GOLD Options History — January 2007

In January 2007, GOLD traded between $10.52 and $11.76. ATM implied volatility averaged 37.7%. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 10.2% (HV 20d: 27.5%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2007-01-22: Highest Volume — 4,484 contracts
  • 2007-01-10: Largest IV spike — 7.2% change
  • 2007-01-10: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.08$10.52$11.76$11.19$11.76
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV37.7%33.8%41.9%38.1%35.1%
Expected Move11.0%9.7%12.4%10.9%10.1%
HV 20d27.5%26.6%28.6%28.6%26.6%
Term Structure0.7%-1.0%3.6%3.6%0.4%
VWIV38.6%33.5%45.3%39.5%35.1%
Skew 25d2.6%-4.7%9.8%1.7%0.5%
Skew 10d5.6%-9.4%14.8%2.8%-5.4%
Call IV 25d37.3%31.9%42.5%38.7%33.8%
Put IV 25d39.9%29.3%45.9%40.5%34.2%
Bid-Ask Spread %19.3212.6431.4931.4916.75
Gamma HHI0.520.440.810.470.59
Net GEX426.1K228.0K580.9K428.1K539.8K
Net DEX-4.7M-8.7M-2.0M-6.3M-8.7M
Net VEX-33.8K-39.3K-27.9K-39.3K-35.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.072.590.350.11
Total Volume817.11924,484782298
Total OI26,436.122,35227,69624,70027,378

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$11.19$11.2538.1%10.9%0.0%0.0%39.5%1.7%3.6%428.1K-6.3M-39.3K0.3531.49N/AN/A58020219,9604,740
2007-01-04$10.95$11.2538.5%11.0%0.0%0.0%34.6%9.8%2.7%402.7K-4.9M-36.1K1.6619.07N/AN/A47278220,1524,842
2007-01-05$10.78$11.2537.1%12.1%0.0%0.0%44.9%4.2%-0.6%365.9K-3.4M-34.3K0.3418.03N/AN/A86429820,3865,456
2007-01-08$10.74$11.2538.6%12.3%0.0%0.0%43.8%3.3%-0.7%367.5K-3.3M-34.0K0.6617.54N/AN/A45830020,6305,704
2007-01-09$10.72$11.2538.2%12.1%0.0%0.0%45.3%4.7%0.3%359.4K-3.1M-33.7K0.0719.01N/AN/A4002620,8725,808
2007-01-10$10.52$11.2540.9%12.4%0.0%0.0%42.6%2.7%0.6%317.6K-2.0M-29.8K0.2021.50N/AN/A1603221,0985,792
2007-01-11$10.65$11.2541.9%12.0%0.0%0.0%43.3%5.1%0.0%359.9K-2.6M-31.5K0.3720.82N/AN/A48618021,1705,820
2007-01-12$10.91$11.2540.0%11.5%0.0%0.0%40.0%2.1%0.6%456.0K-4.4M-35.0K0.0720.21N/AN/A4123021,3445,830
2007-01-16$10.91$11.2541.4%11.9%0.0%0.0%41.9%3.4%-1.0%500.9K-3.8M-31.4K0.1824.18N/AN/A4488221,4305,820
2007-01-17$10.97$11.2539.4%11.3%0.0%0.0%39.7%3.4%0.9%580.9K-4.1M-30.9K2.5914.45N/AN/A7820221,4505,808
2007-01-18$10.76$11.2540.7%11.7%0.0%0.0%40.7%1.5%-0.4%291.6K-2.2M-28.4K1.4417.29N/AN/A20629621,4545,958
2007-01-19$11.01$11.2539.4%11.3%0.0%0.0%39.4%4.5%-0.1%473.0K-3.1M-30.3K0.2017.56N/AN/A4048221,5146,182
2007-01-22$10.91$11.2536.6%10.5%0.0%0.0%36.6%2.9%0.6%228.0K-2.1M-27.9K0.1322.86N/AN/A3,96452016,6925,660
2007-01-23$11.35$11.2535.1%10.1%0.0%0.0%35.1%3.0%1.6%426.1K-5.7M-35.0K0.3025.01N/AN/A1,23237019,4746,050
2007-01-24$11.48$11.2533.8%9.7%0.0%0.0%33.5%2.4%2.3%477.0K-7.0M-36.8K0.4915.98N/AN/A59429220,0466,236
2007-01-25$11.41$11.2534.4%9.9%28.6%0.0%33.7%3.2%1.6%457.2K-6.4M-37.0K0.3516.63N/AN/A47416620,1606,498
2007-01-26$11.51$11.2533.8%9.7%27.8%0.0%33.5%-2.9%1.7%484.2K-6.9M-36.9K0.1516.89N/AN/A4026020,2786,614
2007-01-29$11.42$11.2535.4%10.2%27.2%0.0%35.4%-4.7%0.6%482.1K-6.4M-34.9K1.2212.64N/AN/A10212420,5226,662
2007-01-30$11.65$11.2534.8%10.0%27.3%0.0%33.6%0.0%0.3%524.9K-8.0M-36.2K0.3118.53N/AN/A2026220,5466,686
2007-01-31$11.76$11.2535.1%10.1%26.6%0.0%35.1%0.5%0.4%539.8K-8.7M-35.7K0.1116.75N/AN/A2683020,6686,710