GOLD Options History — June 2007

In June 2007, GOLD traded between $10.71 and $12.13. ATM implied volatility averaged 30.8%. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.5% (HV 20d: 31.3%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-06-18: Highest Volume — 6,352 contracts
  • 2007-06-07: Largest IV spike — 11.2% change
  • 2007-06-13: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.31$10.71$12.13$12.01$11.10
Max Pain$11.19$10.00$11.25$10.00$11.25
ATM IV30.8%27.9%35.0%27.9%30.2%
Expected Move8.9%8.0%9.7%8.0%8.7%
HV 20d31.3%27.5%35.0%30.4%27.6%
HV 60d27.2%26.7%27.8%26.9%26.9%
Term Structure2.9%1.7%4.7%1.7%3.8%
VWIV31.6%28.7%35.2%29.9%30.2%
Skew 25d4.5%1.2%8.4%3.3%7.8%
Skew 10d9.4%0.8%17.6%0.8%13.4%
Call IV 25d28.7%24.3%34.1%28.1%25.0%
Put IV 25d33.3%30.2%36.2%31.4%32.8%
Bid-Ask Spread %18.3913.4630.2216.3715.12
Gamma HHI0.750.630.920.900.70
Net GEX344.3K138.3K936.8K813.3K221.4K
Net DEX-4.8M-14.1M842.3K-12.2M-1.5M
Net VEX-38.8K-49.3K-32.7K-48.3K-38.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.280.270.95
Total Volume1,152.9521586,3525322,140
Total OI34,19822,86039,53636,70832,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$12.01$10.0027.9%8.0%30.4%0.0%29.9%3.3%1.7%813.3K-12.2M-48.3K0.2716.37N/AN/A41811428,2208,488
2007-06-04$12.09$11.2529.8%8.8%30.5%0.0%33.3%7.7%2.0%897.3K-13.1M-47.0K0.8221.25N/AN/A1,3101,07828,2488,520
2007-06-05$12.13$11.2531.3%8.8%30.6%0.0%30.9%8.4%2.1%936.8K-14.1M-49.3K0.0320.30N/AN/A3441029,2009,550
2007-06-06$11.81$11.2529.9%9.4%31.9%0.0%31.0%5.7%2.1%677.2K-9.7M-45.5K0.0219.92N/AN/A4901029,34010,060
2007-06-07$11.30$11.2533.3%9.4%35.0%0.0%32.7%2.5%2.4%321.1K-5.3M-38.8K0.3615.76N/AN/A84430429,1029,560
2007-06-08$11.25$11.2531.9%9.5%33.1%0.0%34.4%4.4%2.1%256.7K-4.7M-38.6K0.5414.17N/AN/A86646429,1789,774
2007-06-11$11.31$11.2535.0%9.7%32.8%0.0%33.6%2.1%1.8%245.3K-5.7M-37.6K0.3114.40N/AN/A78023829,4869,658
2007-06-12$11.07$11.2532.9%9.7%33.0%0.0%34.2%1.2%2.5%170.3K-3.7M-35.5K0.0916.53N/AN/A4123829,7249,812
2007-06-13$11.17$11.2531.5%9.7%33.2%0.0%35.2%2.1%2.6%184.1K-4.6M-36.3K1.0817.23N/AN/A768229,5709,618
2007-06-14$11.30$11.2533.0%9.5%33.6%0.0%34.2%5.1%2.6%210.7K-5.5M-35.8K0.2917.26N/AN/A3149029,6249,578
2007-06-15$11.39$11.2532.3%9.3%33.5%0.0%32.1%4.1%2.5%216.9K-6.7M-35.4K0.4619.56N/AN/A1,06449429,6349,644
2007-06-18$11.35$11.2530.6%8.8%32.9%0.0%30.8%2.8%3.0%204.0K-2.2M-33.7K0.0225.24N/AN/A6,20414815,6867,174
2007-06-19$11.37$11.2529.6%8.5%32.7%0.0%28.8%5.2%3.6%352.3K-3.6M-41.3K0.6030.22N/AN/A21012621,2767,262
2007-06-20$11.11$11.2530.5%8.7%31.9%0.0%30.5%4.5%2.9%288.3K-2.4M-39.1K0.4315.47N/AN/A1345821,3307,264
2007-06-21$11.18$11.2528.7%8.2%31.8%0.0%28.7%4.2%3.8%287.6K-2.4M-38.0K2.2813.46N/AN/A29066221,3907,294
2007-06-22$11.14$11.2528.1%8.1%27.5%0.0%28.8%1.5%4.7%253.5K-2.0M-38.1K0.0019.74N/AN/A174021,4767,578
2007-06-25$10.78$11.2530.4%8.7%28.4%0.0%30.5%5.8%2.8%163.0K1.7K-32.7K1.1813.75N/AN/A1,1521,35821,4907,578
2007-06-26$10.71$11.2530.2%8.7%28.4%0.0%32.0%4.6%4.1%138.3K842.3K-33.0K0.8216.35N/AN/A27422422,3948,586
2007-06-27$10.98$11.2529.9%8.6%30.2%0.0%0.0%5.1%4.4%196.4K-751.4K-36.1K0.5722.80N/AN/A21012022,4948,670
2007-06-28$10.96$11.2530.0%8.6%28.8%0.0%30.2%7.0%3.1%195.0K-927.3K-36.4K0.1121.26N/AN/A8008822,6828,790
2007-06-29$11.10$11.2530.2%8.7%27.6%0.0%30.2%7.8%3.8%221.4K-1.5M-38.2K0.9515.12N/AN/A1,0981,04223,3608,796