GOLD Options History — September 2024 In September 2024, GOLD traded between $19.05 and $21.06. ATM implied volatility averaged 31.5%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 0.3% (HV 20d: 31.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.37.
Notable Days 2024-09-26 : Highest Volume — 79,137 contracts2024-09-25 : Largest IV spike — 22.5% change2024-09-30 : Highest IV Rank — 50.5%2024-09-30 : Largest Expected Move — 10.3%Monthly Statistics Metric Avg Min Max Open Close Price $20.08 $19.05 $21.06 $19.57 $19.81 Max Pain $19.90 $19.00 $20.00 $19.00 $20.00 ATM IV 31.5% 26.6% 35.0% 29.6% 35.0% Expected Move 9.2% 8.8% 10.3% 9.0% 10.3% HV 20d 31.8% 26.2% 40.4% 40.0% 32.3% HV 60d 34.8% 34.2% 37.5% 37.5% 34.9% IV Rank 36.4% 4.1% 50.5% 30.5% 50.5% IV Percentile 62.2% 0.4% 92.1% 47.2% 92.1% Term Structure 0.5% -1.4% 3.2% 1.0% 2.4% VWIV 32.8% 31.4% 36.4% 31.8% 36.4% Skew 25d 0.5% -1.9% 10.4% 0.1% 1.1% Skew 10d 0.4% -21.7% 20.1% 0.5% 20.1% Call IV 25d 32.4% 30.9% 35.2% 30.9% 35.2% Put IV 25d 32.9% 30.8% 42.9% 31.0% 36.4% Bid-Ask Spread % 36.01 19.45 50.47 32.53 27.12 Gamma HHI 0.31 0.17 0.50 0.37 0.19 Net GEX 21.6M 13.0M 33.0M 21.0M 13.0M Net DEX -670.9M -909.0M -468.3M -598.9M -490.2M Net VEX -4.2M -4.4M -4.1M -4.3M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.15 0.74 0.74 0.52 Total Volume 40,382.25 12,852 79,137 26,724 34,624 Total OI 1,344,118.7 1,198,414 1,447,997 1,357,337 1,236,348
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 2024-09-03 $19.57 $19.00 29.6% 9.0% 40.0% 30.5% 31.8% 0.1% 1.0% 21.0M -598.9M -4.3M 0.74 32.53 N/A N/A 15,385 11,339 876,548 480,789 2024-09-04 $19.30 $19.00 29.9% 9.0% 40.4% 31.7% 32.1% -1.9% -0.3% 19.0M -527.9M -4.3M 0.65 32.21 N/A N/A 16,240 10,626 879,780 487,169 2024-09-05 $19.49 $20.00 31.2% 9.0% 38.1% 37.9% 31.5% -0.6% 3.2% 20.9M -566.5M -4.4M 0.25 43.78 N/A N/A 18,764 4,659 882,738 489,283 2024-09-06 $19.05 $20.00 32.2% 9.3% 39.2% 43.2% 32.8% 1.0% -0.8% 13.4M -468.3M -4.3M 0.52 43.39 N/A N/A 21,516 11,084 885,941 491,412 2024-09-09 $19.27 $20.00 32.2% 9.3% 39.3% 43.0% 32.7% 10.4% 0.5% 20.0M -532.8M -4.3M 0.32 39.59 N/A N/A 16,784 5,412 874,990 486,691 2024-09-10 $19.56 $20.00 31.7% 9.1% 26.5% 40.5% 32.3% 0.7% 0.2% 22.9M -592.6M -4.3M 0.45 45.81 N/A N/A 12,633 5,655 881,303 489,085 2024-09-11 $19.70 $20.00 30.9% 8.8% 26.2% 36.5% 31.6% 1.0% -0.1% 24.9M -614.5M -4.3M 0.31 50.47 N/A N/A 9,838 3,014 883,719 493,881 2024-09-12 $20.70 $20.00 30.8% 8.8% 31.2% 36.2% 31.4% -0.1% -0.2% 28.0M -877.2M -4.2M 0.52 42.05 N/A N/A 45,014 23,215 884,517 495,278 2024-09-13 $20.84 $20.00 31.0% 9.0% 31.2% 37.2% 32.7% -0.0% 0.8% 27.2M -909.0M -4.2M 0.26 45.92 N/A N/A 55,997 14,288 896,152 511,301 2024-09-16 $20.55 $20.00 31.7% 9.1% 30.1% 40.8% 32.3% -0.2% -0.1% 28.0M -833.3M -4.2M 0.34 23.02 N/A N/A 18,593 6,291 895,919 504,930 2024-09-17 $20.45 $20.00 32.0% 9.2% 28.9% 42.0% 33.2% 0.1% -0.2% 27.9M -801.2M -4.2M 0.25 40.69 N/A N/A 17,499 4,309 900,236 506,677 2024-09-18 $20.18 $20.00 32.3% 9.2% 29.0% 41.4% 33.4% -0.5% -1.3% 29.4M -726.8M -4.2M 0.35 42.19 N/A N/A 42,328 14,622 901,191 508,493 2024-09-19 $20.12 $20.00 30.9% 8.9% 28.7% 31.1% 31.4% -0.7% -0.1% 33.0M -714.9M -4.1M 0.24 36.61 N/A N/A 40,296 9,838 910,356 515,727 2024-09-20 $20.31 $20.00 31.0% 8.9% 28.1% 30.1% 31.5% -0.1% -1.4% 19.2M -803.6M -4.1M 0.15 40.57 N/A N/A 45,302 6,974 926,228 521,769 2024-09-23 $20.11 $20.00 30.3% 8.8% 28.0% 24.7% 31.5% -0.8% 0.9% 14.8M -588.8M -4.1M 0.33 19.45 N/A N/A 28,520 9,394 755,365 443,049 2024-09-24 $20.57 $20.00 26.6% 9.1% 29.2% 4.1% 32.4% 0.8% 0.9% 16.3M -673.4M -4.1M 0.30 29.30 N/A N/A 49,998 15,155 766,343 448,322 2024-09-25 $20.69 $20.00 32.6% 9.7% 29.3% 37.3% 34.1% -0.1% 1.4% 17.9M -710.9M -4.1M 0.26 34.93 N/A N/A 33,475 8,821 787,128 458,509 2024-09-26 $21.06 $20.00 33.9% 10.0% 28.7% 44.5% 35.9% -0.5% 2.1% 20.1M -795.7M -4.1M 0.42 20.78 N/A N/A 55,913 23,224 801,977 463,234 2024-09-27 $20.27 $20.00 34.0% 10.0% 31.5% 45.3% 35.6% -0.2% 1.1% 14.9M -591.5M -4.1M 0.25 29.84 N/A N/A 32,710 8,296 791,428 468,568 2024-09-30 $19.81 $20.00 35.0% 10.3% 32.3% 50.5% 36.4% 1.1% 2.4% 13.0M -490.2M -4.1M 0.52 27.12 N/A N/A 22,779 11,845 775,154 461,194
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