GOLD Options History — May 2007

In May 2007, GOLD traded between $11.29 and $12.43. ATM implied volatility averaged 31.5%. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.2% (HV 20d: 25.3%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2007-05-22: Highest Volume — 6,998 contracts
  • 2007-05-21: Largest IV drop — 14.5% change
  • 2007-05-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.96$11.29$12.43$12.01$11.72
Max Pain$10.17$10.00$11.25$11.25$10.00
ATM IV31.5%27.0%34.0%34.0%32.2%
Expected Move9.0%7.8%9.7%9.7%9.2%
HV 20d25.3%23.0%29.5%24.6%29.5%
HV 60d31.1%26.5%32.9%31.8%26.5%
Term Structure1.8%-2.7%4.2%-1.1%0.0%
VWIV31.6%27.2%35.3%35.3%32.2%
Skew 25d2.0%-8.0%8.8%5.1%0.1%
Skew 10d2.2%-13.5%17.2%1.0%-5.3%
Call IV 25d29.8%24.0%34.1%32.7%32.8%
Put IV 25d31.8%24.9%37.8%37.8%32.9%
Bid-Ask Spread %12.928.4321.3314.4512.48
Gamma HHI0.860.710.930.860.85
Net GEX794.8K398.0K1.2M773.9K651.1K
Net DEX-11.6M-18.1M-6.4M-11.5M-9.6M
Net VEX-46.2K-51.8K-38.2K-50.1K-46.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.022.832.830.42
Total Volume1,1602406,998506244
Total OI35,806.27327,98237,91433,53836,700

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$12.01$11.2534.0%9.7%24.6%0.0%35.3%5.1%-1.1%773.9K-11.5M-50.1K2.8314.45N/AN/A13237426,1107,428
2007-05-02$12.23$11.2533.9%9.7%24.5%0.0%33.9%5.7%-2.7%864.5K-14.1M-51.6K0.1116.36N/AN/A1,21013426,1467,738
2007-05-03$12.43$11.2533.5%9.6%23.7%0.0%33.5%6.9%-1.7%933.6K-17.6M-51.8K0.0921.33N/AN/A4404027,3107,714
2007-05-04$12.43$10.0032.1%9.1%23.3%0.0%31.5%0.7%3.0%980.0K-17.6M-51.2K1.0612.07N/AN/A34236427,4167,734
2007-05-07$12.42$10.0033.8%9.1%23.3%0.0%31.8%-0.4%2.6%1.0M-17.4M-49.7K0.1311.48N/AN/A1,53420227,4867,882
2007-05-08$12.43$10.0030.2%8.7%23.2%0.0%30.4%7.2%4.0%1.2M-18.1M-50.7K1.2412.22N/AN/A40049428,7407,948
2007-05-09$12.41$10.0030.1%8.9%23.1%0.0%31.4%8.8%2.6%1.2M-17.9M-50.5K0.0711.69N/AN/A3802828,7048,218
2007-05-10$11.98$10.0030.8%8.8%26.1%0.0%31.8%5.0%3.4%972.9K-11.2M-47.4K0.849.68N/AN/A49841628,6068,210
2007-05-11$12.12$10.0030.7%8.8%24.8%0.0%30.4%5.0%3.6%1.1M-12.6M-47.2K0.0410.59N/AN/A2301028,6668,412
2007-05-14$11.89$10.0031.5%9.0%24.7%0.0%31.6%4.2%3.2%896.3K-9.9M-43.7K0.509.86N/AN/A45422828,6708,422
2007-05-15$11.96$10.0031.1%8.9%24.3%0.0%31.1%5.2%3.6%720.0K-9.6M-41.7K0.2610.56N/AN/A83821428,8928,420
2007-05-16$11.96$10.0033.4%9.6%24.3%0.0%33.3%3.4%1.7%978.2K-10.9M-43.4K0.448.43N/AN/A2109229,3608,498
2007-05-17$11.79$10.0032.3%9.3%23.0%0.0%32.5%-0.6%3.6%398.0K-8.2M-39.4K0.5010.25N/AN/A31215629,3388,426
2007-05-18$11.97$10.0031.6%9.1%23.3%0.0%31.3%3.4%4.2%943.4K-10.4M-41.3K0.2111.73N/AN/A53411029,5348,380
2007-05-21$12.08$10.0027.0%7.8%23.6%0.0%27.2%3.7%2.3%525.1K-10.1M-38.2K0.0210.93N/AN/A3,5308820,1827,800
2007-05-22$11.71$10.0029.2%8.4%25.2%0.0%29.0%-2.0%1.5%495.0K-8.3M-41.1K0.0810.88N/AN/A6,48251623,3807,828
2007-05-23$11.82$10.0030.4%8.7%25.4%0.0%28.5%3.1%0.9%722.4K-10.9M-51.2K1.3617.39N/AN/A15020428,6607,996
2007-05-24$11.29$10.0030.8%8.8%28.3%0.0%33.0%-8.0%1.1%473.4K-6.4M-44.6K0.2213.35N/AN/A2,18847428,7488,142
2007-05-25$11.54$10.0030.6%8.8%29.5%0.0%30.7%-2.3%1.2%563.9K-8.5M-47.4K0.2916.32N/AN/A39611628,3788,390
2007-05-29$11.46$10.0032.3%9.3%29.2%0.0%34.4%-6.4%-0.4%507.1K-7.0M-43.8K0.1312.37N/AN/A3164228,1008,426
2007-05-30$11.46$10.0030.1%8.6%29.2%0.0%31.0%-3.2%2.1%486.7K-6.9M-42.6K0.1219.71N/AN/A3564228,1328,468
2007-05-31$11.72$10.0032.2%9.2%29.5%0.0%32.2%0.1%0.0%651.1K-9.6M-46.9K0.4212.48N/AN/A1727228,1928,508