GOLD Options History — September 2023

In September 2023, GOLD traded between $14.52 and $16.64. ATM implied volatility averaged 26.7%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 7.7% (HV 20d: 19.0%). Max pain ranged from $16.00 to $16.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2023-09-27: Highest Volume — 65,462 contracts
  • 2023-09-27: Largest IV spike — 5.3% change
  • 2023-09-27: Highest IV Rank — 29.9%
  • 2023-09-27: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.82$14.52$16.64$16.16$14.54
Max Pain$16.13$16.00$16.50$16.00$16.00
ATM IV26.7%23.4%31.2%26.7%31.1%
Expected Move7.7%6.9%9.0%7.0%8.7%
HV 20d19.0%14.5%22.8%20.8%22.8%
HV 60d24.2%23.1%25.5%24.4%24.5%
IV Rank9.5%0.0%29.9%3.6%29.4%
IV Percentile9.1%0.0%31.7%4.8%31.3%
Term Structure0.4%-0.5%1.1%0.5%0.6%
VWIV27.5%24.4%31.8%24.8%30.5%
Skew 25d0.6%-0.5%1.8%-0.5%1.8%
Skew 10d1.0%-0.9%3.5%-0.8%3.0%
Call IV 25d26.9%23.4%31.2%27.0%30.3%
Put IV 25d27.5%23.3%32.1%26.5%32.1%
Bid-Ask Spread %3.711.9317.421.982.53
Gamma HHI0.130.120.150.130.13
Net GEX6.0M2.5M12.8M6.1M2.9M
Net DEX-100.1M-215.2M43.2M-141.9M24.3M
Net VEX-2.9M-3.1M-2.5M-3.1M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.260.910.430.26
Total Volume30,507.8516,75365,46216,94152,984
Total OI1,123,114.451,009,7181,203,9981,190,9061,129,510

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$16.16$16.0026.7%7.0%20.8%3.6%24.8%-0.5%0.5%6.1M-141.9M-3.1M0.431.98N/AN/A11,8885,053844,044346,862
2023-09-05$15.98$16.0027.0%7.9%21.1%4.9%28.3%0.9%0.4%5.1M-105.7M-3.0M0.582.33N/AN/A14,2638,339830,733336,149
2023-09-06$15.79$16.0027.0%7.9%21.4%5.0%28.4%0.2%0.2%4.2M-77.7M-2.9M0.292.13N/AN/A12,9823,771834,492341,185
2023-09-07$15.79$16.0026.6%8.0%21.4%3.1%27.9%0.7%0.4%4.0M-71.2M-2.9M0.552.06N/AN/A13,4177,334840,608341,361
2023-09-08$15.80$16.0025.8%7.7%21.0%0.0%28.2%0.7%0.5%4.4M-79.1M-2.9M0.582.08N/AN/A11,2936,560847,786342,020
2023-09-11$16.02$16.0025.3%7.4%21.0%0.0%26.2%1.0%0.3%5.4M-112.1M-2.9M0.302.08N/AN/A16,7785,063838,937339,285
2023-09-12$16.07$16.0024.8%7.3%20.8%0.0%26.0%0.6%0.5%5.8M-115.9M-2.9M0.642.20N/AN/A12,5538,087844,473341,967
2023-09-13$16.12$16.0024.3%7.1%15.0%0.0%25.1%0.8%0.5%5.7M-125.9M-2.9M0.912.49N/AN/A16,62515,157849,411344,932
2023-09-14$16.30$16.0023.4%6.9%14.7%0.0%25.2%-0.2%0.7%8.4M-170.8M-2.9M0.481.93N/AN/A19,7689,530854,307342,672
2023-09-15$16.55$16.0023.4%6.9%14.6%0.0%24.4%-0.1%1.1%12.8M-215.2M-3.0M0.4017.42N/AN/A30,88812,379860,486343,512
2023-09-18$16.64$16.0024.0%6.9%14.5%2.4%24.5%0.8%-0.1%9.8M-204.6M-3.0M0.292.57N/AN/A17,8435,200720,748288,970
2023-09-19$16.31$16.0025.1%7.2%16.6%6.5%26.4%0.7%-0.2%8.6M-155.7M-2.9M0.612.16N/AN/A21,29113,072727,296291,637
2023-09-20$16.41$16.5025.5%7.3%16.7%8.1%25.8%0.2%-0.1%9.4M-175.3M-2.9M0.4116.47N/AN/A22,8909,408734,833298,703
2023-09-21$16.07$16.5026.6%7.7%17.1%12.4%26.8%0.7%-0.5%7.7M-126.5M-2.9M0.461.97N/AN/A16,7407,766735,201302,950
2023-09-22$15.84$16.5026.8%7.7%17.6%13.1%27.8%-0.0%-0.1%6.1M-121.2M-3.0M0.512.28N/AN/A24,06512,348744,970306,239
2023-09-25$15.57$16.5028.2%8.1%18.6%18.4%29.0%0.4%0.7%5.0M-62.1M-2.8M0.292.56N/AN/A17,9575,178747,800306,109
2023-09-26$15.23$16.5029.7%8.7%18.8%23.9%31.1%0.5%0.7%4.2M-38.8M-2.8M0.522.47N/AN/A22,21011,448757,406308,071
2023-09-27$14.61$16.0031.2%9.0%22.7%29.9%31.8%0.9%0.3%2.5M30.2M-2.5M0.512.26N/AN/A43,38022,082769,090312,387
2023-09-28$14.52$16.0031.1%9.0%22.6%29.3%31.8%1.1%0.6%2.5M43.2M-2.5M0.412.10N/AN/A30,10012,467792,580322,567
2023-09-29$14.54$16.0031.1%8.7%22.8%29.4%30.5%1.8%0.6%2.9M24.3M-2.5M0.262.53N/AN/A42,16710,817806,847322,663