GOLD Options History — March 2007

In March 2007, GOLD traded between $10.79 and $12.06. ATM implied volatility averaged 35.5%. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 6.1% (HV 20d: 41.6%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.29.

Notable Days

  • 2007-03-01: Highest Volume — 12,234 contracts
  • 2007-03-05: Largest IV spike — 12.9% change
  • 2007-03-02: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.58$10.79$12.06$11.24$11.96
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV35.5%30.1%45.1%38.5%30.4%
Expected Move10.1%8.6%11.4%11.0%8.7%
HV 20d41.6%28.5%46.6%37.8%28.5%
HV 60d33.2%31.7%34.4%33.8%31.7%
Term Structure2.3%-1.4%4.9%-1.0%4.1%
VWIV34.9%30.3%40.8%38.7%30.3%
Skew 25d3.6%0.5%6.2%3.4%2.0%
Skew 10d6.1%-4.6%18.3%5.7%-0.1%
Call IV 25d33.6%27.3%42.2%38.7%29.5%
Put IV 25d37.2%31.5%43.0%42.1%31.5%
Bid-Ask Spread %15.8010.1127.9927.9916.50
Gamma HHI0.570.480.900.480.49
Net GEX566.8K438.6K728.1K470.0K549.1K
Net DEX-10.3M-15.9M-2.6M-3.4M-14.8M
Net VEX-49.5K-60.0K-35.3K-35.3K-53.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.0012.210.132.33
Total Volume1,942.2735812,23412,234100
Total OI35,799.81829,84247,67433,13230,836

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$11.24$11.2538.5%11.0%37.8%0.0%38.7%3.4%-1.0%470.0K-3.4M-35.3K0.1327.99N/AN/A10,8661,36824,3868,746
2007-03-02$10.89$11.2539.9%11.4%39.1%0.0%40.0%0.5%-1.4%471.9K-3.3M-42.2K0.7315.84N/AN/A86263228,9069,558
2007-03-05$10.79$11.2545.1%11.4%39.1%0.0%40.8%3.3%1.3%438.6K-2.6M-41.2K1.1019.41N/AN/A39643429,0229,782
2007-03-06$11.34$11.2540.9%11.3%43.4%0.0%39.1%5.1%0.9%634.9K-7.1M-44.7K0.5520.34N/AN/A58832229,2029,800
2007-03-07$11.34$11.2538.8%11.1%43.4%0.0%0.0%3.6%0.6%640.7K-7.0M-43.9K0.0712.30N/AN/A5604029,6049,920
2007-03-08$11.54$11.2538.4%11.0%44.0%0.0%37.7%6.2%1.2%728.1K-9.2M-45.3K0.1611.45N/AN/A1,14817830,0789,920
2007-03-09$11.46$11.2537.3%10.7%43.7%0.0%37.4%4.5%1.6%691.1K-8.4M-46.3K0.6412.67N/AN/A31220030,89410,082
2007-03-12$11.64$11.2539.8%11.0%44.0%0.0%38.3%5.8%1.1%713.8K-9.8M-43.3K0.0213.84N/AN/A318630,79410,128
2007-03-13$11.21$11.2539.8%11.0%45.8%0.0%38.3%2.2%2.1%610.0K-5.4M-41.8K0.9712.06N/AN/A38637430,89210,128
2007-03-14$11.22$11.2538.3%11.1%45.6%0.0%38.1%4.2%1.4%673.7K-6.4M-42.0K0.5312.72N/AN/A62433030,9849,378
2007-03-15$11.50$11.2535.7%10.2%46.6%0.0%35.6%1.9%2.2%635.2K-11.1M-41.4K0.3517.27N/AN/A6,8102,38031,3949,310
2007-03-16$11.51$11.2535.5%10.2%46.4%0.0%35.5%2.3%1.1%622.5K-15.9M-49.1K0.0417.95N/AN/A6,28228037,05610,618
2007-03-19$11.62$11.2533.3%9.5%46.4%0.0%32.0%2.7%3.3%484.8K-10.7M-58.9K0.2920.15N/AN/A64018422,0087,834
2007-03-20$11.65$11.2533.1%9.5%46.2%0.0%33.0%2.7%3.2%502.4K-11.3M-60.0K0.5122.11N/AN/A39820222,5727,910
2007-03-21$11.99$11.2530.1%8.6%45.6%0.0%30.3%4.8%4.5%489.8K-14.2M-59.5K0.7710.11N/AN/A24418822,8967,994
2007-03-22$11.90$11.2530.8%8.8%45.6%0.0%32.3%4.2%3.8%501.8K-13.4M-60.0K0.0413.80N/AN/A4861822,9788,134
2007-03-23$11.95$11.2530.8%8.8%45.3%0.0%30.9%5.2%3.6%502.8K-13.7M-59.8K12.2113.86N/AN/A2563,12623,1928,134
2007-03-26$12.06$11.2531.6%9.1%44.8%0.0%31.6%5.1%4.1%504.4K-15.2M-55.3K0.0413.72N/AN/A4482023,1987,268
2007-03-27$11.92$11.2531.8%9.1%32.1%0.0%32.1%3.8%3.2%530.8K-14.2M-55.7K4.3513.01N/AN/A3414823,3667,288
2007-03-28$11.95$11.2530.9%8.9%31.9%0.0%30.5%2.7%4.9%542.5K-14.2M-55.1K0.0015.22N/AN/A58023,3547,326
2007-03-29$12.04$11.2530.3%8.7%31.0%0.0%31.5%3.2%4.1%530.4K-15.2M-54.0K2.5615.28N/AN/A13634823,4007,326
2007-03-30$11.96$11.2530.4%8.7%28.5%0.0%30.3%2.0%4.1%549.1K-14.8M-53.9K2.3316.50N/AN/A307023,4727,364