $17.70 $16.00 35.5% 10.1% 39.5% 23.6% 36.5% 0.3% 0.9% 8.7M -280.0M -3.8M 0.28 3.09 N/A N/A 71,449 19,916 702,016 393,528 2023-03-22 $18.04 $17.00 35.3% 10.1% 38.0% 22.3% 36.1% -0.4% -0.0% 11.5M -352.4M -4.0M 0.25 4.06 N/A N/A 56,997 14,214 727,046 404,527 2023-03-23 $18.30 $17.00 38.3% 11.0% 37.9% 38.6% 39.7% -1.1% -0.3% 12.8M -410.7M -4.0M 0.17 4.48 N/A N/A 75,165 13,056 742,424 411,878 2023-03-24 $18.48 $17.00 38.0% 10.9% 37.5% 37.3% 39.2% -1.7% 0.5% 26.2M -449.8M -4.1M 0.22 3.91 N/A N/A 66,051 14,774 761,941 417,834 2023-03-27 $18.44 $17.00 36.0% 10.2% 37.6% 26.6% 37.8% -0.3% 1.6% 12.7M -411.7M -4.1M 0.29 3.68 N/A N/A 34,242 9,803 740,969 408,789 2023-03-28 $18.71 $17.00 35.9% 10.1% 37.7% 26.1% 37.0% -0.3% 1.4% 14.0M -461.4M -4.1M 0.25 2.95 N/A N/A 34,661 8,759 748,002 413,802 2023-03-29 $18.48 $17.00 34.4% 9.7% 38.2% 18.0% 34.7% -0.3% 2.5% 14.8M -425.5M -4.0M 0.21 2.88 N/A N/A 24,551 5,044 764,198 413,241 2023-03-30 $18.61 $17.00 34.9% 9.7% 38.1% 20.3% 35.2% -0.1% 1.6% 18.0M -452.3M -4.1M 0.40 3.56 N/A N/A 22,011 8,812 774,290 413,955 2023-03-31 $18.52 $17.00 34.4% 9.4% 38.3% 17.8% 34.1% -0.4% 2.1% 22.8M -435.8M -4.0M 0.19 3.22 N/A N/A 35,128 6,638 781,969 417,278
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