GOLD Options History — December 2023 In December 2023, GOLD traded between $16.29 and $18.45. ATM implied volatility averaged 28.2%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 5.4% (HV 20d: 33.6%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.40.
Notable Days 2023-12-01 : Highest Volume — 70,582 contracts2023-12-04 : Largest IV spike — 4.7% change2023-12-26 : Highest IV Rank — 39.6%2023-12-26 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $17.61 $16.29 $18.45 $17.73 $18.02 Max Pain $16.95 $16.00 $17.00 $16.00 $17.00 ATM IV 28.2% 27.3% 29.5% 27.4% 28.0% Expected Move 8.1% 7.9% 8.4% 8.3% 7.9% HV 20d 33.6% 27.5% 36.2% 34.8% 31.9% HV 60d 30.7% 29.2% 32.7% 29.2% 30.6% IV Rank 31.2% 25.2% 39.6% 25.9% 29.8% IV Percentile 22.3% 13.1% 38.1% 13.9% 20.2% Term Structure 0.4% -0.6% 1.1% -0.2% 0.7% VWIV 29.3% 28.0% 31.0% 29.0% 28.8% Skew 25d -0.9% -1.6% -0.4% -1.5% -0.8% Skew 10d -1.9% -3.7% 1.6% -2.5% -2.6% Call IV 25d 29.4% 28.4% 30.5% 29.3% 28.7% Put IV 25d 28.5% 27.7% 29.8% 27.8% 28.0% Bid-Ask Spread % 8.49 1.83 21.22 18.67 15.31 Gamma HHI 0.19 0.15 0.22 0.19 0.21 Net GEX 18.1M 8.7M 23.0M 18.9M 16.3M Net DEX -401.5M -538.6M -152.7M -470.9M -434.6M Net VEX -2.8M -2.9M -2.6M -2.9M -2.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.15 2.11 0.25 0.31 Total Volume 39,931.85 23,577 70,582 70,582 33,352 Total OI 1,218,504.75 1,155,210 1,270,007 1,237,869 1,181,843
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 2023-12-01 $17.73 $16.00 27.4% 8.3% 34.8% 25.9% 29.0% -1.5% -0.2% 18.9M -470.9M -2.9M 0.25 18.67 N/A N/A 56,491 14,091 871,238 366,631 2023-12-04 $17.51 $17.00 28.7% 8.2% 34.3% 34.4% 29.8% -1.0% 0.3% 18.3M -397.9M -2.9M 0.15 1.83 N/A N/A 36,721 5,591 865,817 363,488 2023-12-05 $17.49 $17.00 28.1% 8.1% 34.1% 30.8% 29.7% -0.4% 1.1% 18.7M -397.9M -2.9M 0.23 8.47 N/A N/A 20,674 4,753 874,670 365,059 2023-12-06 $17.37 $17.00 28.2% 8.0% 31.4% 31.2% 29.0% -1.3% 0.4% 18.0M -368.0M -2.8M 0.36 7.46 N/A N/A 20,357 7,420 879,401 365,170 2023-12-07 $17.23 $17.00 27.5% 7.9% 27.5% 26.8% 30.0% -1.5% 0.6% 17.0M -342.5M -2.8M 0.41 13.83 N/A N/A 19,214 7,828 889,450 367,009 2023-12-08 $16.79 $17.00 27.5% 7.9% 29.7% 26.9% 28.0% -0.8% 0.8% 12.9M -247.1M -2.7M 0.43 2.17 N/A N/A 39,547 16,947 898,782 370,470 2023-12-11 $16.64 $17.00 27.9% 7.9% 29.7% 29.3% 28.8% -0.9% -0.6% 11.7M -221.0M -2.7M 0.24 17.99 N/A N/A 20,635 5,005 885,502 366,778 2023-12-12 $16.29 $17.00 27.3% 7.9% 31.0% 25.2% 28.8% -0.7% 0.0% 8.7M -152.7M -2.6M 0.24 1.97 N/A N/A 23,864 5,657 893,394 367,230 2023-12-13 $17.38 $17.00 27.8% 8.0% 36.0% 28.7% 29.2% -0.8% -0.0% 18.9M -382.4M -2.7M 0.21 8.70 N/A N/A 42,458 8,939 899,098 369,207 2023-12-14 $17.66 $17.00 28.0% 8.0% 35.8% 30.0% 28.9% -0.7% 0.3% 21.9M -451.3M -2.8M 0.29 2.27 N/A N/A 54,062 15,614 899,016 369,772 2023-12-15 $17.55 $17.00 28.1% 8.0% 35.9% 30.7% 29.4% -1.2% -0.2% 18.7M -410.3M -2.7M 0.42 8.46 N/A N/A 25,393 10,673 898,185 371,822 2023-12-18 $17.66 $17.00 27.8% 7.9% 35.5% 28.9% 28.7% -0.7% 0.3% 18.0M -386.0M -2.7M 0.35 6.97 N/A N/A 31,862 11,192 832,734 322,476 2023-12-19 $18.07 $17.00 28.5% 8.2% 36.1% 33.4% 29.4% -0.7% 0.3% 22.4M -491.8M -2.8M 0.30 21.22 N/A N/A 36,701 11,075 845,705 326,756 2023-12-20 $17.81 $17.00 28.7% 8.2% 36.1% 34.4% 28.9% -0.6% 0.6% 20.5M -427.6M -2.9M 0.67 3.67 N/A N/A 21,882 14,680 851,805 328,376 2023-12-21 $17.98 $17.00 29.0% 8.3% 36.1% 36.6% 30.3% -0.6% 0.6% 23.0M -461.3M -2.9M 0.22 2.63 N/A N/A 19,431 4,334 859,652 330,054 2023-12-22 $18.23 $17.00 28.6% 8.2% 36.2% 33.7% 29.8% -1.6% 0.3% 20.0M -538.6M -2.8M 0.31 3.03 N/A N/A 41,246 12,984 860,469 328,652 2023-12-26 $18.16 $17.00 29.5% 8.4% 35.7% 39.6% 31.0% -0.6% 0.2% 18.9M -466.2M -2.7M 2.11 7.05 N/A N/A 10,486 22,151 836,235 325,113 2023-12-27 $18.45 $17.00 28.7% 8.2% 31.3% 34.7% 29.8% -1.0% 0.8% 21.7M -526.6M -2.7M 0.24 6.91 N/A N/A 33,769 7,981 839,096 328,635 2023-12-28 $18.12 $17.00 28.4% 8.1% 32.0% 32.8% 29.1% -0.7% 0.8% 17.8M -455.5M -2.7M 0.19 11.13 N/A N/A 19,815 3,762 840,589 334,716 2023-12-29 $18.02 $17.00 28.0% 7.9% 31.9% 29.8% 28.8% -0.8% 0.7% 16.3M -434.6M -2.7M 0.31 15.31 N/A N/A 25,524 7,828 845,671 336,172
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