GOLD Options History — September 2007

In September 2007, GOLD traded between $12.51 and $16.62. ATM implied volatility averaged 41.6%, placing in the 68.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 6.6% (HV 20d: 48.2%). Max pain ranged from $11.25 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.36.

Notable Days

  • 2007-09-10: Highest Volume — 19,014 contracts
  • 2007-09-06: Largest IV spike — 28.6% change
  • 2007-09-24: Highest IV Rank — 96.8%
  • 2007-09-24: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.64$12.51$16.62$12.53$16.62
Max Pain$13.36$11.25$15.00$11.25$15.00
ATM IV41.6%31.9%47.6%31.9%46.8%
Expected Move12.1%9.2%13.6%9.2%13.4%
HV 20d48.2%42.5%51.1%42.5%51.1%
HV 60d37.2%31.0%41.2%31.0%41.2%
IV Rank68.4%23.2%96.8%23.2%93.1%
IV Percentile87.8%34.5%99.5%34.5%98.4%
Term Structure-0.3%-2.7%4.9%4.9%-0.4%
VWIV42.6%34.1%49.5%34.1%49.5%
Skew 25d4.3%1.5%10.0%8.3%3.4%
Skew 10d8.9%1.8%21.5%13.3%11.3%
Call IV 25d40.9%27.3%47.1%27.3%46.8%
Put IV 25d45.2%35.6%51.3%35.6%50.2%
Bid-Ask Spread %17.607.4226.8222.457.42
Gamma HHI0.640.480.940.930.61
Net GEX682.7K466.0K836.5K726.6K756.2K
Net DEX-38.5M-60.2M-18.6M-18.6M-48.0M
Net VEX-89.9K-127.1K-53.8K-60.9K-120.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.041.150.290.86
Total Volume4,934.42124819,0148449,114
Total OI46,656.63235,03460,49835,03447,716

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$12.53$11.2531.9%9.2%42.5%23.2%34.1%8.3%4.9%726.6K-18.6M-60.9K0.2922.45N/AN/A65419028,1266,908
2007-09-05$12.51$11.2532.4%9.3%42.5%25.0%35.2%10.0%4.3%736.1K-18.6M-60.4K0.8012.60N/AN/A13811028,2587,056
2007-09-06$13.60$11.2541.6%11.9%48.8%68.7%40.1%5.3%-1.0%542.1K-27.1M-55.3K0.8225.15N/AN/A2,9742,42628,2427,064
2007-09-07$14.24$12.5038.0%11.4%50.7%51.6%42.6%5.1%0.2%466.0K-31.6M-53.8K0.3115.48N/AN/A3,01494829,0388,268
2007-09-10$14.28$12.5039.8%12.0%50.7%60.2%42.1%4.2%0.0%467.9K-31.9M-55.2K0.0416.60N/AN/A18,24277229,8588,888
2007-09-11$14.54$12.5040.2%12.1%50.1%62.1%42.4%3.1%-0.8%749.0K-49.7M-84.9K0.0820.11N/AN/A1,67013245,7349,254
2007-09-12$14.32$12.5037.4%11.9%50.0%49.0%42.2%3.1%-0.3%662.7K-38.6M-84.4K0.2025.15N/AN/A1,38027439,2049,358
2007-09-13$14.49$12.5040.8%11.7%48.0%65.0%40.8%3.1%-0.9%682.1K-40.3M-84.8K0.0923.97N/AN/A6165439,8049,512
2007-09-14$13.89$12.5039.4%11.3%44.2%58.2%39.4%7.6%-0.4%522.8K-35.5M-82.2K1.1514.45N/AN/A1,0701,22839,9489,516
2007-09-17$13.96$12.5042.6%12.2%44.0%73.4%43.7%1.5%-2.1%510.8K-35.7M-83.8K0.0526.82N/AN/A7,26036240,06210,414
2007-09-18$14.92$12.5040.3%11.6%47.8%62.6%40.5%4.7%-1.1%822.1K-44.1M-87.9K0.0815.25N/AN/A13,6181,05441,14810,448
2007-09-19$15.60$15.0042.1%12.1%49.1%70.8%41.9%2.9%-1.5%836.5K-60.2M-106.9K0.4219.84N/AN/A2,38299849,65610,842
2007-09-20$15.57$15.0044.7%12.8%49.3%83.3%44.7%2.5%-2.6%656.9K-52.6M-100.2K0.0918.77N/AN/A5,30245244,68811,280
2007-09-21$15.25$15.0045.1%12.9%49.2%85.1%44.9%3.2%-2.7%817.0K-51.3M-106.4K0.6215.57N/AN/A1,52294646,81611,460
2007-09-24$15.45$15.0047.6%13.6%49.2%96.8%47.2%4.2%-1.6%688.2K-34.0M-106.1K0.1513.37N/AN/A5,27677434,7445,496
2007-09-25$15.48$15.0046.8%13.4%49.3%93.1%46.7%4.9%-0.5%769.3K-36.9M-120.1K0.2713.47N/AN/A2,45066438,5225,860
2007-09-26$15.16$15.0046.3%13.3%49.0%91.0%45.5%3.5%0.3%764.3K-34.9M-127.1K0.1718.36N/AN/A2,63446039,6766,318
2007-09-27$15.83$15.0045.8%13.1%50.0%88.4%45.7%1.8%0.3%794.7K-41.7M-126.3K0.379.53N/AN/A1,89070440,6586,636
2007-09-28$16.62$15.0046.8%13.4%51.1%93.1%49.5%3.4%-0.4%756.2K-48.0M-120.7K0.867.42N/AN/A4,8984,21640,6107,106