GOLD Options History — February 2007 In February 2007, GOLD traded between $11.32 and $12.34. ATM implied volatility averaged 32.6%. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 8.8% (HV 20d: 23.8%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.61.
Notable Days 2007-02-09 : Highest Volume — 7,616 contracts2007-02-27 : Largest IV spike — 27.6% change2007-02-27 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $11.71 $11.32 $12.34 $11.78 $11.45 Max Pain $11.25 $11.25 $11.25 $11.25 $11.25 ATM IV 32.6% 29.6% 38.2% 33.8% 37.2% Expected Move 9.5% 8.5% 10.9% 9.7% 10.7% HV 20d 23.8% 19.6% 38.0% 25.9% 37.4% Term Structure 2.8% -1.8% 4.9% 1.6% 0.1% VWIV 32.4% 29.7% 37.0% 32.1% 37.0% Skew 25d 3.9% 0.9% 6.6% 3.2% 4.3% Skew 10d 8.6% -3.1% 14.8% -3.1% 8.7% Call IV 25d 30.8% 27.6% 36.8% 30.6% 36.1% Put IV 25d 34.7% 31.4% 41.1% 33.8% 40.4% Bid-Ask Spread % 17.45 10.36 37.72 20.16 13.42 Gamma HHI 0.60 0.49 0.79 0.59 0.52 Net GEX 636.1K 485.5K 1.0M 554.8K 554.7K Net DEX -8.2M -13.7M -4.2M -9.0M -5.1M Net VEX -36.9K -41.1K -34.2K -35.2K -36.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.00 1.69 1.05 1.18 Total Volume 1,462.842 70 7,616 620 1,178 Total OI 31,443.053 27,450 38,056 27,450 32,532
Daily Data (19 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 2007-02-01 $11.78 $11.25 33.8% 9.7% 25.9% 0.0% 32.1% 3.2% 1.6% 554.8K -9.0M -35.2K 1.05 20.16 N/A N/A 302 318 20,724 6,726 2007-02-02 $11.66 $11.25 32.0% 10.1% 24.8% 0.0% 34.9% 6.6% 3.8% 563.2K -8.1M -35.3K 0.36 10.36 N/A N/A 470 170 20,956 6,992 2007-02-05 $11.65 $11.25 33.8% 10.0% 23.8% 0.0% 34.6% 4.9% 3.4% 584.6K -8.0M -34.3K 1.54 15.67 N/A N/A 696 1,070 21,264 6,894 2007-02-06 $11.68 $11.25 32.5% 9.9% 23.7% 0.0% 33.9% 4.5% 3.2% 568.8K -7.9M -35.3K 1.69 10.60 N/A N/A 622 1,050 21,516 7,742 2007-02-07 $11.65 $11.25 31.8% 9.4% 23.7% 0.0% 31.3% 3.1% 4.0% 580.3K -7.0M -35.2K 1.05 19.63 N/A N/A 974 1,026 21,704 8,440 2007-02-08 $11.80 $11.25 33.1% 9.5% 22.2% 0.0% 29.7% 6.0% 2.9% 607.7K -7.7M -37.3K 0.78 20.34 N/A N/A 728 566 22,544 9,370 2007-02-09 $11.68 $11.25 32.2% 9.2% 22.7% 0.0% 32.3% 2.5% 4.3% 576.4K -6.6M -36.5K 0.12 20.75 N/A N/A 6,822 794 22,392 9,780 2007-02-12 $11.52 $11.25 33.3% 9.6% 22.4% 0.0% 32.8% 4.0% 3.7% 1.0M -9.3M -41.1K 0.32 14.91 N/A N/A 206 66 28,208 9,848 2007-02-13 $11.63 $11.25 32.8% 9.4% 22.5% 0.0% 31.8% 3.5% 3.3% 746.1K -8.5M -39.4K 0.00 22.98 N/A N/A 70 0 25,438 9,868 2007-02-14 $11.63 $11.25 33.3% 9.5% 22.5% 0.0% 30.4% 4.9% 2.7% 601.1K -7.4M -37.1K 0.06 21.91 N/A N/A 312 20 24,106 9,868 2007-02-15 $11.74 $11.25 31.4% 9.0% 21.0% 0.0% 30.9% 3.3% 4.4% 607.9K -9.6M -37.6K 0.09 11.58 N/A N/A 272 24 24,184 9,302 2007-02-16 $11.62 $11.25 31.2% 9.0% 20.5% 0.0% 31.3% 2.5% 4.9% 590.9K -8.6M -36.8K 0.38 11.74 N/A N/A 634 242 24,364 9,256 2007-02-20 $11.48 $11.25 32.6% 9.3% 20.7% 0.0% 31.4% 5.0% 2.2% 514.8K -4.9M -34.2K 0.34 24.23 N/A N/A 268 92 21,720 7,576 2007-02-21 $11.90 $11.25 31.3% 9.0% 19.9% 0.0% 31.3% 0.9% 1.6% 662.3K -8.8M -36.9K 0.54 12.72 N/A N/A 1,544 840 21,688 7,598 2007-02-22 $11.91 $11.25 30.0% 8.6% 19.6% 0.0% 29.8% 3.2% 2.6% 697.3K -9.5M -38.2K 0.01 14.70 N/A N/A 846 10 22,656 7,838 2007-02-23 $12.11 $11.25 29.6% 8.5% 20.0% 0.0% 29.8% 4.2% 3.0% 757.6K -11.4M -39.2K 1.17 10.61 N/A N/A 682 798 22,970 7,848 2007-02-26 $12.34 $11.25 29.9% 8.6% 20.8% 0.0% 32.9% 4.4% 2.5% 818.8K -13.7M -39.4K 0.12 17.54 N/A N/A 798 96 23,240 8,374 2007-02-27 $11.32 $11.25 38.2% 10.9% 38.0% 0.0% 36.7% 4.3% -1.8% 485.5K -4.2M -34.8K 0.71 37.72 N/A N/A 1,860 1,328 23,486 8,406 2007-02-28 $11.45 $11.25 37.2% 10.7% 37.4% 0.0% 37.0% 4.3% 0.1% 554.7K -5.1M -36.7K 1.18 13.42 N/A N/A 540 638 24,148 8,384
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