GOLD Options History — April 2007

In April 2007, GOLD traded between $11.97 and $13.12. ATM implied volatility averaged 33.0%. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.9% (HV 20d: 24.1%). 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 7 of 20 days. Put/call ratio averaged 0.37.

Notable Days

  • 2007-04-03: Highest Volume — 6,458 contracts
  • 2007-04-12: Largest IV spike — 19.0% change
  • 2007-04-19: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.57$11.97$13.12$12.30$11.97
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV33.0%28.5%35.9%30.3%33.8%
Expected Move9.7%8.2%10.3%8.7%9.7%
HV 20d24.1%20.4%29.2%29.2%26.8%
HV 60d31.6%31.2%32.2%31.8%31.9%
Term Structure0.4%-1.9%5.3%4.0%-1.7%
VWIV34.0%24.7%38.4%30.2%33.8%
Skew 25d5.4%1.1%10.4%4.1%3.7%
Skew 10d6.4%-2.1%17.1%6.3%-0.2%
Call IV 25d30.3%24.8%35.6%27.9%32.6%
Put IV 25d35.8%32.0%37.6%32.0%36.3%
Bid-Ask Spread %17.257.9426.3824.0414.43
Gamma HHI0.770.460.920.460.85
Net GEX588.6K425.8K810.5K478.1K763.7K
Net DEX-20.6M-29.1M-10.7M-17.5M-11.3M
Net VEX-50.7K-53.6K-47.4K-50.5K-50.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.022.680.090.28
Total Volume1,490.31666,458480166
Total OI34,281.330,32639,86430,83233,468

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$12.30$11.2530.3%8.7%29.2%0.0%30.2%4.1%4.0%478.1K-17.5M-50.5K0.0924.04N/AN/A4404023,4827,350
2007-04-03$12.54$11.2529.7%8.5%25.0%0.0%34.9%6.9%4.3%425.8K-19.3M-48.4K0.039.18N/AN/A6,26819023,5067,370
2007-04-04$12.83$11.2530.6%8.8%25.7%0.0%28.6%8.9%3.2%466.9K-23.5M-51.0K0.777.94N/AN/A47436626,3747,440
2007-04-05$12.65$11.2528.5%8.2%26.2%0.0%24.7%7.6%5.3%491.6K-22.1M-52.0K0.3510.08N/AN/A46216426,3587,626
2007-04-09$12.65$11.2530.6%10.0%25.9%0.0%35.0%2.5%-0.2%480.2K-22.5M-50.0K0.1422.03N/AN/A1462026,4267,656
2007-04-10$12.71$11.2530.1%9.9%25.5%0.0%34.7%1.2%0.3%470.0K-22.7M-48.7K0.6814.74N/AN/A15010226,4087,656
2007-04-11$12.63$11.2529.2%10.1%20.5%0.0%35.4%2.5%-0.2%465.4K-22.3M-48.9K0.0520.89N/AN/A4,29820026,4987,666
2007-04-12$12.66$11.2534.7%9.9%20.5%0.0%35.1%1.6%-0.0%546.6K-24.2M-51.8K0.1120.07N/AN/A3924228,5247,852
2007-04-13$12.96$11.2534.6%9.9%20.4%0.0%34.6%3.5%0.7%483.2K-26.6M-48.9K0.0626.19N/AN/A2,46615028,4347,876
2007-04-16$13.12$11.2535.9%10.3%20.4%0.0%35.9%5.2%-0.8%482.5K-29.1M-47.4K0.1526.38N/AN/A5848829,5507,968
2007-04-17$12.86$11.2535.7%10.2%22.4%0.0%35.6%1.3%-0.4%543.1K-26.6M-49.8K0.6124.44N/AN/A28417429,6387,950
2007-04-18$12.85$11.2535.3%10.1%22.5%0.0%35.3%1.1%-0.4%550.8K-26.9M-49.3K0.0226.37N/AN/A3,9008029,7088,008
2007-04-19$12.50$11.2535.9%10.3%23.4%0.0%38.4%8.8%-1.0%688.6K-24.4M-52.8K0.2912.40N/AN/A3109031,4888,052
2007-04-20$12.65$11.2534.1%9.8%23.3%0.0%34.1%9.5%0.2%714.2K-26.7M-52.0K0.0514.94N/AN/A1,6288431,7928,072
2007-04-23$12.57$11.2535.4%10.2%23.6%0.0%36.0%10.4%-1.8%723.2K-15.5M-52.4K2.6815.11N/AN/A14839623,6286,698
2007-04-24$12.36$11.2535.0%10.0%24.4%0.0%34.8%8.3%-1.9%723.7K-13.3M-52.5K0.1112.32N/AN/A1,31414223,6766,976
2007-04-25$12.42$11.2533.7%9.7%23.9%0.0%34.2%8.2%-0.9%810.5K-14.7M-53.6K0.5315.08N/AN/A43222824,6067,106
2007-04-26$12.06$11.2534.0%9.8%26.3%0.0%35.3%6.1%-0.8%704.8K-10.7M-51.8K0.2414.67N/AN/A73617823,9487,316
2007-04-27$12.15$11.2532.8%9.4%26.3%0.0%32.8%7.5%-0.9%759.3K-11.3M-51.9K0.0713.78N/AN/A2,30217224,1807,296
2007-04-30$11.97$11.2533.8%9.7%26.8%0.0%33.8%3.7%-1.7%763.7K-11.3M-50.8K0.2814.43N/AN/A1303626,0567,412