GOLD Options History — October 2023 In October 2023, GOLD traded between $14.16 and $16.95. ATM implied volatility averaged 34.0%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 6.4% (HV 20d: 27.6%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.40.
Notable Days 2023-10-13 : Highest Volume — 106,425 contracts2023-10-03 : Largest IV spike — 6.0% change2023-10-27 : Highest IV Rank — 58.5%2023-10-27 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $15.63 $14.16 $16.95 $14.16 $15.98 Max Pain $15.48 $15.00 $16.00 $16.00 $16.00 ATM IV 34.0% 31.8% 36.5% 33.4% 34.4% Expected Move 9.8% 9.1% 10.9% 9.2% 10.3% HV 20d 27.6% 24.0% 32.1% 24.0% 25.4% HV 60d 24.3% 22.4% 25.4% 25.0% 24.5% IV Rank 43.5% 32.0% 58.5% 38.2% 51.7% IV Percentile 52.3% 35.7% 71.8% 46.0% 55.6% Term Structure -0.4% -1.1% 0.8% -0.5% -0.5% VWIV 35.0% 32.1% 38.2% 32.3% 36.8% Skew 25d 0.0% -1.3% 1.5% 1.5% -1.0% Skew 10d 0.1% -3.8% 4.3% 3.1% -1.2% Call IV 25d 34.7% 32.7% 37.1% 33.3% 35.1% Put IV 25d 34.8% 32.5% 38.4% 34.7% 34.1% Bid-Ask Spread % 6.94 2.11 29.38 2.50 12.63 Gamma HHI 0.18 0.13 0.54 0.13 0.16 Net GEX 10.0M 2.4M 40.4M 2.4M 8.9M Net DEX -159.7M -398.3M 49.5M 49.5M -167.4M Net VEX -3.0M -3.4M -2.5M -2.5M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.14 1.31 0.44 0.32 Total Volume 43,719.455 16,958 106,425 46,404 28,450 Total OI 1,203,200.409 1,134,319 1,241,971 1,134,319 1,203,549
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 2023-10-02 $14.16 $16.00 33.4% 9.2% 24.0% 38.2% 32.3% 1.5% -0.5% 2.4M 49.5M -2.5M 0.44 2.50 N/A N/A 32,269 14,135 814,728 319,591 2023-10-03 $14.18 $15.50 35.4% 10.0% 24.1% 45.8% 35.5% 0.0% -0.4% 3.2M 32.8M -2.5M 0.47 2.20 N/A N/A 25,880 12,199 830,088 319,148 2023-10-04 $14.18 $15.00 35.7% 9.8% 24.0% 46.8% 34.6% 1.1% -0.1% 3.5M 39.0M -2.5M 0.26 2.58 N/A N/A 31,793 8,192 840,630 320,389 2023-10-05 $14.34 $15.00 36.5% 10.4% 24.7% 49.8% 36.1% 1.5% -0.3% 5.0M 1.8M -2.7M 0.24 2.59 N/A N/A 21,479 5,199 859,011 321,795 2023-10-06 $14.59 $15.00 34.6% 9.7% 25.9% 42.6% 34.1% 0.7% -0.3% 6.5M -34.0M -2.7M 0.61 2.42 N/A N/A 32,087 19,708 869,409 322,668 2023-10-09 $14.84 $15.00 35.2% 10.0% 26.2% 45.1% 35.2% 0.3% -0.1% 5.8M -56.2M -2.8M 0.42 2.18 N/A N/A 30,444 12,858 857,315 328,079 2023-10-10 $14.93 $15.00 33.8% 9.4% 26.3% 39.7% 33.9% 0.4% -0.8% 6.6M -65.8M -2.8M 0.63 2.27 N/A N/A 20,192 12,771 872,588 334,577 2023-10-11 $15.16 $15.00 33.1% 9.3% 27.1% 36.9% 32.8% 0.3% -0.4% 7.5M -89.7M -2.8M 0.68 2.24 N/A N/A 28,146 19,101 878,631 342,720 2023-10-12 $15.11 $15.00 32.5% 9.1% 26.5% 34.8% 32.1% 0.7% -1.0% 6.6M -74.9M -2.8M 0.30 2.17 N/A N/A 29,775 8,961 882,689 354,489 2023-10-13 $15.73 $15.00 33.7% 9.5% 30.1% 39.2% 34.2% -0.6% -1.0% 9.0M -207.9M -3.2M 0.43 2.36 N/A N/A 74,541 31,884 884,001 357,970 2023-10-16 $15.84 $15.00 32.2% 9.2% 30.2% 33.6% 33.4% -0.1% -0.8% 9.9M -194.9M -3.1M 0.37 2.39 N/A N/A 24,537 9,035 876,225 349,868 2023-10-17 $16.38 $15.00 31.8% 9.1% 32.0% 32.0% 32.8% -0.5% -0.8% 13.6M -289.6M -3.3M 0.40 2.11 N/A N/A 34,411 13,858 882,146 352,200 2023-10-18 $16.48 $15.00 33.1% 9.5% 32.0% 39.4% 34.1% -0.6% -0.4% 13.5M -302.9M -3.3M 0.24 2.20 N/A N/A 41,650 9,970 871,810 352,346 2023-10-19 $16.55 $16.00 33.8% 9.8% 31.0% 42.5% 34.5% -0.4% -1.1% 14.9M -312.8M -3.3M 0.16 22.47 N/A N/A 26,566 4,356 882,110 356,552 2023-10-20 $16.95 $16.00 33.6% 9.7% 31.4% 41.5% 34.8% -0.6% -0.9% 40.4M -398.3M -3.4M 0.21 28.01 N/A N/A 68,538 14,656 883,574 357,548 2023-10-23 $16.55 $16.00 33.3% 9.8% 32.1% 44.3% 37.1% 0.4% 0.4% 11.1M -261.7M -3.2M 0.39 6.83 N/A N/A 32,199 12,461 828,365 337,494 2023-10-24 $16.56 $16.00 32.6% 9.6% 30.7% 42.1% 36.3% 0.5% 0.5% 12.1M -269.3M -3.2M 0.32 3.56 N/A N/A 18,383 5,879 842,764 339,187 2023-10-25 $16.64 $16.00 33.0% 9.8% 25.5% 43.6% 36.2% -0.4% 0.8% 12.9M -286.8M -3.2M 1.31 12.54 N/A N/A 17,633 23,091 852,380 340,699 2023-10-26 $16.32 $16.00 34.2% 10.4% 26.8% 50.9% 38.1% -0.3% 0.1% 7.1M -215.5M -3.2M 0.14 29.38 N/A N/A 29,241 4,148 861,331 360,261 2023-10-27 $16.31 $16.00 35.8% 10.9% 26.8% 58.5% 38.2% -0.5% 0.3% 10.1M -212.4M -3.2M 0.18 3.76 N/A N/A 46,119 8,075 873,549 358,876 2023-10-30 $16.16 $16.00 35.5% 10.5% 24.7% 56.9% 38.0% -1.3% -0.6% 9.8M -195.6M -3.1M 0.34 3.24 N/A N/A 12,657 4,301 857,688 339,371 2023-10-31 $15.98 $16.00 34.4% 10.3% 25.4% 51.7% 36.8% -1.0% -0.5% 8.9M -167.4M -3.0M 0.32 12.63 N/A N/A 21,534 6,916 862,602 340,947
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