GOLD Options History — July 2007

In July 2007, GOLD traded between $11.04 and $12.12. ATM implied volatility averaged 34.5%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 11.0% (HV 20d: 23.5%). Max pain ranged from $11.25 to $11.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2007-07-16: Highest Volume — 14,338 contracts
  • 2007-07-12: Largest IV spike — 10.9% change
  • 2007-07-30: Highest IV Rank — 73.9%
  • 2007-07-30: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.58$11.04$12.12$11.14$11.45
Max Pain$11.25$11.25$11.25$11.25$11.25
ATM IV34.5%30.4%40.4%30.4%39.5%
Expected Move10.0%8.7%11.6%8.7%11.3%
HV 20d23.5%19.2%27.5%27.5%24.0%
HV 60d27.0%26.3%27.5%26.9%27.2%
IV Rank43.8%21.3%73.9%23.9%69.2%
IV Percentile67.3%31.5%95.8%35.7%92.4%
Term Structure-0.2%-2.0%3.8%3.8%-2.0%
VWIV35.0%28.2%40.7%30.4%39.8%
Skew 25d2.3%-9.1%7.8%-0.5%0.6%
Skew 10d5.4%-12.8%14.6%-0.1%5.6%
Call IV 25d32.5%24.5%41.7%24.5%40.7%
Put IV 25d34.8%23.1%41.7%24.0%41.3%
Bid-Ask Spread %14.817.8823.427.8814.86
Gamma HHI0.780.650.920.710.78
Net GEX466.9K197.0K1.0M242.9K456.4K
Net DEX-7.3M-14.2M-1.2M-2.2M-6.6M
Net VEX-42.2K-48.2K-35.5K-40.6K-43.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.004.443.911.17
Total Volume1,312.095414,3383141,010
Total OI35,037.33329,82442,98034,09832,248

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$11.14$11.2530.4%8.7%27.5%0.0%30.4%-0.5%3.8%242.9K-2.2M-40.6K3.917.88N/AN/A6425024,2629,836
2007-07-03$11.04$11.2530.7%8.8%27.4%0.0%30.7%-1.8%3.3%198.8K-1.3M-39.6K0.008.59N/AN/A4024,30010,006
2007-07-05$11.06$11.2531.4%9.0%26.2%23.9%31.3%-1.0%1.6%197.0K-1.2M-37.3K2.109.25N/AN/A9620224,3009,954
2007-07-06$11.35$11.2530.9%9.6%23.5%21.3%34.0%3.5%-0.4%306.2K-3.6M-40.6K0.1516.46N/AN/A68810224,35810,108
2007-07-09$11.44$11.2532.6%9.8%23.5%30.5%36.1%3.5%-0.3%344.5K-4.7M-40.1K0.2814.47N/AN/A3209024,61210,108
2007-07-10$11.55$11.2532.2%9.8%23.7%28.7%33.7%3.1%-0.8%405.3K-5.9M-40.2K0.2717.93N/AN/A82422024,72410,120
2007-07-11$11.51$11.2531.5%10.0%22.3%24.9%40.0%2.3%-0.3%324.5K-5.3M-38.7K0.1715.80N/AN/A1322224,77410,320
2007-07-12$11.78$11.2535.0%10.0%23.4%44.0%32.4%5.0%-0.3%556.5K-8.0M-40.1K2.8520.75N/AN/A27277624,81810,322
2007-07-13$11.65$11.2534.5%9.9%23.5%41.5%28.2%3.4%-0.3%432.8K-6.8M-38.2K0.1423.42N/AN/A5287424,90610,384
2007-07-16$11.60$11.2534.9%10.0%23.5%43.4%35.0%4.5%-0.9%329.7K-6.0M-35.5K0.0117.85N/AN/A14,2429625,08010,428
2007-07-17$11.71$11.2535.3%10.1%23.7%45.8%0.0%4.0%-0.8%467.4K-10.9M-46.9K2.0021.89N/AN/A102032,26810,424
2007-07-18$11.96$11.2533.8%9.7%24.6%37.6%33.8%4.7%-0.4%650.9K-13.1M-47.1K0.6210.09N/AN/A61038032,27210,380
2007-07-19$12.05$11.2534.0%9.7%22.7%38.6%33.4%6.7%-0.6%851.4K-14.1M-48.0K0.6311.85N/AN/A48830832,36410,338
2007-07-20$12.03$11.2534.2%9.8%22.8%39.7%0.0%5.8%-0.8%1.0M-14.2M-48.2K1.4111.38N/AN/A9213032,48410,496
2007-07-23$12.12$11.2534.6%9.9%22.7%42.1%34.8%7.8%-1.1%585.9K-11.8M-45.4K0.1213.80N/AN/A6327822,8786,946
2007-07-24$11.95$11.2535.4%10.1%19.2%46.1%35.5%4.5%-1.4%566.9K-10.3M-45.2K0.5113.47N/AN/A48224823,2946,926
2007-07-25$11.73$11.2536.6%10.5%20.6%52.8%35.6%-0.2%-1.2%541.8K-8.3M-43.9K0.6712.53N/AN/A47031623,5446,954
2007-07-26$11.44$11.2538.3%11.0%21.6%62.2%38.5%-9.1%-0.4%454.5K-6.5M-42.2K1.1316.42N/AN/A64673223,8367,020
2007-07-27$11.22$11.2539.1%11.2%22.8%66.8%40.7%1.5%-0.1%394.7K-5.3M-41.5K0.6918.82N/AN/A66846024,2367,220
2007-07-30$11.49$11.2540.4%11.6%23.9%73.9%40.7%-0.1%-1.6%470.2K-6.9M-43.9K4.4413.47N/AN/A14263024,5147,422
2007-07-31$11.45$11.2539.5%11.3%24.0%69.2%39.8%0.6%-2.0%456.4K-6.6M-43.0K1.1714.86N/AN/A46654424,5507,698